Foreign currency bubbles

DOI10.1007/S11147-010-9055-0MaRDI QIDQ539147zbMATHOpenAlexFDO

Authors Robert A. Jarrow, Philip Protter

Publication date 27 May 2011

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-010-9055-0

zbMATH Keywords

inflationarbitragemartingale measuresforeign currenciesprice bubbles

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

Recommendations

• BUBBLES IN FOREIGN EXCHANGE MARKETS
• scientific article; zbMATH DE number 6858228
• A mathematical theory of financial bubbles
• Bubbles as payoffs at infinity
• Bubbles and capital flows

Cites work

• scientific article; zbMATH DE number 2130504 (Why is no real title available?)
• Asset price bubbles in incomplete markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Forward and futures prices with bubbles
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• How to detect an asset bubble
• Introduction to stochastic calculus for finance. A new didactic approach.
• Local martingales, bubbles and option prices
• Pricing inflation-indexed derivatives
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Risk-neutral compatibility with option prices

Cited in

(10)

• Liquidity Based Modeling of Asset Price Bubbles via Random Matching
• The Formation of Financial Bubbles in Defaultable Markets
• Financial asset bubbles in banking networks
• A mathematical theory of financial bubbles
• Asset price bubbles in markets with transaction costs
• Liquidity induced asset bubbles via flows of ELMMs
• On the hedging of options on exploding exchange rates
• Shifting martingale measures and the birth of a bubble as a submartingale
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• Detecting asset price bubbles using deep learning

This page was built for publication: Foreign currency bubbles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q539147)