Asset-backed stable numeraire approach for sustainable valuation

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dc.authoridNadi Serhan Aydın / 0000-0002-1453-0016en_US
dc.authorscopusidNadi Serhan Aydın / 55904216900
dc.authorwosidNadi Serhan Aydın / X-8938-2018
dc.contributor.authorAydın, Nadi Serhan
dc.contributor.authorRainer, Martin
dc.date.accessioned2020-08-30T20:06:10Z
dc.date.available2020-08-30T20:06:10Z
dc.date.issued2020
dc.departmentİstinye Üniversitesi, Mühendislik ve Doğa Bilimleri Fakültesi, Endüstri Mühendisliği Bölümüen_US
dc.descriptionAydin, Nadi Serhan (isu author)
dc.description.abstractInterest rates underpin almost every instrument/transaction in conventional financial markets. Valuation of the instruments in relation to interest rates remains meaningful only ifcashcan be attributed a worth of its own (which is generally assumed to accumulate over time). The relevant concepts such as the stochastic short rate and the conventional numeraire (i.e. the money market account) not only become restrictive when one attempts to build more realistic models in quantitative finance, but also - as we demonstrate in this work - their application has de-stabilizing effects on asset valuations. This paper presents a detailed critique of the conventional numeraire and proposes an asset-backed stable numeraire for sustainable valuation of assets and/or transactions. In particular, we demonstrate how some of the key benchmarks of a sustainable footprint may be used as a numeraire currency. We also unveil the implicit assumption underlying the common practice of straightforward factorization in conventional relative pricing to be false.en_US
dc.identifier.citationAydın, N. S., & Rainer, M. (2020). Asset-backed stable numéraire approach for sustainable valuation. Journal of Sustainable Finance & Investment, 1-15.en_US
dc.identifier.doi10.1080/20430795.2020.1769983en_US
dc.identifier.issn2043-0795en_US
dc.identifier.issn2043-0809en_US
dc.identifier.scopus2-s2.0-85086323427en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1080/20430795.2020.1769983
dc.identifier.urihttps://hdl.handle.net/20.500.12713/402
dc.identifier.wosWOS:000543498900001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorAydın, Nadi Serhanen_US
dc.language.isoenen_US
dc.publisherRoutledge Journals, Taylor & Francis Ltden_US
dc.relation.ispartofJournal of Sustainable Finance & Investmenten_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectAsset-Backed Numeraireen_US
dc.subjectInterest-Rate Benchmarksen_US
dc.subjectFair Valuationen_US
dc.subjectConventional Pricingen_US
dc.subjectRisk-Neutral Valuationen_US
dc.titleAsset-backed stable numeraire approach for sustainable valuationen_US
dc.typeArticleen_US

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