A Mathematical Theory of Financial Bubbles

DOI10.1007/978-3-319-00413-6_1zbMath1277.91134OpenAlexW2128413721MaRDI QIDQ2847835

Philip E. 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

zbMATH Keywords

incomplete marketstochastic volatilitybubblesreproducing kernel Hilbert spacecomplete marketlocal martingaleprice operatorfundamental valuesmooth kernel estimatornon-arbitragemarket price

Mathematics Subject Classification ID

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

Related Items (44)

Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Relative asset price bubbles ⋮ Asset price bubbles: invariance theorems ⋮ APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Bubbles in discrete-time models ⋮ Strict local martingales: examples ⋮ Exploiting arbitrage requires short selling ⋮ Weak tail conditions for local martingales ⋮ On the martingale property in the rough Bergomi model ⋮ Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Why topological data analysis detects financial bubbles? ⋮ Single jump processes and strict local martingales ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models ⋮ Sticky processes, local and true martingales ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Shifting martingale measures and the birth of a bubble as a submartingale ⋮ On the hedging of options on exploding exchange rates ⋮ Implied Volatility in Strict Local Martingale Models ⋮ Asymptotic asset pricing and bubbles ⋮ The lifetime of a financial bubble ⋮ Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} ⋮ On the regularity of American options with regime-switching uncertainty ⋮ Strict local martingales with jumps ⋮ Financial models with defaultable numéraires ⋮ Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS ⋮ Default functions and Liouville type theorems based on symmetric diffusions ⋮ Financial asset price bubbles under model uncertainty ⋮ Uniform convergence of conditional distributions for absorbed one-dimensional diffusions ⋮ STRONG BUBBLES AND STRICT LOCAL MARTINGALES ⋮ A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ Financial Asset Bubbles in Banking Networks ⋮ Bubbles in assets with finite life ⋮ Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics ⋮ Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models ⋮ Asset price bubbles in markets with transaction costs ⋮ Liquidity Suppliers and High Frequency Trading ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS ⋮ Fragility of arbitrage and bubbles in local martingale diffusion models ⋮ The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• Shifting martingale measures and the birth of a bubble as a submartingale
• On the hedging of options on exploding exchange rates
• Liquidity risk, price impacts and the replication problem
• Foreign currency bubbles
• Discretization of processes.
• Option hedging for small investors under liquidity costs
• On the martingale property of certain local martingales
• Relative arbitrage in volatility-stabilized markets
• Bubbles, convexity and the Black-Scholes equation
• Correlations and bounds for stochastic volatility models
• Charges as equilibrium prices and asset bubbles
• An essay on the general theory of stochastic processes
• Analysis of continuous strict local martingales via \(h\)-transforms
• In discrete time a local martingale is a martingale under an equivalent probability measure
• High frequency market microstructure noise estimates and liquidity measures
• Asset allocation under multivariate regime switching
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Rates of convergence to the local time of a diffusion
• The fundamental theorem of asset pricing for unbounded stochastic processes
• \(L_p\) estimation of the diffusion coefficient
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• No arbitrage condition for positive diffusion price processes
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Strict local martingale deflators and valuing American call-type options
• Liquidity risk and arbitrage pricing theory
• On the minimal entropy martingale measure.
• A partial introduction to financial asset pricing theory.
• Stochastic calculus for finance. II: Continuous-time models.
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• Arbitrage-free market models for option prices: the multi-strike case
• Strict local martingales and bubbles
• Microstructure noise in the continuous case: the pre-averaging approach
• Risk-neutral compatibility with option prices
• The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
• Moment explosions in stochastic volatility models
• The numéraire portfolio in semimartingale financial models
• Local martingales, bubbles and option prices
• The mathematics of arbitrage
• Introduction to stochastic calculus for finance. A new didactic approach.
• Martingales and stochastic integrals. I
• Computing a family of reproducing kernels for statistical applications
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
• A liquidity-based model for asset price bubbles
• A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales
• The Economic Plausibility of Strict Local Martingales in Financial Modelling
• Dating the timeline of financial bubbles during the subprime crisis
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• On the Possibility of Price Decreasing Bubbles
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part I)
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• No Arbitrage and General Semimartingales
• FORWARD AND FUTURES PRICES WITH BUBBLES
• On the Possibility of Speculation under Rational Expectations
• Bubbles and Charges
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• On estimating the diffusion coefficient from discrete observations
• Complications with stochastic volatility models
• A market model for stochastic implied volatility
• Market Participation and Sunspot Equilibria
• HEDGING UNDER ARBITRAGE
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
• Numerical option pricing in the presence of bubbles
• Class 𝐷 supermartingales
• How to Detect an Asset Bubble
• Theory of Reproducing Kernels
• Asset Bubbles and Overlapping Generations

This page was built for publication: A Mathematical Theory of Financial Bubbles