Mathematics and Economics

Archive for July, 2013|Monthly archive page

Bubbles and Crashes: The Local Martingale Characterization of Asset Price Bubbles

In Bubbles and Crashes, Economics, Finance, Mathematics on July 9, 2013 at 2:57 pm

We resume our Bubbles and Crashes series with this post discussing the recent influential works of Robert Jarrow and Phillip Protter on the characterization of bubbles as Local Martingales: The Local Martingale Characterization of Bubbles pdf