LEADER 04319nam  22007335  450 
001 9910255039703321
005 20200705130333.0
010   $a3-319-65009-2
024 7 $a10.1007/978-3-319-65009-8
035   $a(CKB)4100000000586956
035   $a(DE-He213)978-3-319-65009-8
035   $a(MiAaPQ)EBC5064410
035   $a(EXLCZ)994100000000586956
100   $a20170929d2017      u|         0
101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aIdentifying Stock Market Bubbles $eModeling Illiquidity Premium and Bid-Ask Prices of Financial Securities /$fby Azar Karimov
205   $a1st ed. 2017.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2017.
215   $a1 online resource (XXI, 131 p. 30 illus.) 
225 1 $aContributions to Management Science,$x1431-1941
311   $a3-319-65008-4 
320   $aIncludes bibliographical references at the end of each chapters.
327   $aIntroduction -- 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.    .
330   $aThis book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble state and when that bubble bursts. Moreover, the techniques discussed will allow them to accurately recognize periods of exuberance and panic, and to measure how different strategies work during these phases with respect to calmer periods of market behavior. A brief history of financial bubbles and an outlook on future developments serve to round out the coverage.
410  0$aContributions to Management Science,$x1431-1941
606   $aRisk management
606   $aOperations research
606   $aDecision making
606   $aEconomics, Mathematical 
606   $aMacroeconomics
606   $aStatistics 
606   $aFinancial engineering
606   $aRisk Management$3https://scigraph.springernature.com/ontologies/product-market-codes/612040
606   $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000
606   $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010
606   $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020
615  0$aRisk management.
615  0$aOperations research.
615  0$aDecision making.
615  0$aEconomics, Mathematical .
615  0$aMacroeconomics.
615  0$aStatistics .
615  0$aFinancial engineering.
615 14$aRisk Management.
615 24$aOperations Research/Decision Theory.
615 24$aQuantitative Finance.
615 24$aMacroeconomics/Monetary Economics//Financial Economics.
615 24$aStatistics for Business, Management, Economics, Finance, Insurance.
615 24$aFinancial Engineering.
676   $a332.642
700   $aKarimov$b Azar$4aut$4http://id.loc.gov/vocabulary/relators/aut$0870333
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910255039703321
996   $aIdentifying Stock Market Bubbles$91942947
997   $aUNINA