The Formation of Financial Bubbles in Defaultable Markets
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Cites work
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- Asset price bubbles in complete markets
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- Bubbles and Crashes
- Credit risk: Modelling, valuation and hedging
- Default times, no-arbitrage conditions and changes of probability measures
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- Foreign currency bubbles
- Forward and futures prices with bubbles
- Hazard processes and martingale hazard processes
- How to detect an asset bubble
- scientific article; zbMATH DE number 1210395 (Why is no real title available?)
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- Local martingales, bubbles and option prices
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- Rational asset pricing bubbles and portfolio constraints
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Relative asset price bubbles
- Representation of Gaussian processes equivalent to Wiener process
- Risk-minimization for life insurance liabilities
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- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Stochastic finance. An introduction in discrete time.
- Term-structure models. A graduate course
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Cited in
(10)- Asset pledgeability and endogenously leveraged bubbles
- A risk-neutral equilibrium leading to uncertain volatility pricing
- Asset price bubbles in markets with transaction costs
- Financial asset price bubbles under model uncertainty
- Liquidity induced asset bubbles via flows of ELMMs
- Shifting martingale measures and the birth of a bubble as a submartingale
- A nonuniformly integrable martingale bubble with a crash
- scientific article; zbMATH DE number 7292287 (Why is no real title available?)
- Bubbles and Self-Enforcing Debt
- Detecting asset price bubbles using deep learning
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