Financial Models with Defaultable

Numeraires

 

Johannes Ruf

University College London

 

 

ABSTRACT

 

Financial models are studied where each asset may

potentially lose value relative to any other. To this end, the paradigm of a

pre-determined nume raire is abandoned in favour of a symmet- rical

point of view where all assets have equal priority. This approach yields

novel versions of the Fundamental Theorems of Asset Pricing, which

clarify and extend non-classical pricing formulas used in the financial

community. Furthermore, conditioning on non-devaluation, each asset

can serve as nume raire and a classical no-arbitrage condition be

formulated. It is shown when and how these local conditions can be

aggregated to a global no-arbitrage condition.

Joint work with Travis Fisher and Sergio Pulido

LOCATION:
The seminar will be held on Wednesday, May 20, at
18.00, Aula di Rappresentanza, Dipartimento di Matematica, Università di Milano, Via Saldini 50, Milano.
A refreshment will be offered at 17.30.


Scientific Committee:

Prof. Marco Frittelli (Univ. degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof. Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)
Dott. Simone Cerreia-Voglio (Univ. Bocconi)
Dott. Marco Maggis (Univ. degli Studi di Milano)


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Emanuela Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi, 8
20126 Milano
 
Tel. 02 64483208
Fax. 02 64483105
e-mail: emanuela.rosazza1@unimib.it
 
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