Record nummer 2222462
Titel Identifying stock market bubbles : modeling illiquidity premium and bid-ask prices of financial securities
toon extra info.
Azar Karimov
Auteur(s) Karimov, Azar
Uitgever Cham : Springer
Jaar van uitgave 2017
Pagina's 1 online resource
Titel van reeks Contributions to management science
Annotatie(s) Includes bibliographical references  toon alle annotatie(s)
About the Author
List of Abbreviations
List of Figures
List of Tables
1 Introduction
2 Review on Research Conducted
2.1 Inventory Models
2.2 Information Models
2.2.1 Informed Traders vs. Market Makers
2.2.2 Bid-Ask Spread as the Statistical Model
2.2.3 Introduction of Transaction Costs
2.3 Conic Finance
3 Theory of Conic Finance
3.1 Conic Finance
3.2 Conic Finance in Practice
3.3 Distortion Functions
3.3.1 Minvar
3.3.2 Maxvar
3.3.3 Maxminvar
3.3.4 Minmaxvar
3.3.5 Wang Transform
4 Stock Prices Follow a Brownian Motion4.1 Geometric Brownian Motion: Introduction
4.2 Option Pricing with Geometric Brownian Motion
4.3 Bid-Ask Prices of European Options Under Brownian Motion
4.4 Data and Numerical Application
5 Stock Prices Follow a Double Exponential Jump-Diffusion Model
5.1 Details of Jump-Diffusion Models
5.1.1 Reasons for Using Jump-Diffusion Models
5.1.2 Leptokurticity of Returns
5.1.3 Exponential and Power-Type Tails
5.1.4 Implied Volatility Smile
5.1.5 Alternatives for Black-Scholes Model
5.1.6 Unique Characteristics of Jump Diffusion
5.2 Jump-Diffusion Model5.3 Distribution Function of Jump Process
5.4 Distribution Function of Lt
5.5 Risk-Neutral Dynamics
6 Numerical Implementation and Parameter Estimation Under KOU Model
6.1 Estimation Method: Theoretical Background
6.1.1 Maximum-Likelihood Estimation
6.1.2 Generalized Method of Moments
6.1.3 Characteristic Function Estimation Method Independent and Identical Distribution Case Consistency and Asymptotic Normality
6.1.4 Monte-Carlo Simulation Principle of Monte-Carlo Simulation Strong Law of Large Numbers
6.2 Estimation Methods: Numerical Application 6.2.1 Characteristic Function and Moments of Kou Model
6.2.2 Simulation of Kou Model
6.2.3 Cumulant Matching Method
6.2.4 Maximum-Likelihood Estimation
6.2.5 Method of Characteristic Function Estimation
6.3 Bid-Ask Prices of European Options Under Kou Model
6.4 Data and Numerical Application of the Estimation Results of Kou Model
7 Illiquidity Premium and Connection with Financial Bubbles
7.1 A Brief History of Financial Bubbles
7.1.1 Tulip Mania
7.1.2 South-Sea Bubble
7.1.3 1929 Great Depression
7.1.4 The Tech Bubble
7.1.5 Subprime Mortgage Bubble7.2 Illiquidity Premium vs. Financial Bubbles
7.3 Comparison with Other Bubble-Detection Techniques
7.3.1 Value in Economics
7.3.2 Rational Bubbles
7.3.3 Heterogeneous Beliefs Bubbles
7.3.4 Behavioral Bubbles
7.4 Log-Periodic Power Law Model vs. Illiquidity Premium
7.5 Investment Management and Illiquidity Premium
8 Conclusion and Future Outlook
Appendix A Some Distributions Under Wang Transform
Appendix B Deriving Bid and Ask Prices for Options Under Brownian Motion Assumptions
B.1 Prices of a European Call Options
B.1.1 Bid Price
ISBN 9783319650098; 3319650092
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Trefwoorden (fast) Financial security / Liquidity (Economics) / Risk management / Stock exchanges
Publicatie type Boek
Taal Engels
Toelichting (Engels) 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.
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