Identifying Stock Market Bubbles

Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities

Azar Karimov (Autor)

Buch | Softcover

XXI, 131 Seiten

2018 | Softcover reprint of the original 1st ed. 2017
Springer International Publishing (Verlag)
978-3-319-87924-6 (ISBN)

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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.

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.

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.

Erscheint lt. Verlag	15.8.2018
Reihe/Serie	Contributions to Management Science
Zusatzinfo	XXI, 131 p. 30 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	248 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
Schlagworte	Asset price bubbles • bid-ask prices • conic finance • derived formulas • extended Black Scholes model • illiquidity premium • Kou model • Quantitative Finance • sliding windows technique
ISBN-10	3-319-87924-3 / 3319879243
ISBN-13	978-3-319-87924-6 / 9783319879246
Zustand	Neuware