Foreign currency bubbles

DOI10.1007/s11147-010-9055-0zbMath1213.91173OpenAlexW3122445692MaRDI QIDQ539147

Robert A. Jarrow, Philip E. Protter

Publication date: 27 May 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9055-0

zbMATH Keywords

inflationprice bubblesarbitragemartingale measuresforeign currencies

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

Related Items (8)

The Formation of Financial Bubbles in Defaultable Markets ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Liquidity Based Modeling of Asset Price Bubbles via Random Matching ⋮ Shifting martingale measures and the birth of a bubble as a submartingale ⋮ On the hedging of options on exploding exchange rates ⋮ Financial Asset Bubbles in Banking Networks ⋮ A Mathematical Theory of Financial Bubbles ⋮ Asset price bubbles in markets with transaction costs

Cites Work

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• FORWARD AND FUTURES PRICES WITH BUBBLES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• How to Detect an Asset Bubble
• Pricing inflation-indexed derivatives

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