Asymptotic asset pricing and bubbles

DOI10.1007/S11579-017-0204-1MaRDI QIDQ1744206zbMATH OpenOpenAlexFDO

Authors Alexandre Roch

Publication date 16 April 2018

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-017-0204-1

zbMATH Keywords

asymptotic arbitragesuperreplicationlocal martingalescontiguity of probability measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Martingales with continuous parameter (60G44)

Recommendations

• Financial asset price bubbles under model uncertainty
• Asset price bubbles in incomplete markets
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• Local martingales, bubbles and option prices
• Asset price bubbles in markets with transaction costs

Cites work

• scientific article; zbMATH DE number 1144392 (Why is no real title available?)
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Cited in

(13)

• Financial asset price bubbles under model uncertainty
• Asset bubbles and efficiency in a generalized two-sector model
• Ascendant altruism and asset price bubbles
• scientific article; zbMATH DE number 5249361 (Why is no real title available?)
• Finite bubbles with short sale constraints and asymmetric information
• Rational equilibrium asset-pricing bubbles in continuous trading models
• A mathematical theory of financial bubbles
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Robust asset prices with bubbles
• A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
• Liquidity induced asset bubbles via flows of ELMMs
• Bubbles in discrete-time models
• Asset price bubbles in markets with transaction costs

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