Shifting martingale measures and the birth of a bubble as a submartingale

DOI10.1007/s00780-013-0221-8zbMath1336.91089OpenAlexW2138588791MaRDI QIDQ468413

Francesca Biagini, Hans Föllmer, Sorin Nedelcu

Publication date: 7 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://orbilu.uni.lu/handle/10993/15715

zbMATH Keywords

bubblessubmartingalesequivalent martingale measuresstrict local martingales

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (19)

Relative asset price bubbles ⋮ Strict local martingales and the Khasminskii test for explosions ⋮ Probabilistic aspects of finance ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Bubbles in discrete-time models ⋮ Liquidity Based Modeling of Asset Price Bubbles via Random Matching ⋮ Options Prices in Incomplete Markets ⋮ Optional projection under equivalent local martingale measures ⋮ Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Asymptotic asset pricing and bubbles ⋮ The lifetime of a financial bubble ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Financial asset price bubbles under model uncertainty ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ A Mathematical Theory of Financial Bubbles ⋮ Asset price bubbles in markets with transaction costs ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

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