Essays about: "Arbitrage Spreads"

Showing result 6 - 7 of 7 essays containing the words Arbitrage Spreads.

1. 6. Speculation Spreads in Swedish Tender Offers

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Fredrik Eklund; Marcus Jennekvist; [2009]
   Keywords : Speculation spread; Risk arbitrage; Tender offer; Bid characteristics; Ownership structure;

   Abstract : This thesis examines speculation spreads, risk arbitrage returns, and potential ex ante bid characteristics related to it, after initial acquisition announcements of 178 public offers on the Stockholm Stock Exchange from 1995 to 2008. Following Jindra and Walkling (2004), we define the speculation spread as the percentage difference between the bid price and the market price of the target company one day after the initial offer announcement. READ MORE

3. 7. Trading in the Credit Derivatives market with equity-based Credit Default Swap spreads

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Martin Nilsson; Jakob Palmstierna; [2007]
   Keywords : credit default swap; Basel II; Capital Structure Arbitrage; Probability of Default; equity-based modelling; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivatives in general and Credit Default Swaps in particular. We develope (from Atlan and Leblanc (2005) and Bengtsson and Bjurhult (2006)) a model to price the CDS contracts and use this in a trading strategy - trying to find risk arbitrage. READ MORE