Fisher, Travis, Pulido, Sergio and Ruf, Johannes 
ORCID: 0000-0003-3616-2194
(2019)
Financial models with defaultable numéraires.
Mathematical Finance, 29 (1).
117 - 136.
ISSN 0960-1627
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Identification Number: 10.1111/mafi.12178
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.
| Item Type: | Article |
|---|---|
| Official URL: | https://onlinelibrary.wiley.com/journal/14679965 |
| Additional Information: | © 2018 Wiley Periodicals, Inc |
| Divisions: | Mathematics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 26 Oct 2017 11:09 |
| Last Modified: | 12 Dec 2024 01:34 |
| Projects: | 307465-POLYTE |
| Funders: | European Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/84973 |
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