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Financial Models with Defaultable Num\'eraires

Author

Listed:
  • Travis Fisher
  • Sergio Pulido
  • Johannes Ruf

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.

Suggested Citation

  • Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
    • Handle: RePEc:arx:papers:1511.04314
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    References listed on IDEAS

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    Cited by:

    1. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.

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