A liquidity-based model for asset price bubbles (Q2873554): Difference between revisions

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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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+Liquidity risk and arbitrage pricing theory
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+Local martingales, bubbles and option prices
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+The fundamental theorem of asset pricing for unbounded stochastic processes
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+Bubbles, convexity and the Black-Scholes equation
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+Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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+Martingales and stochastic integrals in the theory of continuous trading
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+ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
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+Continuous Auctions and Insider Trading
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+Rational equilibrium asset-pricing bubbles in continuous trading models
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+Analysis of continuous strict local martingales via \(h\)-transforms
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+Liquidity risk, price impacts and the replication problem
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+Order book approach to price impact
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