Relative asset price bubbles

[1]  Hans Föllmer,et al.  Shifting martingale measures and the birth of a bubble as a submartingale , 2014, Finance Stochastics.

[2]  Claudio Fontana.  Weak and Strong No-Arbitrage Conditions for Continuous Financial Markets , 2013, 1302.7192.

[3]  Xiao Li,et al.  Dynamics of Bankrupt Stocks , 2012, SIAM J. Financial Math..

[4]  Travis Fisher,et al.  On the hedging of options on exploding exchange rates , 2012, Finance Stochastics.

[5]  Mathematical Modeling of Insider Trading , 2014 .

[6]  Harrison G. Hong,et al.  Quiet Bubbles , 2011 .

[7]  Martin Larsson,et al.  THE MEANING OF MARKET EFFICIENCY , 2011 .

[8]  R. Jarrow.  The Role of ABS , CDS and CDOs in the Credit Crisis and the Economy , 2011 .

[9]  How to Detect an Asset Bubble , 2011, SIAM J. Financial Math..

[10]  H. Hulley.  The Economic Plausibility of Strict Local Martingales in Financial Modelling , 2010 .

[11]  S. Janson,et al.  ABSOLUTELY CONTINUOUS COMPENSATORS , 2010, 1005.3053.

[12]  Jean Jacod,et al.  Risk-neutral compatibility with option prices , 2010, Finance Stochastics.

[13]  J. Ruf,et al.  HEDGING UNDER ARBITRAGE , 2010, 1003.4797.

[14]  P. Protter,et al.  Analysis of continuous strict local martingales via h-transforms , 2007, 0711.1136.

[15]  A. Mijatović,et al.  On the martingale property of certain local martingales , 2009, 0905.3701.

[16]  P. Protter,et al.  ASSET PRICE BUBBLES IN INCOMPLETE MARKETS * , 2008 .

[17]  Yangru Wu,et al.  Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values? , 2007 .

[18]  P. Protter,et al.  Chapter 1 An Introduction to Financial Asset Pricing , 2007 .

[19]  Walter Schachermayer,et al.  The Mathematics of Arbitrage , 2006 .

[20]  H. Geman.  From measure changes to time changes in asset pricing , 2005 .

[21]  David Hobson,et al.  Local martingales, bubbles and option prices , 2005, Finance Stochastics.

[22]  P. Protter,et al.  An Introduction to Financial Asset Pricing , 2005 .

[23]  F. Delbaen,et al.  No Arbitrage Condition for Positive Diffusion Price Processes , 2002 .

[24]  Mark Loewenstein,et al.  Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models , 2000, J. Econ. Theory.

[25]  Jia-An Yan.  A NEW LOOK AT THE FUNDAMENTAL THEOREM OF ASSET PRICING , 1998 .

[26]  F. Delbaen,et al.  Arbitrage possibilities in Bessel processes and their relations to local martingales , 1995 .

[27]  Jean-Charles Rochet,et al.  Changes of numéraire, changes of probability measure and option pricing , 1995, Journal of Applied Probability.

[28]  Marco Ferrante,et al.  Finite dimensional filters for a discrete-time nonlinear system with generalized gaussian white noise. , 1995 .

[29]  Walter Schachermayer,et al.  The no-arbitrage property under a change of numéraire , 1995 .

[30]  Walter Schachermayer,et al.  ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES , 1994 .

[31]  Walter Schachermayer,et al.  A Simple Counterexample to Several Problems in the Theory of Asset Pricing , 1993 .

[32]  P. Protter.  Stochastic integration and differential equations , 1990 .