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Financial models with defaultable numéraires

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: 26 Feb 2024 23:24
Projects: 307465-POLYTE
Funders: European Research Council
URI: http://eprints.lse.ac.uk/id/eprint/84973

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