Price bubble definitions and strict local martingales

Title data

Baumann, Michael Heinrich ; Janischewski, Anja:
Price bubble definitions and strict local martingales.
2021
Event: Maths in the Social Sciences Research Group , 19. März 2021 , Online.
(Conference item: Lecture series , Speech )

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Abstract in another language

Financial market bubbles and crashes are often present in public press. Commonly, bubble prices are defined as deviations from fundamental values. However, definitions of bubbles and of fundamentals vary accross the literature. In this talk, I give a brief overview of the different branches of literature and the definitions used. In the second part of the talk, I discuss the meaning of using strict local martingales as a model for price bubbles in mathematical finance.