Financial models with defaultable numéraires
Copyright policy )Financial models with defaultable numéraires
AbstractFinancial 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.
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], Non-classical valuation formulas, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], 330, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets, [QFIN.PR] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], devaluation, FOS: Economics and business, FOS: Mathematics, Credit risk, [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], Probability (math.PR), Defaultable numéraire, 91G40, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing, 91B24, 91B25, 91G20, defaultable numéraire, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 91B70, Devaluation, AMS Subject Classification (2010): 60G48, nonclassical valuation formulas, Pricing of Securities (q-fin.PR), 60H99, Quantitative Finance - Pricing of Securities, Mathematics - Probability, 60G48, 60H99, 91B24, 91B25, 91B70, 91G20, 91G40
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], Non-classical valuation formulas, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], 330, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets, [QFIN.PR] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], devaluation, FOS: Economics and business, FOS: Mathematics, Credit risk, [QFIN.CP] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], Probability (math.PR), Defaultable numéraire, 91G40, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing, 91B24, 91B25, 91G20, defaultable numéraire, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 91B70, Devaluation, AMS Subject Classification (2010): 60G48, nonclassical valuation formulas, Pricing of Securities (q-fin.PR), 60H99, Quantitative Finance - Pricing of Securities, Mathematics - Probability, 60G48, 60H99, 91B24, 91B25, 91B70, 91G20, 91G40
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