Financial Models with Defaultable Numéraires

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.
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Submitted on : Thursday, August 8, 2019 - 5:17:47 PM
Last modification on : Sunday, August 11, 2019 - 1:09:18 AM

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Travis Fisher, Sergio Pulido, Johannes Ruf. Financial Models with Defaultable Numéraires. Mathematical Finance, Wiley, 2019, 29 (1), pp.117-136. ⟨10.1111/mafi.12178⟩. ⟨hal-01240736v4⟩

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