A Mathematical Theory of Financial Bubbles (Q2847835): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 4 users not shown)
Property / author
 
Property / author: Philip E. Protter / rank
Normal rank
 
Property / author
 
Property / author: Philip E. Protter / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/978-3-319-00413-6_1 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2128413721 / rank
 
Normal rank
Property / cites work
 
Property / cites work: High frequency market microstructure noise estimates and liquidity measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment explosions in stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory of Reproducing Kernels / rank
 
Normal rank
Property / cites work
 
Property / cites work: Market Participation and Sunspot Equilibria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strict local martingale deflators and valuing American call-type options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Shifting martingale measures and the birth of a bubble as a submartingale / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5505177 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the hedging of options on exploding exchange rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Liquidity risk and arbitrage pricing theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option hedging for small investors under liquidity costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equivalent and absolutely continuous measure changes for jump-diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3997507 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local martingales, bubbles and option prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing for unbounded stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple Counterexample to Several Problems in the Theory of Asset Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The mathematics of arbitrage / rank
 
Normal rank
Property / cites work
 
Property / cites work: No arbitrage condition for positive diffusion price processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5658888 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing using a binomial model with random time steps (A formal model of gamma hedging) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4218398 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bubbles, convexity and the Black-Scholes equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical option pricing in the presence of bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relative arbitrage in volatility-stabilized markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: On estimating the diffusion coefficient from discrete observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3974816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the estimation of the diffusion coefficient for multi-dimensional diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Charges as equilibrium prices and asset bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bubbles and Charges / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the minimal entropy martingale measure. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset allocation under multivariate regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L_p\) estimation of the diffusion coefficient / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Economic Plausibility of Strict Local Martingales in Financial Modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rates of convergence to the local time of a diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non‐parametric Kernel Estimation of the Coefficient of a Diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-neutral compatibility with option prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization of processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local martingales and the fundamental asset pricing theorems in the discrete-time case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to Detect an Asset Bubble / rank
 
Normal rank
Property / cites work
 
Property / cites work: FORWARD AND FUTURES PRICES WITH BUBBLES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foreign currency bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A liquidity-based model for asset price bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Class 𝐷 supermartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: In discrete time a local martingale is a martingale under an equivalent probability measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: The numéraire portfolio in semimartingale financial models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strict local martingales and bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak limit theorems for stochastic integrals and stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3976728 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correlations and bounds for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rational equilibrium asset-pricing bubbles in continuous trading models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals. I / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the martingale property of certain local martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Föllmer-Schweizer decomposition and mean-variance hedging for general claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: An essay on the general theory of stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of continuous strict local martingales via \(h\)-transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5667325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option prices as probabilities. A new look at generalized Black-Scholes formulae / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dating the timeline of financial bubbles during the subprime crisis / rank
 
Normal rank
Property / cites work
 
Property / cites work: A partial introduction to financial asset pricing theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: No Arbitrage and General Semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Liquidity risk, price impacts and the replication problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING / rank
 
Normal rank
Property / cites work
 
Property / cites work: HEDGING UNDER ARBITRAGE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3158099 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A market model for stochastic implied volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage-free market models for option prices: the multi-strike case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3321154 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complications with stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to stochastic calculus for finance. A new didactic approach. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing a family of reproducing kernels for statistical applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Possibility of Speculation under Rational Expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset Bubbles and Overlapping Generations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of continuous-time stochastic volatility models with jumps using high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996207 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Possibility of Price Decreasing Bubbles / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 20:24, 6 July 2024

scientific article
Language Label Description Also known as
English
A Mathematical Theory of Financial Bubbles
scientific article

    Statements

    A Mathematical Theory of Financial Bubbles (English)
    0 references
    11 September 2013
    0 references
    fundamental value
    0 references
    market price
    0 references
    bubbles
    0 references
    local martingale
    0 references
    non-arbitrage
    0 references
    complete market
    0 references
    incomplete market
    0 references
    stochastic volatility
    0 references
    price operator
    0 references
    reproducing kernel Hilbert space
    0 references
    smooth kernel estimator
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references