Asset price bubbles: invariance theorems

DOI10.3934/FMF.2021006zbMATH Open1498.91469OpenAlexW3197406595WikidataQ113692659 ScholiaQ113692659MaRDI QIDQ2170295FDOQ2170295

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

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zbMATH Keywords

NFLVRstrict local martingalesprice bubbleslocal martingale measuresELMM

Mathematics Subject Classification ID

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

Cites Work

• The meaning of market efficiency
• No arbitrage condition for positive diffusion price processes
• The martingale property in the context of stochastic differential equations
• Title not available (Why is that?)
• On the martingale property of certain local martingales
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Risk-neutral compatibility with option prices
• Local martingales, bubbles and option prices
• Strong bubbles and strict local martingales
• A mathematical theory of financial bubbles
• Asset price bubbles in incomplete markets
• Complications with stochastic volatility models
• Asset price bubbles in complete markets
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Moment explosions in stochastic volatility models
• How to detect an asset bubble
• Correlations and bounds for stochastic volatility models
• The lifetime of a financial bubble
• Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
• Continuous-time asset pricing theory. A martingale-based approach
• Consumption and bubbles
• Strict local martingales and the Khasminskii test for explosions

Cited In (8)

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

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