Similar Search Results

Variance and Volatility Swaps : Bubbles and Fundamental Prices

Jarrow, Robert A. - 2010

The martingale theory of price bubbles defines an asset bubble to exist when the asset's price process is a strict local martingale, that is, a local martingale that is not a martingale. Using this definition of a price bubble, for continuous semimartingales, we characterize the conditions under...

Persistent link: https://www.econbiz.de/10013141918

Asset price bubbles and the Land of Oz

Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 42 (2016) 2, pp. 37-42

Persistent link: https://www.econbiz.de/10011685329

A CAPM with trading constraints and price bubbles

Jarrow, Robert A. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-39

Persistent link: https://www.econbiz.de/10011787473

On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets

Jarrow, Robert A. - In: Mathematics and financial economics 11 (2017) 4, pp. 455-477

Persistent link: https://www.econbiz.de/10011900579

An equilibrium capital asset pricing model in markets with price jumps and price bubbles

Jarrow, Robert A. - In: The quarterly journal of finance 8 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011921983

Detecting asset price bubbles

Jarrow, Robert A. - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 30-34

Persistent link: https://www.econbiz.de/10009671713

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Market manipulation, price bubbles, and a model of the US Treasury securities auction market

Chatterjea, Arkadev - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 2, pp. 255-289

Persistent link: https://www.econbiz.de/10001246906

The effect of trading futures on short sale constraints

Jarrow, Robert A.; Protter, Philip E.; Pulido, Sergio - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 311-338

Persistent link: https://www.econbiz.de/10011350630

Bubbles and multiple-factor asset pricing models

Jarrow, Robert A. - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011453887