The Formation of Financial Bubbles in Defaultable Markets

DOI10.1137/140960608zbMath1343.60049OpenAlexW970875555MaRDI QIDQ2941472

Francesca Biagini, Sorin Nedelcu

Publication date: 28 August 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8675ac0d3f25ea4896dbf36045bb2ed20cce5ecc

zbMATH Keywords

financial bubblesequivalent martingale measuresstrict local martingalesreduced-form models

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Financial asset price bubbles under model uncertainty ⋮ A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ Asset price bubbles in markets with transaction costs

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