Mail Code 4403
New York, NY 10027
in Total Papers Downloads
in Total Papers Citations
strict local martingale, bubble, stochastic differential equation, detection, foreign exchange
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-9965.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Jensen’s alpha, betas, excess expected return, state price density, arbitrage opportunities, martingale measures, local martingale measures, systematic risk, performance evaluation, asset pricing model, CAPM, ICAPM, CCAPM, APT
Bubble, No Free Lunch with Vanishing Risk, Arbitrage, Risk Neutral Measure, Girsanov's Theorem, Bond Bubbles, Change of Numéraire
High frequency trading, liquidity costs, front running, martingale measures, trading strategies
Financial Bubbles, Bubble Lifetimes, Strict Local Martingales, Generalized Gamma Distributions
beta model, multiple-factor model, arbitrage pricing, stock alpha
Default risk, Azema martinglae, Brownian excursion
closed-end funds, ETFs, asset price bubbles, no arbitrage
File name: MAFI.
short sale constraints, futures contracts, futures prices, complete markets, martingale representation, supermartingale measures, overpricing hypothesis, bubbles
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.302 seconds