rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Identifying Stock Market Bubbles
    sub title: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
  name:
    name part: Karimov, Azar.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2017
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXI, 131 p. 30 illus. online resource.
  abstract: 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. .
  note: by Azar Karimov.
  subject:
    topic: Finance
  subject:
    topic: Risk management
  subject:
    topic: Financial engineering
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Statistics
  subject:
    topic: Macroeconomics
  subject:
    topic: Finance
  subject:
    topic: Risk Management
  subject:
    topic: Operations Research/Decision Theory
  subject:
    topic: Quantitative Finance
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Financial Engineering
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Contributions to Management Science
  identifier: 9783319650098
  identifier: http://dx.doi.org/10.1007/978-3-319-65009-8
  record info:
    record creation date: 170929
    record change date: 20170929200930.0
    record identifier: 978-3-319-65009-8