STRONG BUBBLES AND STRICT LOCAL MARTINGALES

DOI10.1142/S0219024916500229zbMath1350.91019OpenAlexW3126132951MaRDI QIDQ2814669

Martin Herdegen, Martin Schweizer

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500229

zbMATH Keywords

incomplete marketsuperreplicationnumérairefinancial bubblestrict local martingalefundamental value

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)

Related Items (11)

Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Asset price bubbles: invariance theorems ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Bubbles in discrete-time models ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Complete and competitive financial markets in a complex world ⋮ Asymptotic asset pricing and bubbles ⋮ Financial asset price bubbles under model uncertainty ⋮ A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ Asset price bubbles in markets with transaction costs ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

Cites Work

• Mathematics of financial markets.
• A benchmark approach to quantitative finance
• A Mathematical Theory of Financial Bubbles
• Stochastic Portfolio Theory: an Overview
• Changes of numéraire, changes of probability measure and option pricing
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