Financial Models with Defaultable Num\'eraires
Pricing of Securities
2017-10-19 v3 Probability
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.
Cite
@article{arxiv.1511.04314,
title = {Financial Models with Defaultable Num\'eraires},
author = {Travis Fisher and Sergio Pulido and Johannes Ruf},
journal= {arXiv preprint arXiv:1511.04314},
year = {2017}
}
Comments
18 pages. Forthcoming in Mathematical Finance