Statistical arbitrage with default and collateral
This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Rui Esteves & Jaime Reis, 2007.
"Market Integration in the Golden Periphery,The Lisbon/London Exchange, 1854-1891,"
Economics Series Working Papers
338, University of Oxford, Department of Economics.
- Esteves, Rui Pedro & Reis, Jaime & Ferramosca, Fabiano, 2009. "Market Integration in the Golden Periphery. The Lisbon/London Exchange, 1854-1891," Explorations in Economic History, Elsevier, vol. 46(3), pages 324-345, July.
- Rui Pedro Esteves & Jaime Reis & Fabiano Ferramosca, 2005. "Market Integration in the Golden Periphery - the Lisbon/London Exchange, 1854-1891," Working Papers w200515, Banco de Portugal, Economics and Research Department.
- Oleg Bondarenko, 2003. "Statistical Arbitrage and Securities Prices," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 875-919, July.
- Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
- Fajardo, J., 2004.
"A Note On Arbitrage and Exogenus Collateral,"
Finance Lab Working Papers
flwp_62, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Aloisio Araujo & M�rio Rui P�scoa & Juan Pablo Torres-Mart�nez, 2002.
"Collateral Avoids Ponzi Schemes in Incomplete Markets,"
Econometric Society, vol. 70(4), pages 1613-1638, July.
- Páscoa, Mario Rui & Araújo, Aloísio Pessoa de & Torres-Martínez, Juan Pablo, 2001. "Collateral Avoids Ponzi Schemes in Incomplete Markets," Economics Working Papers (Ensaios Economicos da EPGE) 419, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- MÃ¡rio PÃ¡scoa & Aloisio Araujo & JosÃ© Fajardo, 2004.
Econometric Society 2004 Latin American Meetings
161, Econometric Society.
- Araujo, Aloisio. & Fajardo, J. & Páscoa. M. R., 2004. "Endogenous Collateral," Finance Lab Working Papers flwp_68, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Páscoa, Mario Rui & Araújo, Aloísio Pessoa de & Barbachan, José Santiago Fajardo, 2003. "Endogenous Collateral," Economics Working Papers (Ensaios Economicos da EPGE) 511, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Felix Kubler & Karl Schmedders, 2003.
"Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral,"
Econometric Society, vol. 71(6), pages 1767-1793, November.
- Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:81-84. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.