Financial models with defaultable numéraires

DOI10.1111/mafi.12178zbMath1411.91597arXiv1511.04314OpenAlexW2963265259MaRDI QIDQ5743119

Johannes Ruf, Travis C. Fisher, Sergio Pulido

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04314

zbMATH Keywords

devaluationdefaultable numérairenonclassical valuation formulas

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Asset pricing in an imperfect world ⋮ Simplified stochastic calculus with applications in economics and finance

Cites Work

• On the hedging of options on exploding exchange rates
• A general version of the fundamental theorem of asset pricing
• Valuation of credit default swaps and swaptions
• Hedging for the long run
• Local martingales, bubbles and option prices
• A weak convergence criterion for constructing changes of measure
• A Mathematical Theory of Financial Bubbles
• Why Are Quadratic Normal Volatility Models Analytically Tractable?
• Complications with stochastic volatility models
• Semi‐efficient valuations and put‐call parity
• Valuation and Parities for Exchange Options
• A General Formula for Valuing Defaultable Securities
• The exit measure of a supermartingale
• Supermartingales as Radon-Nikodym densities and related measure extensions
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