Shifting martingale measures and the birth of a bubble as a submartingale

DOI10.1007/S00780-013-0221-8MaRDI QIDQ468413zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Hans Föllmer, Sorin Nedelcu

Publication date 7 November 2014

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL http://orbilu.uni.lu/handle/10993/15715

zbMATH Keywords

submartingalesbubblesequivalent martingale measuresstrict local martingales

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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Cited in

(21)

• Relative asset price bubbles
• Inefficient bubbles and efficient drawdowns in financial markets
• Liquidity Based Modeling of Asset Price Bubbles via Random Matching
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
• Strict local martingales via filtration enlargement
• Martingale defects in the volatility surface and bubble conditions in the underlying
• Bubbles in discrete-time models
• The Formation of Financial Bubbles in Defaultable Markets
• Asymptotic asset pricing and bubbles
• Financial asset price bubbles under model uncertainty
• Probabilistic aspects of finance
• Options prices in incomplete markets
• A mathematical theory of financial bubbles
• A risk-neutral equilibrium leading to uncertain volatility pricing
• Optional projection under equivalent local martingale measures
• Asset price bubbles in markets with transaction costs
• Liquidity induced asset bubbles via flows of ELMMs
• The lifetime of a financial bubble
• Strict local martingales and the Khasminskii test for explosions
• Detecting asset price bubbles using deep learning

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