Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to   Credit Risk
  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. 
Simone Farinelli and Hideyuki Takada
q-fin.PR math.PR