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Hardcover - 9783319650081
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Beschreibung
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.
Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities
Details
| Verlag | Springer International Publishing |
| Ersterscheinung | 15. August 2018 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 454 Gramm |
| Format | Softcover |
| ISBN-13 | 9783319879246 |
| Auflage | Softcover reprint of the original 1st ed. 2017 |
| Seiten | 131 |
Schlagwörter
Angewandte Mathematik, Anlagen und Wertpapiere, Financial Engineering, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Makroökonomie, Management und Managementtechniken, Management: Entscheidungstheorie, Mathematics in Business - Economics and Finance, Operations Research and Decision Theory, Operations Research/Decision Theory, Quantitative Finance, Risikobewertung, Risk Management, Statistics for Business - Management - Economics - Finance - Insurance, Statistics in Business - Management - Economics - Finance - Insurance, Unternehmensforschung, Wahrscheinlichkeitsrechnung und Statistik, Wirtschaftswissenschaft - Finanzen - Betriebswirtschaft und Management
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