Financial models with defaultable numéraires

DOI10.1111/MAFI.12178MaRDI QIDQ5743119zbMATH OpenOpenAlexFDO

Authors Travis Fisher, Sergio Pulido, Johannes Ruf

Publication date 8 May 2019

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.04314, http://eprints.lse.ac.uk/84973/1/Ruf_Financial%20models_2017_author.pdf

zbMATH Keywords

defaultable numérairedevaluationnonclassical valuation formulas

Mathematics Subject Classification ID

Credit risk (91G40)

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 num'eraire 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.

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Cited in

(3)

• Simplified stochastic calculus with applications in economics and finance
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