Olivier Vigneron

UBM

95 Queen Victoria Street

London EC4V 4HN

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
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Top 38,674

in Total Papers Downloads

1,137

SSRN CITATIONS
Rank 7,033

SSRN RANKINGS

Top 7,033

in Total Papers Citations

24

CROSSREF CITATIONS

120

Scholarly Papers (2)

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

EFA 2004 Maastricht Meetings Paper No. 4940, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 44 Posted: 11 Jun 2004
Xavier Gabaix, Arvind Krishnamurthy and Olivier Vigneron
Harvard University - Department of Economics, Northwestern University - Kellogg School of Management and UBM
Downloads 897 (25,423)
Citation 3

Abstract:

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Market segmentation, prepayment risk, liquidity, limited capital, hedge funds, limits to arbitrage.

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

NBER Working Paper No. w11851
Number of pages: 47 Posted: 08 Mar 2006
Xavier Gabaix, Arvind Krishnamurthy and Olivier Vigneron
Harvard University - Department of Economics, Northwestern University - Kellogg School of Management and UBM
Downloads 58 (374,531)
Citation 10

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2.

On Break-Even Correlation: The Way to Price Structured Credit Derivatives by Replication

Number of pages: 71 Posted: 22 Jun 2009
Olivier Vigneron and Jean-David Fermanian
UBM and Ensae-Crest
Downloads 182 (168,404)
Citation 1

Abstract:

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CDO, replication, delta hedging, structural models.