Financial models with defaultable numéraires

Travis Fisher, Sergio Pulido and Johannes Ruf

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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.

Keywords: defaultable numéraires; devaluation; non-classical valuation formulas (search for similar items in EconPapers)
JEL-codes: F3 G3 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2019-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Mathematical Finance, 1, January, 2019, 29(1), pp. 117 - 136. ISSN: 0960-1627

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