Stochastic modelling for financial bubbles and policy
In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected timin...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2015-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2014.1002152 |