Behavioral arbitrage with collateral and uncertain deliveries
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 6 (2010)
Issue (Month): 2 (March)
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Web page: http://www.springerlink.com/link.asp?id=112370
Collateral; Utility penalties; Behavioral arbitrage; Uncertain deliveries; D52; G11; G12;
Find related papers by JEL classification:
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- P. Dubey & J. Geanakoplos & M . Shubik, 2001. "Default and Punishment in General Equilibrium," Department of Economics Working Papers 01-07, Stony Brook University, Department of Economics.
- Araujo, Aloisio & Fajardo, Jose & Pascoa, Mario R., 2005.
Journal of Mathematical Economics,
Elsevier, vol. 41(4-5), pages 439-462, August.
- Araujo, Aloisio. & Fajardo, J. & Páscoa. M. R., 2004. "Endogenous Collateral," Finance Lab Working Papers flwp_68, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- MÃ¡rio PÃ¡scoa & Aloisio Araujo & JosÃ© Fajardo, 2004. "Endogenous Collateral," Econometric Society 2004 Latin American Meetings 161, Econometric Society.
- Páscoa, Mario Rui & Araújo, Aloísio Pessoa de & Barbachan, José Fajardo, 2003. "Endogenous Collateral," Economics Working Papers (Ensaios Economicos da EPGE) 511, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- William R. Zame, 1990.
"Efficiency and the Role of Default When Security Markets are Incomplete,"
UCLA Economics Working Papers
585, UCLA Department of Economics.
- Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, vol. 83(5), pages 1142-64, December.
- William R. Zame, 1992. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 673, UCLA Department of Economics.
- Fajardo, José & Lacerda, Ana, 2010.
"Statistical arbitrage with default and collateral,"
Elsevier, vol. 108(1), pages 81-84, July.
- Fajardo, José, 2009. "Pricing and optimality with default spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 686-692, May.
- Erik Hoelzl & Aldo Rustichini, 2005. "Overconfident: Do You Put Your Money On It?," Economic Journal, Royal Economic Society, vol. 115(503), pages 305-318, 04.
- Páscoa, Mário Rui & Seghir, Abdelkrim, 2009. "Harsh default penalties lead to Ponzi schemes," Games and Economic Behavior, Elsevier, vol. 65(1), pages 270-286, January.
- Fajardo, Jose, 2005.
"A note on arbitrage and exogenous collateral,"
Mathematical Social Sciences,
Elsevier, vol. 50(3), pages 336-341, November.
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