The Resource Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities, by Azar Karimov, (electronic resource)

Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities, by Azar Karimov, (electronic resource)

Label
Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
Title
Identifying Stock Market Bubbles
Title remainder
Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
Statement of responsibility
by Azar Karimov
Creator
Author
Author
Subject
Language
eng
Summary
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
Member of
http://library.link/vocab/creatorName
Karimov, Azar
Dewey number
332.642
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
GrGhSwaLRx4
Image bit depth
0
LC call number
HD61
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Contributions to Management Science,
http://library.link/vocab/subjectName
  • Risk management
  • Operations research
  • Finance
  • Macroeconomics
  • Statistics
  • Financial engineering
  • Risk Management
  • Operations Research/Decision Theory
  • Quantitative Finance
  • Macroeconomics/Monetary Economics//Financial Economics
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Financial Engineering
Label
Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities, by Azar Karimov, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references at the end of each chapters
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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.
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XXI, 131 p. 30 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319650098
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-65009-8
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000000586956
  • (DE-He213)978-3-319-65009-8
  • (MiAaPQ)EBC5064410
  • (EXLCZ)994100000000586956
Label
Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities, by Azar Karimov, (electronic resource)
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references at the end of each chapters
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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.
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XXI, 131 p. 30 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319650098
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-65009-8
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000000586956
  • (DE-He213)978-3-319-65009-8
  • (MiAaPQ)EBC5064410
  • (EXLCZ)994100000000586956

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