Identifying Stock Market Bubbles | Buch

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Cover: 9783319650081 | Identifying Stock Market Bubbles | Azar Karimov | Buch | Englisch

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Zusammenfassung

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 Black-Scholes and Kou models

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2017
Fachbereich:	Management
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Seiten:	156
Reihe:	Contributions to Management Science
Inhalt:	xxi 131 S. 30 s/w Illustr. 131 p. 30 illus.
ISBN-13:	9783319650081
ISBN-10:	3319650084
Sprache:	Englisch
Herstellernummer:	978-3-319-65008-1
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Karimov, Azar
Auflage:	1st ed. 2017
Hersteller:	Springer International Publishing Contributions to Management Science
Maße:	241 x 160 x 15 mm
Von/Mit:	Azar Karimov
Erscheinungsdatum:	11.10.2017
Gewicht:	0,407 kg

preigu-id: 110115751