Incomplete Markets and Financial Bubbles in Mathematical Finance

数学金融中的不完全市场和金融泡沫

• 批准号: 1714984
• 负责人: Philip Protter
• 金额: $ 22.97万
• 依托单位: Columbia University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2017
• 资助国家: 美国
• 起止时间: 2017-07-01 至 2021-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1714984&HistoricalAwards=false
• 关键词: Incomplete; Markets; Financial; Bubbles; Mathematical

The subject of speculative pricing in financial markets, leading to what is commonly known as bubbles, is a topic of current concern. Its importance is underscored by the huge housing market bubble, which crashed in 2008, and which thereby caused extensive financial suffering. This proposal aims to continue a study of the mathematical modeling of bubbles in financial markets. The mathematical basis for modeling speculative pricing is that it provides the opportunities to quantify when bubble pricing is occurring and how big (in an appropriate sense) the bubble is, and perhaps even more importantly, to identify when a bubble is occurring, or not. Early steps in this direction were burdened by rather severe restrictions in the generality of the mathematical models. In this research, the PI will continue the analysis in a more general setting. The key is to drop the standard restriction of what is known as a "complete market" in favor of the more realistic situation involving "incomplete markets."In the study of bubbles in incomplete markets, the role of strict local martingales will continue to be of paramount importance. The PI plans to tackle the issue of identifying models that lead to strict local martingales within incomplete markets, thus abandoning the wonderful but too simple framework first begun with the work of Delbaen and Shirakawa. The plan is to begin with the models of M. Musiela and P.L Lions, but then progress to multidimensional strict local martingales, using the theory of Lyapunov exponents as developed in the work of Narita, Khasminskii, Stroock, and Varadhan. The PI will also tackle some thorny numerical analysis issues created by the lack of linear growth, a problem inherent in the framework of strict local martingale models.

金融市场的投机性定价导致了通常所说的泡沫，这是当前令人关注的一个问题。 2008年崩溃的巨大房地产市场泡沫凸显了其重要性，并因此造成了广泛的财务损失。 该提案旨在继续研究金融市场泡沫的数学模型。建立投机性定价模型的数学基础是，它提供了量化泡沫定价何时发生以及泡沫有多大（在适当的意义上）的机会，也许更重要的是，可以识别泡沫何时发生。 在这个方向上的早期步骤是由相当严格的限制在数学模型的一般性负担。 在本研究中，PI将在更一般的环境中继续分析。关键是要放弃所谓“完全市场”的标准限制，而支持涉及“不完全市场”的更现实的情况。在研究不完全市场中的泡沫时，严格局部鞅的作用将继续是至关重要的。PI计划解决在不完全市场中识别导致严格局部鞅的模型的问题，从而放弃最初由Delbaen和白川的工作开始的美妙但过于简单的框架。计划开始M. Musiela和P.L Lions，但随后发展到多维严格局部鞅，使用在Narita，Khasminskii，Stroock和Varadhan的工作中发展的Lyapunov指数理论。PI还将解决由于缺乏线性增长而产生的一些棘手的数值分析问题，这是严格局部鞅模型框架中固有的问题。

项目成果

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

封闭式基金溢价和折价的合理资产定价模型：泡沫理论

• DOI: 10.1111/mafi.12207
• 发表时间: 2019
• 期刊: Mathematical Finance
• 影响因子: 1.6
• 作者: Jarrow, Robert;Protter, Philip
• 通讯作者: Protter, Philip

Fair Microfinance Loan Rates

公平的小额信贷利率

• DOI: 10.1111/irfi.12195
• 发表时间: 2018
• 期刊: International Review of Finance
• 影响因子: 1.7
• 作者: Jarrow, Robert;Protter, Philip
• 通讯作者: Protter, Philip

Options Prices in Incomplete Markets

不完全市场的期权价格

• DOI: 10.1051/proc/201756072
• 发表时间: 2017
• 期刊: ESAIM: Proceedings and Surveys
• 作者: Jacod, Jean;Protter, Philip;Crépey, Stéphane;Jeanblanc, Monique;Nikeghbali, Ashkan
• 通讯作者: Nikeghbali, Ashkan

Credit Risk, Liquidity, and Bubbles: Credit Risk, Liquidity, and Bubbles

信用风险、流动性和泡沫：信用风险、流动性和泡沫

• DOI: 10.1111/irfi.12239
• 发表时间: 2018
• 期刊: International Review of Finance
• 影响因子: 1.7
• 作者: Jarrow, Robert;Protter, Philip
• 通讯作者: Protter, Philip

Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients

• DOI: 10.1016/j.spa.2019.07.003
• 发表时间: 2017-09
• 期刊: Stochastic Processes and their Applications
• 影响因子: 1.4
• 作者: P. Protter;Lisha Qiu;Jaime San Martín