Rational bubble, short-dated volatility forecasting and extract more from the volatility surface
The thesis covers three main chapters. The first chapter (which is a joint work) we develop a theoretical model of rational bubble. In equilibrium, a bubble can persist until it bursts following an exogenous shock, even when all the agents are aware of the bubble and that it will burst in finite tim...
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London School of Economics and Political Science (University of London)
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.551334 |