Identifying Stock Market Bubbles
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Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities(Contributions to Management Science)

Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities(Contributions to Management Science)

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About the Book

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. 

Table of 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.    


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Product Details
  • ISBN-13: 9783319650081
  • Publisher: Springer International Publishing AG
  • Publisher Imprint: Springer International Publishing AG
  • Height: 235 mm
  • No of Pages: 131
  • Returnable: Y
  • Sub Title: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
  • ISBN-10: 3319650084
  • Publisher Date: 11 Oct 2017
  • Binding: Hardback
  • Language: English
  • Returnable: Y
  • Series Title: Contributions to Management Science
  • Width: 155 mm


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Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities(Contributions to Management Science)
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Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities(Contributions to Management Science)
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