Téléchargez le livre : Identifying Stock Market Bubbles

Identifying Stock Market Bubbles

Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities

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Éditeur :

Springer


Collection :

Contributions to Management Science

Paru le : 2017-09-29



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Description
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. 
Pages
131 pages
Collection
Contributions to Management Science
Parution
2017-09-29
Marque
Springer
EAN papier
9783319650081
EAN PDF
9783319650098
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
3021 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
105,49 €
EAN EPUB
9783319650098
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
1976 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
105,49 €

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