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紙図書
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- 要約等This book introduces readers to a new approach to identifying stock market bubbles by......idity premium, a parameter derived by employing conic finance theory. Further, it s......sed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. ...... derived formulas and sliding wind......, the book explains how to numerically calculate illiquidity ......ed 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......discussed will allow them to accurately recogn...
- 内容細目...c Brownian Motion; 4.3 Bid-Ask Prices of European Options Under Brownian Motion; 4.4 Data and Numerical Application; References; 5...... 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 Mode......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; References; 6 Numerical ...
- 件名Stock exchanges. Financial security. Liquidity (Economics) Risk management. BUSINESS & ECONOMICS / Finance. Finance. Risk Management. Operations Research/Decision Theory. Quantitative Finance. Macroeconomics/Monetary Economics//Financial Economics. Statistics for Business/Economics/Mathematical Finance/Insurance. Financial Engineering.
紙図書
国立国会図書館
- NDLCDA49
- 件名Economics, Mathematical. Motion. Statics and dynamics (Social sciences)
- 著者標目Magill, M. J. P.
紙図書
全国の図書館
- NACSIS書誌ID（NCID）BA17099403
- 件名Economics, Mathematical Motion Statics and dynamics (Social sciences)
- 件名（識別子）Economics, Mathematical Motion Statics and dynamics (Social sciences)
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