✦ LIBER ✦

Testing for statistical arbitrage in credit derivatives markets

✍ Scribed by Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan

Book ID: 125471857
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 379 KB
Volume: 26
Category: Article
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2014.02.002

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Liquidity and Arbitrage in the Market fo

Liquidity and Arbitrage in the Market for Credit Risk

✍ Nashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan 📂 Article 📅 2011 🏛 School of Business Administration, University of W 🌐 English ⚖ 156 KB

An improved test for statistical arbitra

An improved test for statistical arbitrage

✍ Robert Jarrow; Melvyn Teo; Yiu Kuen Tse; Mitch Warachka 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 478 KB

Testing market efficiency using statisti

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

✍ Steve Hogan; Robert Jarrow; Melvyn Teo; Mitch Warachka 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 625 KB

Strategic conduct in credit derivative m

Strategic conduct in credit derivative markets

✍ Bolton, Patrick; Oehmke, Martin 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 198 KB

Counterparty Credit Risk and Credit Valu

Counterparty Credit Risk and Credit Value Adjustment (A Continuing Challenge for Global Financial Markets) || Default Probability, Credit Spreads and Credit Derivatives

✍ Gregory, Jon 📂 Article 📅 2013 🏛 John Wiley & Sons Ltd ⚖ 262 KB

The Interval Market Model in Mathematica

The Interval Market Model in Mathematical Finance || Credit Derivatives

✍ Bernhard, Pierre; Engwerda, Jacob C.; Roorda, Berend; Schumacher, J.M.; Kolokolt 📂 Article 📅 2012 🏛 Springer New York 🌐 English ⚖ 112 KB

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous