A mathematical theory of financial bubbles

DOI10.1007/978-3-319-00413-6_1zbMATH Open1277.91134OpenAlexW2128413721MaRDI QIDQ2847835FDOQ2847835

Authors: Philip Protter 

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00413-6_1

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zbMATH Keywords

reproducing kernel Hilbert spaceincomplete marketstochastic volatilitylocal martingalebubblesprice operatorcomplete marketfundamental valuesmooth kernel estimatornon-arbitragemarket price

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cited In (64)

• Why topological data analysis detects financial bubbles?
• A study on asset price bubble dynamics: explosive trend or quadratic variation?
• Liquidity suppliers and high frequency trading
• No-arbitrage in a numéraire-independent modeling framework
• Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
• Detecting asset price bubbles using deep learning
• Martingale defects in the volatility surface and bubble conditions in the underlying
• Relative asset price bubbles
• Financial models with defaultable numéraires
• On the regularity of American options with regime-switching uncertainty
• Financial asset price bubbles under model uncertainty
• Comparison of LTL to Deterministic Rabin Automata Translators
• Bubbles and multiple-factor asset pricing models
• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
• Sticky processes, local and true martingales
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• Strict local martingales with jumps
• Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
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• Strict local martingales via filtration enlargement

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