Capital Structure Arbitrage: Model Choice and Volatility Calibration
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Cited by:
- Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011. "A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Mayordomo, Sergio, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Shuichi Ohsaki & Akira Yamazaki, 2011. "Static Hedging Of Defaultable Contingent Claims: A Simple Hedging Scheme Across Equity And Credit Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 239-264.
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na;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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