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000800154 019__ $$a1005454105
000800154 020__ $$a9783319650098$$q(electronic book)
000800154 020__ $$a3319650092$$q(electronic book)
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000800154 050_4 $$aHG4551
000800154 08204 $$a332.642$$223
000800154 1001_ $$aKarimov, Azar.
000800154 24510 $$aIdentifying stock market bubbles :$$bmodeling illiquidity premium and bid-ask prices of financial securities /$$cAzar Karimov.
000800154 260__ $$aCham :$$bSpringer,$$c2017.
000800154 300__ $$a1 online resource.
000800154 336__ $$atext$$btxt$$2rdacontent
000800154 337__ $$acomputer$$bc$$2rdamedia
000800154 338__ $$aonline resource$$bcr$$2rdacarrier
000800154 4901_ $$aContributions to management science
000800154 504__ $$aIncludes bibliographical references.
000800154 5050_ $$aForeword; Acknowledgements; Contents; About the Author; List of Abbreviations; List of Figures; List of Tables; 1 Introduction; Reference; 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; References; 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; References
000800154 5058_ $$a4 Stock Prices Follow a Brownian Motion4.1 Geometric Brownian Motion: Introduction; 4.2 Option Pricing with Geometric Brownian Motion; 4.3 Bid-Ask Prices of European Options Under Brownian Motion; 4.4 Data and Numerical Application; References; 5 Stock Prices Follow a Double Exponential Jump-Diffusion Model; 5.1 Details of Jump-Diffusion Models; 5.1.1 Reasons for Using Jump-Diffusion Models; 5.1.2 Leptokurticity of Returns; 5.1.3 Exponential and Power-Type Tails; 5.1.4 Implied Volatility Smile; 5.1.5 Alternatives for Black-Scholes Model; 5.1.6 Unique Characteristics of Jump Diffusion
000800154 5058_ $$a5.2 Jump-Diffusion Model5.3 Distribution Function of Jump Process; 5.4 Distribution Function of Lt; 5.5 Risk-Neutral Dynamics; References; 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; 6.1.3.1 Independent and Identical Distribution Case; 6.1.3.2 Consistency and Asymptotic Normality; 6.1.4 Monte-Carlo Simulation; 6.1.4.1 Principle of Monte-Carlo Simulation; 6.1.4.2 Strong Law of Large Numbers
000800154 5058_ $$a6.2 Estimation Methods: Numerical Application 6.2.1 Characteristic Function and Moments of Kou Model; 6.2.2 Simulation of Kou Model; 6.2.3 Cumulant Matching Method; 6.2.4 Maximum-Likelihood Estimation; 6.2.5 Method of Characteristic Function Estimation; 6.3 Bid-Ask Prices of European Options Under Kou Model; 6.4 Data and Numerical Application of the Estimation Results of Kou Model; References; 7 Illiquidity Premium and Connection with Financial Bubbles; 7.1 A Brief History of Financial Bubbles; 7.1.1 Tulip Mania; 7.1.2 South-Sea Bubble; 7.1.3 1929 Great Depression; 7.1.4 The Tech Bubble
000800154 5058_ $$a7.1.5 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 ; References; 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
000800154 506__ $$aAccess limited to authorized users.
000800154 650_0 $$aStock exchanges.
000800154 650_0 $$aFinancial security.
000800154 650_0 $$aLiquidity (Economics)
000800154 650_0 $$aRisk management.
000800154 77608 $$iPrint version:$$z9783319650081$$z3319650084$$w(OCoLC)994639265
000800154 830_0 $$aContributions to management science.
000800154 852__ $$bebk
000800154 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-65009-8$$zOnline Access$$91397441.1
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000800154 980__ $$aBIB
000800154 982__ $$aEbook
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