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Credit Bubbles in Arbitrage Markets: The...

Farinelli, Simone...

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Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk by Farinelli, Simone ( Author )

Content Provider	Lemonjar Open Access
Publisher	Australian National University
Publication Date	04-08-2023
Summary	We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition for corporate bonds, as well as the generic dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage.
ISBN	-
Item Type	Article
File Type	pdf
File Size	29.34 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	http://arxiv.org/abs/1406.6805

Citation

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AMA 11th EditionReferences

Farinelli, Simone. Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk. Australian National University. August 04, 2023. Accessed August 15, 2025. https://online.provdatabase.com/cite/10997

APA 7th EditionReferences

Farinelli, Simone. (2023). Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk. Australian National University. https://online.provdatabase.com/cite/10997

Chicago 17th EditionReferences

Farinelli, Simone. Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk. Australian National University. 2023. https://online.provdatabase.com/cite/10997

HarvardReferences

Farinelli, Simone. (2023). Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk. [Online]. Australian National University. Available from: https://online.provdatabase.com/cite/10997. (Accessed 15 August 2025).

Harvard AustraliaReferences

Farinelli, Simone, 2023, Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk, Australian National University, viewed 15 August 2025, <https://online.provdatabase.com/cite/10997>

MLA 9th EditionWorks Cited

Farinelli, Simone. Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk. Australian National University, 2023. PROV Database, https://online.provdatabase.com/cite/10997.

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