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Financial models with defaultable numéraires

Fisher, Travis, Pulido, Sergio and Ruf, Johannes (2018) Financial models with defaultable numéraires. Mathematical Finance, 29 (1). pp. 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 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.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2017 Wiley
Divisions: Mathematics
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 26 Oct 2017 11:09
Last Modified: 20 Jul 2019 02:37
Projects: 307465-POLYTE
Funders: European Research Council
URI: http://eprints.lse.ac.uk/id/eprint/84973

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