straightforward derivation of the no-arbitrage dynamics of forward rates and forward credit spreads. The model can be calibrated to … the prices of defaultable coupon bonds, asset swap rates and default swap rates for which closed-form solutions are given … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the …

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …