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Finance and Stochastics

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01-04-2014

Shifting martingale measures and the birth of a bubble as a submartingale

Authors: Francesca Biagini, Hans Föllmer, Sorin Nedelcu

Published in: Finance and Stochastics | Issue 2/2014

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Abstract

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.

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Title: Shifting martingale measures and the birth of a bubble as a submartingale
Authors: Francesca Biagini
Hans Föllmer
Sorin Nedelcu
Publication date: 01-04-2014
Publisher: Springer Berlin Heidelberg
Published in: Finance and Stochastics / Issue 2/2014
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-013-0221-8

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Comparative and qualitative robustness for law-invariant risk measures

Asymptotics of implied volatility to arbitrary order

A note on the condition of no unbounded profit with bounded risk

Robust hedging with proportional transaction costs

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