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Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models
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Cited by:
- Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
- Leung, Charles, 2004.
"Macroeconomics and housing: a review of the literature,"
Journal of Housing Economics, Elsevier, vol. 13(4), pages 249-267, December.
- Charles Ka-Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Departmental Working Papers _164, Chinese University of Hong Kong, Department of Economics.
- Charles Ka Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Discussion Papers 00004, Chinese University of Hong Kong, Department of Economics.
- Martin Herdegen & Sebastian Herrmann, 2017. "Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble," Papers 1711.06679, arXiv.org.
- Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
- Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
- Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
- 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.
- Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
- Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
- Dean Buckner & Kevin Dowd & Hardy Hulley, 2022. "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers 2201.05312, arXiv.org, revised Sep 2022.
- Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
- Gianluca Cassese, 2017.
"Asset pricing in an imperfect world,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
- Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
- Jos'e Manuel Corcuera, 2021. "The Golden Age of the Mathematical Finance," Papers 2102.06693, arXiv.org, revised Mar 2021.
- Martin Herdegen & David Hobson & Joseph Jerome, 2023. "The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations," Finance and Stochastics, Springer, vol. 27(1), pages 127-158, January.
- Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
- Martin Keller-Ressel, 2014. "Simple examples of pure-jump strict local martingales," Papers 1405.2669, arXiv.org, revised Jun 2015.
- Hugonnier, Julien & Prieto, Rodolfo, 2015.
"Asset pricing with arbitrage activity,"
Journal of Financial Economics, Elsevier, vol. 115(2), pages 411-428.
- Julien Hugonnier & Rodolfo Prieto, 2013. "Asset Pricing with Arbitrage Activity," Swiss Finance Institute Research Paper Series 13-57, Swiss Finance Institute.
- Gianluca Cassese, 2014.
"Option Pricing in an Imperfect World,"
Papers
1406.0412, arXiv.org, revised Sep 2016.
- Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
- Pal, Soumik & Protter, Philip, 2010. "Analysis of continuous strict local martingales via h-transforms," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1424-1443, August.
- Loewenstein, Mark & Willard, Gregory A., 2013. "Consumption and bubbles," Journal of Economic Theory, Elsevier, vol. 148(2), pages 563-600.
- Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
- Francesca Biagini & Andrea Mazzon & Ari-Pekka Perkkio, 2020. "Optional projection under equivalent local martingale measures," Papers 2003.09940, arXiv.org.
- Petteri Piiroinen & Lassi Roininen & Tobias Schoden & Martin Simon, 2018. "Asset Price Bubbles: An Option-based Indicator," Papers 1805.07403, arXiv.org, revised Jul 2018.
- Francesca Biagini & Lukas Gonon & Andrea Mazzon & Thilo Meyer-Brandis, 2022. "Detecting asset price bubbles using deep learning," Papers 2210.01726, arXiv.org, revised Jun 2024.
- José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
"Detecting money market bubbles,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Martin HERDEGEN & Martin SCHWEIZER, 2015. "Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)," Swiss Finance Institute Research Paper Series 15-05, Swiss Finance Institute.
- Keller-Ressel, Martin, 2015. "Simple examples of pure-jump strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4142-4153.
- Michael Schatz & Didier Sornette, 2017. "Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics," Swiss Finance Institute Research Paper Series 17-21, Swiss Finance Institute.
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
- Constantinos Kardaras, 2009. "Market viability via absence of arbitrage of the first kind," Papers 0904.1798, arXiv.org, revised Jul 2010.
- Francesca Biagini & Thomas Reitsam, 2019. "Asset Price Bubbles in market models with proportional transaction costs," Papers 1911.10149, arXiv.org, revised Dec 2020.
- Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
- Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
- Paolo Guasoni & Miklós Rásonyi, 2015. "Fragility of arbitrage and bubbles in local martingale diffusion models," Finance and Stochastics, Springer, vol. 19(2), pages 215-231, April.
- Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.
- Martin Herdegen & Dörte Kreher, 2022. "Bubbles in discrete-time models," Finance and Stochastics, Springer, vol. 26(4), pages 899-925, October.
- Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.
- Li, Xue-Mei, 2017. "Strict local martingales: Examples," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 65-68.