51 citations · 256 across the 30 of their papers we have counts for
6 papers · 1 filter
Financial Models with Defaultable Numéraires
Travis Fisher, Sergio Pulido, Johannes Ruf
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 numéraire and classi…
A Systematic Approach to Constructing Market Models With Arbitrage
Johannes Ruf, Wolfgang Runggaldier
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
Negative Call Prices
Johannes Ruf
We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In parti…
On the Hedging of Options On Exploding Exchange Rates
Peter Carr, Travis Fisher, Johannes Ruf
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward con…
Why are quadratic normal volatility models analytically tractable?
Peter Carr, Travis Fisher, Johannes Ruf
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We chara…
Hedging under arbitrage
Johannes Ruf
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovia…