Capital Structure Arbitrage
Language: English
Published by NobleTrex Press, 2026
- Softcover
- New
Seller: PBShop.store US, Wood Dale, IL, U.S.A.PBShop.store US
AbeBooks seller since April 7, 2005
Condition: New
US$ 35.21
Quantity: Over 20 available
Add to basketItem description from seller
New Book. Shipped from UK. Established seller since 2000.
Seller Inventory # L2-9798896655251
- Title
- Capital Structure Arbitrage
- Author
- Whitfield, Marcus T.
- Publisher
- NobleTrex Press
- Publication year
- 2026
- Condition
- New
- Binding
- PAP
- Language
- English
- ISBN 13
- 9798896655251
- Item weight
- 449 grams
Capital structure arbitrage sits at the intersection of credit, equity, and derivatives, where the most interesting opportunities often appear when those markets disagree. This book is written for quantitative traders, risk managers, and advanced analysts who want a rigorous framework for identifying and trading mispricings between CDS spreads and equity options. It treats the firm’s capital structure as a unified system and shows how relative-value ideas become executable trades.
At the core of the book is the Merton structural model and its practical extensions, used to translate equity and option information into model-implied credit risk and compare it with observed CDS pricing. Readers learn the mechanics of CDS valuation, hazard rates, survival curves, option surfaces, asset-value and asset-volatility inference, and the design of robust mispricing signals. The book then moves from signal generation to position construction, hedge ratios, P&L attribution, scenario analysis, funding and liquidity constraints, and day-to-day risk control.
What distinguishes this guide is its production-minded perspective. It does not stop at elegant theory: it addresses data engineering, calibration stability, market conventions, execution frictions, model risk, and the historical episodes in which convergence logic failed. The result is a disciplined roadmap for building, testing, and managing credit-equity relative-value strategies in real markets.
"Synopsis" may belong to another edition of this title.
PBShop.store US
Wood Dale, IL, U.S.A.
AbeBooks seller since April 7, 2005
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Hardbacks, PaperbacksSeller's business information
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