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The complete book of option spreads and combinations : strategies for income generation, directional moves, and risk reduction
\"The Complete Book of Option Spreads and Combinations will be the definitive educational resource and reference guide for using option spreads and other sophisticated option strategies. Option spread trading has grown rapidly in recent years due to the reduction in brokerage commissions and ease of execution through electronic platforms. Author Scott Nations will cover vertical spreads, calendar spreads, ratio spreads, diagonal spreads, butterflies, iron butterflies, straddles, strangles, condors, and iron condors. Nations will describe the inner workings of each strategy, describing how the strategies are impacted by movements in the underlying market, implied volatility, and time decay. Most importantly, he identifies market conditions where each strategy performs well and market conditions where each strategy should be avoided. Readers will learn: How to generate monthly income by selling covered strangles; Using call spreads to recover from a losing stock position; Using put diagonals to protect an existing stock position; The best strategies for directional market plays; Once the proper strategy is suggested, Nations shows how to identify the best options to use based on \"moneyness\" (in-the-money, out-of-the-money or at-the-money) and time to expiration. He then describes how to monitor, adjust, and close each trade to maximize profits and minimize losses. Comprehensive and authoritative, The Complete Book of Option Spreads and Combinations will provide traders with a valuable how-to manual and a lasting reference\"-- Provided by publisher.
Book
Stock Market Math
Stock Market Math shows you how to calculate return, leverage, risk, fundamental and technical analysis problems, price, volume, momentum and moving averages, including over 125 formulas and Excel programs for each, enabling readers to simply plug formulas into a spread sheet.
This book is the definitive reference for all investors and traders. It introduces the many formulas and legends every investor needs, and explains their application through examples and narrative discussions providing the Excel spreadsheet programs for each. Readers can find instant answers to every calculation required to pick the best trades for your portfolio, quantify risk, evaluate leverage, and utilize the best technical indicators.
Michael C. Thomsett is a market expert, author, speaker and coach. His many books include Mathematics of Options, Real Estate Investor's Pocket Calculator, and A Technical Approach to Trend Analysis. In Stock Market Math, the author advances the science of risk management and stock evaluation with more than 50 endnotes, 50 figures and tables, and a practical but thoughtful exploration of how investors and traders may best quantify their portfolio decisions.
eBook
Forecasting expected returns in the financial markets
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.*Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
eBook
Asset prices and monetary policy
Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
eBook
Asset Prices and Monetary Policy
Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Publication
The Traveling Salesman Problem
This book presents the latest findings on one of the most intensely investigated subjects in computational mathematics--the traveling salesman problem. It sounds simple enough: given a set of cities and the cost of travel between each pair of them, the problem challenges you to find the cheapest route by which to visit all the cities and return home to where you began. Though seemingly modest, this exercise has inspired studies by mathematicians, chemists, and physicists. Teachers use it in the classroom. It has practical applications in genetics, telecommunications, and neuroscience.
The authors of this book are the same pioneers who for nearly two decades have led the investigation into the traveling salesman problem. They have derived solutions to almost eighty-six thousand cities, yet a general solution to the problem has yet to be discovered. Here they describe the method and computer code they used to solve a broad range of large-scale problems, and along the way they demonstrate the interplay of applied mathematics with increasingly powerful computing platforms. They also give the fascinating history of the problem--how it developed, and why it continues to intrigue us.
eBook
Pre-service mathematics teachers’ perceptions based on two differing mathematically underpinned debates
This study explores how pre-service mathematics teachers build alternative model simulations of real-world scenarios. Inclusion in the formal structures for wealth generation and accumulation is a fervently debated issue in South Africa. Share owning in companies listed on the Johannesburg Stock Exchange (JSE) in South Africa is one of many wealth-building tools. Related discussions evolved on the spread of share ownership among black and white citizens. Two mathematically motivated positions were reported in a newspaper. In one of their mathematics courses, prospective mathematics teachers were presented with the article and asked to reflect on it with the prompt 'Which of these two methods for determining the \"number of Black South Africans holding shares on the JSE\" would your group support?' Audio- and video-recorded data were collected and subjected to thematic analysis. The themes that emerged from the analysis were economic empowerment, authority of research and trustworthiness of information. The discussions reflected on the complexities and rationalities involved in decision-making of mathematically driven opposing positions on issues of social importance. The mathematically derived results of such issues will eventually be resolved in the political field. The findings revealed that building of alternative mathematical models by pre-service mathematics teachers begins with an explicit problem setting, followed by the development of mathematical models that included real-world problems.Contribution: This article contributes to pre-service mathematics teacher education by exploring how such teachers deal with the issue of critical engagement of mathematically based arguments, highlighted in the Curriculum Assessment and Policy Standards (CAPS) document for school mathematics.
Journal Article
Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
We study distributionally robust chance-constrained programming (DRCCP) optimization problems with data-driven Wasserstein ambiguity sets. The proposed algorithmic and reformulation framework applies to all types of distributionally robust chance-constrained optimization problems subjected to individual as well as joint chance constraints, with random right-hand side and technology vector, and under two types of uncertainties, called uncertain probabilities and continuum of realizations. For the uncertain probabilities (UP) case, we provide new mixed-integer linear programming reformulations for DRCCP problems. For the continuum of realizations case with random right-hand side, we propose an exact mixed-integer second-order cone programming (MISOCP) reformulation and a linear programming (LP) outer approximation. For the continuum of realizations (CR) case with random technology vector, we propose two MISOCP and LP outer approximations. We show that all proposed relaxations become exact reformulations when the decision variables are binary or bounded general integers. For DRCCP with individual chance constraint and random right-hand side under both the UP and CR cases, we also propose linear programming reformulations which need the ex-ante derivation of the worst-case value-at-risk via the solution of a finite series of linear programs determined via a bisection-type procedure. We evaluate the scalability and tightness of the proposed MISOCP and (MI)LP formulations on a distributionally robust chance-constrained knapsack problem.
Journal Article
FINANCIAL HETEROGENEITY AND THE INVESTMENT CHANNEL OF MONETARY POLICY
We study the role of financial frictions and firm heterogeneity in determining the investment channel of monetary policy. Empirically, we find that firms with low default risk—those with low debt burdens and high “distance to default”— are the most responsive to monetary shocks. We interpret these findings using a heterogeneous firm New Keynesian model with default risk. In our model, low-risk firms are more responsive to monetary shocks because they face a flatter marginal cost curve for financing investment. The aggregate effect of monetary policy may therefore depend on the distribution of default risk, which varies over time.
Journal Article