 Geometric Arbitrage Theory , where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit marketsto model default risk and recovery, leading to closed form no arbitrage characterizations for corporate bonds  .
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 .
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We apply
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, where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit marketsto model default risk and recovery, leading to closed form no arbitrage characterizations
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
A
, 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