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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.

Further data

Item Type: Conference item (Speech)
Refereed: No
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Profile Fields
Profile Fields > Advanced Fields
Research Institutions
Research Institutions > Research Centres
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 12 Apr 2021 08:21
Last Modified: 12 Apr 2021 08:21
URI: https://eref.uni-bayreuth.de/id/eprint/64651