Financial models with defaultable numéraires
Fisher, T., Pulido, S. & Ruf, J.
(2019).
Financial models with defaultable numéraires.
Mathematical Finance,
29(1), 117 - 136.
https://doi.org/10.1111/mafi.12178
(2019).
Financial models with defaultable numéraires.
Mathematical Finance,
29(1), 117 - 136.
https://doi.org/10.1111/mafi.12178
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-free valuation formulas.