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Identifying stock market bubblesmode...

Karimov, Azar.

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Identifying stock market bubblesby Azar Karimov.
其他題名:	modeling illiquidity premium and bid-ask prices of financial securities /
作者:	Karimov, Azar.
出版者:	Cham :Springer International Publishing :2017.
面頁冊數:	xxi, 131 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Stock exchanges.
電子資源:	http://dx.doi.org/10.1007/978-3-319-65009-8
ISBN:	9783319650098$q(electronic bk.)

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /
Karimov, Azar.

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /[electronic resource] :by Azar Karimov. - Cham :Springer International Publishing :2017. - xxi, 131 p. :ill., digital ;24 cm. - Contributions to management science,1431-1941. - Contributions to management science..

Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion -- Stock Prices Follow a Double Exponential Jump-Diffusion Model -- Numerical Implementation and Parameter Estimation Under Kou Model -- Illiquidity Premium and Connection with Financial Bubbles -- Conclusion and Future Outlook.

This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble state and when that bubble bursts. Moreover, the techniques discussed will allow them to accurately recognize periods of exuberance and panic, and to measure how different strategies work during these phases with respect to calmer periods of market behavior. A brief history of financial bubbles and an outlook on future developments serve to round out the coverage.

ISBN: 9783319650098$q(electronic bk.)

Standard No.: 10.1007/978-3-319-65009-8doiSubjects--Topical Terms:

185899
Stock exchanges.

LC Class. No.: HG4551

Dewey Class. No.: 332.642

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /
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