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Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities (Contributions to Management Science) - Hardcover

Book 104 of 214: Contributions to Management Science

Karimov, Azar

 
9783319650081: Identifying Stock Market Bubbles: Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities (Contributions to Management Science)
Hardcover
ISBN 10: 3319650084 ISBN 13: 9783319650081
Publisher: Springer, 2017

Synopsis

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.

"synopsis" may belong to another edition of this title.

About the Author

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.

From the Back Cover

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.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2017
Language
English
ISBN 10 
3319650084
ISBN 13 
9783319650081
Binding
Hardcover
Edition number
1
Number of pages
152