书目名称 | Identifying Stock Market Bubbles |
副标题 | Modeling Illiquidity |
编辑 | Azar Karimov |
视频video | http://file.papertrans.cn/461/460878/460878.mp4 |
概述 | Introduces an innovative new way to gauge when financial bubbles are about to burst.Provides a ready-to-use indicator that financial practitioners can directy apply.Presents extended versions of the B |
丛书名称 | Contributions to Management Science |
图书封面 |  |
描述 | 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. |
出版日期 | Book 2017 |
关键词 | conic finance; bid-ask prices; Kou model; illiquidity premium; extended Black Scholes model; asset price |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-319-65009-8 |
isbn_softcover | 978-3-319-87924-6 |
isbn_ebook | 978-3-319-65009-8Series ISSN 1431-1941 Series E-ISSN 2197-716X |
issn_series | 1431-1941 |
copyright | Springer International Publishing AG 2017 |