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

• Κύριος συγγραφέας: Karimov, Azar (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Σειρά: Contributions to Management Science,
• Θέματα: Finance.; Risk management.; Financial engineering.; Economics, Mathematical.; Statistics.; Macroeconomics.; Risk Management.; Operations Research/Decision Theory.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Financial Engineering.

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 a...

Πίνακας περιεχομένων:

• 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.    .