Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities...

— —

Azar Karimov

Identifying Stock Market Bubbles

Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities

Azar Karimov

$266.95 $213.50

Hardback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Springer International Publishing AG
11 October 2017

Macroeconomics; Stocks & shares; Operational research; Probability & statistics

Series: Contributions to Management Science

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.

By: Azar Karimov
Imprint: Springer International Publishing AG
Country of Publication: Switzerland
Edition: 1st ed. 2017
Dimensions: Height: 235mm, Width: 155mm,
Weight: 3.613kg
ISBN: 9783319650081
ISBN 10: 3319650084
Series: Contributions to Management Science
Pages: 131
Publication Date: 11 October 2017
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

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.

Dr. Azar Karimov, CFA, FRM is a graduate in Financial Mathematics from the Institute of Applied Mathematics at Middle East Technical University. He has worked as a risk manager in intergovernmental diplomatic organization, Turkish private banking institutions and accumulated an extensive industry experience in liquidity management, financial risk management, stress testing, and asset-liability management. He has also delivered on-the- job trainings on advanced financial risk modelling at Turkish regulatory authorities.