Financial models with defaultable numéraires

Fisher, Travis; Pulido, Sergio; and Ruf, Johannes

(2019) Financial models with defaultable numéraires Mathematical Finance, 29 (1). 117 - 136. ISSN 0960-1627

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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.

Item Type	Article
Keywords	defaultable numéraires,devaluation,non-classical valuation formulas
Departments	Mathematics
DOI	10.1111/mafi.12178
Date Deposited	26 Oct 2017 11:09
URI	https://researchonline.lse.ac.uk/id/eprint/84973

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http://www.lse.ac.uk/Mathematics/people/Johannes-Ruf.aspx (Author)
https://onlinelibrary.wiley.com/journal/14679965 (Official URL)

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