论文标题
基于限制的流动性概念
A constraint-based notion of illiquidity
论文作者
论文摘要
本文介绍了一种新的数学概念，该概念与信用风险息息相关。该概念不是数量的，而是基于约束的概念，即某些资产不能缩短，并且不符合Numéraire的资格。如果仍然选择这些资产为Numéraire，我们将获得两价格经济。我们利用Jarrow＆Turnbull的外汇类比，将可默认的零息债券解释为不可违约的外国对应物的转换。用结构化衍生物的语言，信用风险的影响通过定量进行了。以类似的方式，我们将债券的价格看好，好像给出了完美的流动性。这对应于对不合格的Numéraire的资产定价，并且需要进行Föllmer措施。
This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as numéraire. If those assets are still chosen as numéraire, we arrive at a two-price economy. We utilise Jarrow & Turnbull's foreign exchange analogy that interprets defaultable zero-coupon bonds as a conversion of non-defaultable foreign counterparts. In the language of structured derivatives, the impact of credit risk is disabled through quanto-ing. In a similar fashion, we look at bond prices as if perfect liquidity was given. This corresponds to asset pricing with respect to an ineligible numéraire and necessitates Föllmer measures.
