|
Organizers | Prof. Dr. Martin Schweizer, Christoph Frei |
Place | HG G 26.5 |
Time | Wednesdays, 13:15-15:00 |
First Meeting |
Wednesday, 20.02.2008, 13:15 We welcome registrations before the start of term per e-mail (see contact) and may even hand out some topics on that basis. |
Contact |
Christoph Frei, cfrei@math.ethz.ch, HG G 49.2 Working days at ETH: Monday-Thursday |
Language | Talks can be given either in German or in English. |
Prerequisites | Solid knowledge in mathematical finance and stochastic processes |
Description | We study asset price bubbles by using tools from mathematical finance. In economics, a bubble describes the situation when market prices (significantly) differ from fundamental or intrinsic values. Well-known examples are the tulip mania (1634-1637), the dot-com bubble (1995-2001) and the US housing bubble (2003-2007). Although asset price bubble phenomena are frequently analyzed in economics, they have only recently been studied in mathematical finance. Topics treated in this seminar include the coexistence of no-arbitrage and bubbles, a mathematical characterization of bubbles, and relations between strict local martingales and bubbles. |
Literature |
[1] Jarrow, R., Protter, P. and Shimbo, K. (2007). Asset price bubbles in complete markets, in: M. Fu, R. Jarrow, JY. Yen and R. Elliott: Advances in Mathematical Finance, Birkhäuser, Boston. 97-121. [2] Jarrow, R., Protter, P. and Shimbo, K. (2007). Asset price bubbles in incomplete markets. Preprint. Available at SSRN: http://ssrn.com/abstract=1019013 [3] Pal, S. and Protter, P. (2008). Strict local martingales, bubbles and no early exercise. Preprint. Available at arXiv: http://arxiv.org/abs/0711.1136v2 Further literature will be used; details will be announced at the first meeting. |
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information