Asset price bubbles: invariance theorems

DOI10.3934/FMF.2021006MaRDI QIDQ2170295zbMATH OpenOpenAlexWikidataFDO

Authors Jaime San Martín, Robert A. Jarrow, Philip Protter

Publication date 30 August 2022

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2021006

zbMATH Keywords

NFLVRstrict local martingalesprice bubbleslocal martingale measuresELMM

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• A mathematical theory of financial bubbles
• Asset price bubbles in complete markets
• Asset price bubbles in incomplete markets
• Complications with stochastic volatility models
• Consumption and bubbles
• Continuous-time asset pricing theory. A martingale-based approach
• Correlations and bounds for stochastic volatility models
• Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
• How to detect an asset bubble
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Local martingales, bubbles and option prices
• Moment explosions in stochastic volatility models
• No arbitrage condition for positive diffusion price processes
• On the martingale property of certain local martingales
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Risk-neutral compatibility with option prices
• Strict local martingales and the Khasminskii test for explosions
• Strong bubbles and strict local martingales
• The lifetime of a financial bubble
• The martingale property in the context of stochastic differential equations
• The meaning of market efficiency

Cited in

(8)

• Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
• Applying the local martingale theory of bubbles to cryptocurrencies
• On the performance of West's bubble test: a simulation approach
• On the Guyon-Lekeufack volatility model
• How to detect an asset bubble
• Optional projection under equivalent local martingale measures
• Robust asset prices with bubbles
• A study on asset price bubble dynamics: explosive trend or quadratic variation?

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