Violations of the 'Law of One Price' in credit and swap markets during market distress
This thesis is devoted to investigating the dynamic properties of Law of One Price (LOP) violations around periods of market distress. It studies the extent to which these violations are state-dependent and how they are related to different market conditions. The role of monetary policies and hedge...
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Imperial College London
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.656409 |