Forward And Futures Prices With Bubbles
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DOI: 10.1142/S0219024909005518
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Cited by:
- Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
- Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
- Robert Jarrow & Philip Protter & Sergio Pulido, 2015.
"The Effect Of Trading Futures On Short Sale Constraints,"
Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 311-338, April.
- Robert Jarrow & Philip Protter & Sergio Pulido, 2015. "The effect of trading futures on short sale constraints," Post-Print hal-02265269, HAL.
- Kardaras, Constantinos & Kreher, Dörte & Nikeghbali, Ashkan, 2015. "Strict local martingales and bubbles," LSE Research Online Documents on Economics 64967, London School of Economics and Political Science, LSE Library.
- Christoph Belak & Sören Christensen & Olaf Menkens, 2016. "Worst-Case Portfolio Optimization In A Market With Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-36, March.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis & Katharina Oberpriller, 2022. "Liquidity based modeling of asset price bubbles via random matching," Papers 2210.13804, arXiv.org, revised Nov 2022.
- Francesca Biagini & Thomas Reitsam, 2019. "Asset Price Bubbles in market models with proportional transaction costs," Papers 1911.10149, arXiv.org, revised Dec 2020.
- Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, vol. 9(2), pages 58-62.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
- Francesca Biagini & Hans Föllmer & Sorin Nedelcu, 2014. "Shifting martingale measures and the birth of a bubble as a submartingale," Finance and Stochastics, Springer, vol. 18(2), pages 297-326, April.
- Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
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Keywords
Futures; forwards; speculative bubbles; stochastic interest rates; local martingale; inverse Bessel process;All these keywords.
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