The Formation of Financial Bubbles in Defaultable Markets
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Publication:2941472
DOI10.1137/140960608zbMath1343.60049OpenAlexW970875555MaRDI QIDQ2941472
Francesca Biagini, Sorin Nedelcu
Publication date: 28 August 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/8675ac0d3f25ea4896dbf36045bb2ed20cce5ecc
Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (5)
Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Financial asset price bubbles under model uncertainty ⋮ A Nonuniformly Integrable Martingale Bubble with a Crash ⋮ Asset price bubbles in markets with transaction costs
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