Liquidity Induced Asset Bubbles via Flows of ELMMs

DOI10.1137/16M1107097zbMath1410.91437arXiv1611.01440OpenAlexW2551892736WikidataQ129630475 ScholiaQ129630475MaRDI QIDQ4579843

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis

Publication date: 10 August 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01440

zbMATH Keywords

bubblesfinancial networksequivalent martingale measuresliquidity-based model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Liquidity Based Modeling of Asset Price Bubbles via Random Matching ⋮ Financial Asset Bubbles in Banking Networks ⋮ Asset price bubbles in markets with transaction costs

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