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Book synopsis

Bubbles and Contagion in Financial Markets provides, for the first time in one volume, a quantitative treatment of bubbles and contagion, two key precursors to financial crashes. Interest in market microstructure, market interrelations and contagion has risen sharply following on from the financial crisis and sovereign debt crisis, with both practitioners and academics showing increased interest in quantifying and potentially modeling bubbles, and contagion effects. This book provides a technical but accessible introduction to bubbles and contagion. While other books in the market report historical episodes, this book focuses on the patterns and schemes that can be derived from historical analysis to develop models and a more comprehensive systematized analysis of the phenomena. The book begins with an introduction to bubbles and contagion, before moving on to the valuation of assets (or asset pricing) and market volatility, covering in depth asset price dynamics and the relevant mathematical methodologies (stochastic processes). The book then moves on to analyzing models around herding, contagion, and bubbles - all with quantitative rigor but practical emphasis. This will be a welcome addition to the growing body of literature in and around market microstructure and high frequency finance, and will prove a popular reference for practitioners in trading and quantitative modeling, as well as researchers in academia, who will gain a comprehensive understanding of asset bubbles and the contagion effects of market crashes, and the quantitative aspects involved.

Book details

Book category Knihy po anglicky Economics, finance, business & management Economics Economic & financial crises & disasters

• Full title: Bubbles and Contagion in Financial Markets, Volume 1
• Author: Eva R. Porras
• Language: English
• Binding: Hardback
• Number of pages: 289
• EAN: 9781137358752
• ISBN: 1137358750
• ID: 04771381
• Publisher: Palgrave Macmillan
• Weight: 626 g
• Dimensions: 165 × 241 × 25 mm
• Date of publishing: 25. July 2016

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