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Behavioral arbitrage with collateral and uncertain deliveries

  • José Fajardo

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10436-009-0135-9
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 6 (2010)
Issue (Month): 2 (March)
Pages: 241-254

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Handle: RePEc:kap:annfin:v:6:y:2010:i:2:p:241-254
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304R5, Cowles Foundation for Research in Economics, Yale University, revised Mar 2004.
  2. William R. Zame, 1992. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 673, UCLA Department of Economics.
  3. Araujo, Aloisio. & Fajardo, J. & Páscoa. M. R., 2004. "Endogenous Collateral," Finance Lab Working Papers flwp_68, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  4. 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.
  5. Orrillo, Jaime, 2005. "Collateral once again," Economics Letters, Elsevier, vol. 87(1), pages 27-33, April.
  6. Fajardo, José, 2009. "Pricing and optimality with default spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 686-692, May.
  7. José Fajardo & Ana Lacerda, 2008. "Statistical Arbitrage with Default and Collateral," Working Papers w200808, Banco de Portugal, Economics and Research Department.
  8. 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.
  9. 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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