A Nonuniformly Integrable Martingale Bubble with a Crash

DOI10.1137/18M1215190;zbMath1429.91340MaRDI QIDQ4971975

Michael F. Schatz, Didier Sornette

Publication date: 22 November 2019

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

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1215190

zbMATH Keywords

local martingalesfinancial bubblesuniformly integrable martingalesexplosive diffusion processessingle jump diffusions

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on general state spaces (60J76) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the martingale property of certain local martingales
• A jump to default extended CEV model: an application of Bessel processes
• Single jump processes and strict local martingales
• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• No arbitrage condition for positive diffusion price processes
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Singular stochastic differential equations.
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• Fragility of arbitrage and bubbles in local martingale diffusion models
• Local martingales, bubbles and option prices
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• STRONG BUBBLES AND STRICT LOCAL MARTINGALES
• A Mathematical Theory of Financial Bubbles
• The Formation of Financial Bubbles in Defaultable Markets
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
• A New Representation for Stochastic Integrals and Equations
• Strict local martingales and optimal investment in a Black–Scholes model with a bubble
• INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS
• Credit risk: Modelling, valuation and hedging

This page was built for publication: A Nonuniformly Integrable Martingale Bubble with a Crash