This book makes quantitative finance (almost) easy! Its new visual approach makes quantitative finance accessible to a broad audience, including those without strong backgrounds in math or finance. Michael Lovelady introduces a simplified but powerful technique for calculating profit probabilities and graphically representing the outcomes. Lovelady's'pictures'highlight key characteristics of structured securities such as the increased likelihood of profits, the level of virtual dividends being generated, and market risk exposures. After explaining his visual approach, he applies it to one of today's hottest investing trends: lower-volatility, higher-income strategies. Because of today's intense interest in alternative investments and structured securities, this book reviews their unique advantages to investors, managers and advisors of retail and institutional portfolios. Visual Quantitative Finance focuses on key topics directly related to the design, pricing and communication of structured securities, including stochastic price projections and the framework underlying options pricing formulas. The key is Lovelady's explicit use of probabilities in a spreadsheet format. By working directly with the underlying assumptions, he transforms the Black-Scholes framework into five columns of a simple Excel spreadsheet, with no complicated formulas -- making structured securities far more intuitive to design, evaluate and manage. For all investors, students, and financial professionals who are interested in quantitative finance, risk measurement, options pricing, structured securities, or financial model building - and for everyone who needs to explain these topics to someone else. For those with quantitative backgrounds, this guide offers powerful new tools for design and risk management, simplifying the design and evaluation of innovative instruments. For everyone else, Lovelady makes the subject comprehensible for the first time.

lgrsnf/Z:\Bibliotik_\16\2\%&Ovr0\2013 Michael Lovelady-Visual Quantitative Finance.pdf

nexusstc/Visual Quantitative Finance: A New Look at Option Pricing, Risk Management, and Structured Securities/411871cb7a93fb24f7e874bd0d780b31.pdf

zlib/Business & Economics/Others/Michael Lovelady/Visual Quantitative Finance: A New Look at Option Pricing, Risk Management, and Structured Securities_5940980.pdf

Michael Lynn Lovelady, 1957-

Globe Fearon Educational Publishing

Longman Publishing

Cengage Gale

FT Press

United States, United States of America

Upper Saddle River, New Jersey :, 2013

Apr 19, 2013

2, 2013

lg2657218

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Source title: Visual Quantitative Finance: A New Look at Option Pricing, Risk Management, and Structured Securities

Preface xiChapter 1 Introduction 1Growth in Structured Securities 2Growing Emphasis on Low Volatility and Dividends 3Criticisms of Structured Securities 4Demand for Quantitative Skills 5Direction of Quantitative Finance 6When I Realized It Might Be Easier 8Try Again 10The Spreadsheet 10Visualizing the Result 14What It Means and Why It Works: A Nontechnical Overview 17It Doesn't Get Too Complicated 18An Integrated View of Risk Management 18Endnotes 19Chapter 2 Random Variables and Option Pricing 21Random Variables 22Building the Spreadsheet 28Correcting the Mistake 36Optional: Additional Resources 41Chapter 3 An Overview of Option Pricing Methods 43The Black-Scholes Formula 43Black-Scholes Assumptions 48The Binomial Option Pricing Method 49Monte Carlo Methods 51Putting Visual Quant in Context 52Additional Reading, Advanced Topics, and Resources 57Endnotes 60Chapter 4 Value-at-Risk and Conditional Value-at-Risk 61How Likely Is Something? 62Value-at-Risk 66Multiple Stock VaR 68Stock and Option VaR 68Conditional Value-at-Risk 69Chapter 5 Full Black-Scholes Model 77Adding Functionality to the Model 79Stock Return Mean (Cell G3) 79Stock Return Standard Deviation (Cell G4) 82Discount Factor 84Stock Price Median 85Summary of New Formulas 88Pricing Put Options 88Effects of Assumption Changes 93Endnote 96Chapter 6 The Lognormal Distribution and Calc Engine 97Definition of the Lognormal Distribution 98The Forward Equation 99Cross Reference: Stochastic Differential Equations 100The Backward Equation 102The Calc Engine 104Assigning Probabilities 107Setting the Stock Price Range 110Visualizing Option Pricing As Normal or Lognormal 112Chapter 7 Investment Profiles and Synthetic Annuities 115What Is a Synthetic Annuity, and How Does It Work? 117The Investment Profile 119Assigning Probabilities Using Implied Volatility 120Using Options to Reshape the Investment Profile 123Adjusting the Profile for Behavioral Finance 125Concentrated Stock Example 128The Synthetic Annuity in Turbulent Markets 138Chapter 8 Stock-Only Investment Profile 145The Purpose and Context of the Model 145The Stock-Only Investment Profile 146The Calc Engine 151The Stock-Only Profit Calculation 157Adding the Chart 159Test: Stock-Only Investment Profile 162Chapter 9 Adding Options to the Model 167Long Put Profit 168Short Put 169Expected Values 170Black-Scholes Add-In 173The Heading Formulas 175Delta Formulas 176Time Value and Total Premium Formulas 176Chapter 10 Option Investment Profiles 179Long Call Option Investment Profile 179Short Call Option 190Long Put Option 192Short Put Option 194Chapter 11 Covered Calls, Condors, and SynAs 197Covered Call Investment Profile 198Put-Call Parity 200Iron Condor Investment Profile 205Synthetic Annuity (SynA) Investment Profile 209Adding a Customized Utility Function 223Endnotes 225Chapter 12 Understanding Price Changes 227Investing in XYZ 227Attribution: Explaining Why the Option Price Changed 238Endnote 245Chapter 13 The Greeks 247The Option Greeks 248Calculating Greeks: Formulas, Models, and Platforms 249Delta 252Theta 257Vega 262Introduction to Chapters 14, "Tracking Performance," and 15, "Covered Synthetic Annuities" 265Chapter 14 Tracking Performance 269Tracking Template 270TradeStation Platform 274Putting It All Together: Synthetic Annuity Overview 282Chapter 15 Covered Synthetic Annuities 285Covered Synthetic Annuity (CSynA) 286Example: Deere & Company 289The Standard CSynA 304Supplemental Material: The CBOE S&P 500 BuyWrite Index 311BXM Study by Callan Associates 312Index 315

<i>“Michael Lovelady takes a very complex topic and explains it in basic, clear terms. Anyone interested in gaining insight about how the logic behind options pricing works needs to learn the visual quantitative finance skills in this book. This is the key to managing risk and to designing options strategies. The author has combined mathematical formulation with clarity of thought and expression.”</i> <br>
<b>--Michael C. Thomsett</b>, author of <i>Options Trading for the Conservative Investo</i>r, and co-founder of ThomsettOptions.com
<p><i>“</i>Visual Quantitative Finance <i>demystifies the complex mathematics of quantitative finance by moving from the abstract to the intuitive. Lovelady lays bare the mechanics of the Black-Scholes formula and then uses the framework to explain, both intuitively and visually, risk management and options-based structured securities. A crowning achievement in simplicity that will benefit investors and students alike!”</i><br>
--<b>Don DePamphilis</b>, Ph.D., Clinical Professor of Finance, Loyola Marymount University, and author of <i>Mergers, Acquisitions, and Other Restructuring Activities</i>, 7th Edition</p>
<p><b>Modern Quantitative Finance Demystified! A simpler, visual approach for every investor, financial professional, and student.</b></p>
<p>Most investors today recognize the inadequacy of traditional strategies and instruments. However, they sensibly refuse to invest in securities they don’t understand. Unfortunately, alternative investments based on quantitative finance have been shrouded in confusion and advanced mathematics--placing them off limits to many investors who could profit from them. Now, Michael Lovelady cuts through the complexity, introducing a powerful visual approach to understanding options and related alternative investments.</p>
<p>Blending practice and theory, Lovelady illuminates and simplifies the core principles of modern quantitative finance. Lovelady introduces an intuitive, visual framework for understanding option pricing: foundational knowledge for managing risk and designing alternative strategies. Then, building on this framework, Lovelady presents a complete option-based model for tailoring risk/reward profiles, adjusting market exposure, generating income, and building creative portfolio structures.</p>
<p><i>Visual Quantitative Finance</i> will be invaluable to retail and institutional investors contemplating alternative investments, to advisors who guide them, and to all students of finance.</p>
<p>Coverage includes:<br>
• Random variables and option pricing<br>
• Option pricing methods<br>
• VaR and CVaR<br>
• Black-Scholes models<br>
• Investment profiles and model building<br>
• Stock-only and option-based profiles<br>
• Covered calls, condors, and SynAs<br>
• Understanding price changes<br>
• Greeks<br>
• Position management<br>
• Synthetic annuities, and more</p>
<p>Michael Lovelady makes quantitative finance more intuitive, visual, and accessible than ever before--giving investors the knowledge they need to confidently consider alternative strategies for controlling risk and increasing profit.</p>
<p>Lovelady introduces powerful visual techniques for analyzing options pricing, profit probabilities, virtual dividends, market risk exposure, and more. After introducing his visual approach, he applies it to one of today’s most important investing trends: lower-volatility, higher-income strategies.</p>
<p><i>Visual Quantitative Finance</i> will be invaluable for everyone interested in quantitative finance, options, risk, structured securities, or financial model building--and for everyone who must explain these topics to nonspecialists.</p>

2020-07-26