Lynton-Evans, S. (2012). The financial crisis - an introduction to a formula causing it and a method identifying bubbles [Diploma Thesis, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/161290
This thesis studies the causes of the financial crisis and the research on a method detecting asset price bubbles. The first two chapters introduce basic financial terms and mathematical properties which are required in the further sections. In the third chapter we first present the default correlation between two credit risks and second a way of defining the joint distribution of their survival times by using copula functions. Views of different aspects leading to the financial crisis of 2007 are analyzed in chapter four. Finally a way of detecting asset price bubbles in real time through estimating the asset price process' volatility function and it's tails is introduced.
