Institute for Mathematics
Humboldt Universität zu Berlin
Some Martingale Aspects of Financial Bubbles
We discuss some recent developments in the probabilistic analysis of "bubbles", usually described as local martingales appearing on top of the "fundamental" value of a liquid asset. We focus on the birth of a bubble generated by a flow in the space of martingale measures (joint work with F. Biagini and S. Nedelcu), on the role of information (joint work with Ph. Protter) and on the appearance of bubbles in the robust valuation of cash flows in terms of convex risk measures (joint work with B. Acciaio and I. Penner).