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Champagne subregions with unavoidable bubbles
Champagne subregions unavoidable bubbles Analysis of PDEs
2012/6/29
A champagne subregion of a connected open set $U\ne\emptyset$ in $R^d$, $d\ge 2$, is obtained omitting pairwise disjoint closed balls $\bar B(x, r_x)$, $x\in X$, the bubbles, where $X$ is a locally fi...
Computational LPPL Fit to Financial Bubbles
LPPL Fit Financial Bubbles log-periodic power law
2010/4/27
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The b...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
uncertain cash flows Model ambiguity discounting ambiguity
2010/4/27
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accoun...