Search Results - subject:"Local martingale"

Optional projection under equivalent local martingale measures

Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and Stochastics 27 (2023) 2, pp. 435-465

We study optional projections of G-adapted strict local martingales on a smaller filtration Funder changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic...

Persistent link: https://www.econbiz.de/10015327406

Optional projection under equivalent local martingale measures

Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465

Persistent link: https://www.econbiz.de/10014253651

What are asset price bubbles? A survey on definitions of financial bubbles

Baumann, Michael; Janischewski, Anja - 2025

Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...

Persistent link: https://www.econbiz.de/10015327151

What are asset price bubbles? : a survey on definitions of financial bubbles

Baumann, Michael; Janischewski, Anja - 2025

Persistent link: https://www.econbiz.de/10015207173

A study on asset price bubble dynamics : explosive trend or quadratic variation?

Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626

Persistent link: https://www.econbiz.de/10014552111

Applying the local martingale theory of bubbles to cryptocurrencies

Choi, Soon Hyeok; Jarrow, Robert A. - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10013371053

Bubbles in discrete-time models

Herdegen, Martin; Kreher, Dörte - In: Finance and stochastics 26 (2022) 4, pp. 899-925

Persistent link: https://www.econbiz.de/10013440256

Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - 2018

expectations equilibria, we argue that this carries over to the finite time “strict local martingale”-approach to bubbles. Our …

Persistent link: https://www.econbiz.de/10011900246

Testing efficiency in small and large financial markets

Dare, Wale - 2017

Persistent link: https://www.econbiz.de/10011799698

A class of strict local martingales

Herdegen, Martin; Herrmann, Sebastian - 2014

deterministic function up to a random time γ at which they jump and stay constant afterwards. The (local) martingale properties of … that the stochastic integral H • M is a strict local martingale. Moreover, we characterise all local martingale deflators … and all equivalent local martingale measures for a given special semimartingale with respect to the smallest filtration …

Persistent link: https://www.econbiz.de/10010338742