Financial Models with Defaultable Numéraires

Travis Fisher, Sergio Pulido () and Johannes Ruf
Additional contact information
Sergio Pulido: ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - INRA - Institut National de la Recherche Agronomique - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique
Johannes Ruf: Department of Mathematics London School of Economics - LSE - London School of Economics and Political Science

Post-Print from HAL

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: Devaluation; Non-classical valuation formulas; Defaultable numéraire (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-cfn
Note: View the original document on HAL open archive server: https://hal.science/hal-01240736v4
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Mathematical Finance, 2019, 29 (1), pp.117-136. ⟨10.1111/mafi.12178⟩

Downloads: (external link)
https://hal.science/hal-01240736v4/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01240736

DOI: 10.1111/mafi.12178

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().