Financial models with defaultable numéraires. (24th July 2018)
- Record Type:
- Journal Article
- Title:
- Financial models with defaultable numéraires. (24th July 2018)
- Main Title:
- Financial models with defaultable numéraires
- Authors:
- Fisher, Travis
Pulido, Sergio
Ruf, Johannes - Abstract:
- Abstract: Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on nondevaluation, 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.
- Is Part Of:
- Mathematical finance. Volume 29:Number 1(2019)
- Journal:
- Mathematical finance
- Issue:
- Volume 29:Number 1(2019)
- Issue Display:
- Volume 29, Issue 1 (2019)
- Year:
- 2019
- Volume:
- 29
- Issue:
- 1
- Issue Sort Value:
- 2019-0029-0001-0000
- Page Start:
- 117
- Page End:
- 136
- Publication Date:
- 2018-07-24
- Subjects:
- defaultable numéraire -- devaluation -- nonclassical valuation formulas -- D53 -- G13
Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/mafi.12178 ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 9409.xml