quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a quot …

shows that under a weak absence-of-arbitrage assumption (basically NUPBR), a market has a strong bubble if and only if in …

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …

Can limits to arbitrage explain historical asset price reversals? During the "British Bicycle Mania" of 1896 …-1898, cycle share prices rose by 200 per cent before falling 76 per cent from their peak value. This paper argues that arbitrage …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …