The economic plausibility of strict local martingales in financial modelling

DOI10.1007/978-3-642-03479-4_4zbMATH Open1217.91169OpenAlexW2098456806MaRDI QIDQ3000876FDOQ3000876

Authors Hardy Hulley

Publication date 31 May 2011

Published in Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp279.pdf

zbMATH Keywords

Bessel processstrict local martingalereal world pricingbond price bubbleinverse Bessel process in dimension threesecurity price bubble

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Martingales with continuous parameter (60G44)

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Cited in

(20)

• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• Strict local martingales and bubbles
• Relative asset price bubbles
• Local prelimit theorems and their applications to finance
• Arbitrage problems with reflected geometric Brownian motion
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Strong bubbles and strict local martingales
• Strict local martingales via filtration enlargement
• Strict local martingales with jumps
• Weak tail conditions for local martingales
• A mathematical theory of financial bubbles
• Robust pricing and hedging under trading restrictions and the emergence of local martingale models
• Diffusion-based models for financial markets without martingale measures
• Hedging for the long run
• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
• Strict local martingales and the Khasminskii test for explosions
• Fragility of arbitrage and bubbles in local martingale diffusion models
• The small and large time implied volatilities in the minimal market model
• Strict local martingales and optimal investment in a Black-Scholes model with a bubble
• Valuation and parities for exchange options

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