Shifting Martingale Measures and the Birth of a Bubble as a Submartingale

Reference : Shifting Martingale Measures and the Birth of a Bubble as a Submartingale


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/15715

Title :	Shifting Martingale Measures and the Birth of a Bubble as a Submartingale
Language :	English
Author, co-author :	Föllmer, Hans [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit > ; Humboldt-Universität zu Berlin > Institut für Mathematik]
	Biagini, Francesca [Ludwig-Maximilians Universität, Munich, Germany > Department of Mathematics]
	Nedelcu, Sorin [Humboldt Universität zu Berlin, Germany > Department of Mathematics]
Publication date :	Apr-2014
Journal title :	Finance and Stochastics
Publisher :	Springer Science & Business Media B.V.
Volume :	18
Issue/season :	2
Pages :	297-326
Peer reviewed :	Yes (verified by ORBi^lu)
Audience :	International
ISSN :	0949-2984
e-ISSN :	1432-1122
Abstract :	[en] In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero.
Permalink :	http://hdl.handle.net/10993/15715
DOI :	10.1007/s00780-013-0221-8

File(s) associated to this reference

Fulltext file(s):

	File	Commentary	Version	Size	Access
Open access	Shifting-Martingale-Measures-and--Finance-and-Stochastics-18-2014.pdf		Publisher postprint	893.36 kB	View/Open

All documents in ORBi^lu are protected by a user license.