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

ch. 1 Introduction Growth in Structured Securities Growing Emphasis on Low Volatility and Dividends Criticisms of Structured Securities Demand for Quantitative Skills Direction of Quantitative Finance When I Realized It Might Be Easier Try Again The Spreadsheet Visualizing the Result What It Means and Why It Works: A Nontechnical Overview It Doesn't Get Too Complicated An Integrated View of Risk Management Endnotes ch. 2 Random Variables and Option Pricing Random Variables Building the Spreadsheet Correcting the Mistake Optional: Additional Resources ch. 3 An Overview of Option Pricing Methods The Black-Scholes Formula Black-Scholes Assumptions The Binomial Option Pricing Method Monte Carlo Methods Putting Visual Quant in Context Additional Reading, Advanced Topics, and Resources ch. 4 Value-at-Risk and Conditional Value-at-Risk How Likely Is Something? Contents note continued: Value-at-Risk Multiple Stock VaR Stock and Option VaR Conditional Value-at-Risk ch. 5 Full Black-Scholes Model Adding Functionality to the Model Stock Return Mean (Cell G3) Stock Return Standard Deviation (Cell G4) Discount Factor Stock Price Median Summary of New Formulas Pricing Put Options Effects of Assumption Changes Endnote ch. 6 The Lognormal Distribution and Calc Engine Definition of the Lognormal Distribution The Forward Equation Cross Reference: Stochastic Differential Equations The Backward Equation The Calc Engine Assigning Probabilities Setting the Stock Price Range Visualizing Option Pricing As Normal or Lognormal ch. 7 Investment Profiles and Synthetic Annuities What Is a Synthetic Annuity, and How Does It Work? The Investment Profile Assigning Probabilities Using Implied Volatility Using Options to Reshape the Investment Profile Contents note continued: Adjusting the Profile for Behavioral Finance Concentrated Stock Example The Synthetic Annuity in Turbulent Markets ch. 8 Stock-Only Investment Profile The Purpose and Context of the Model The Stock-Only Investment Profile The Stock-Only Profit Calculation Adding the Chart Test: Stock-Only Investment Profile ch. 9 Adding Options to the Model Long Put Profit Short Put Expected Values Black-Scholes Add-In The Heading Formulas Delta Formulas Time Value and Total Premium Formulas ch. 10 Option Investment Profiles Long Call Option Investment Profile Short Call Option Long Put Option Short Put Option ch. 11 Covered Calls, Condors, and SynAs Covered Call Investment Profile Put-Call Parity Iron Condor Investment Profile Synthetic Annuity (SynA) Investment Profile Adding a Customized Utility Function ch. 12 Understanding Price Changes Contents note continued: Investing in XYZ Attribution: Explaining Why the Option Price Changed ch. 13 The Greeks The Option Greeks Calculating Greeks: Formulas, Models, and Platforms Delta Theta Vega Introduction to Chapters 14, "Tracking Performance," and 15, "Covered Synthetic Annuities" ch. 14 Tracking Performance Tracking Template TradeStation Platform Putting It All Together: Synthetic Annuity Overview ch. 15 Covered Synthetic Annuities Covered Synthetic Annuity (CSynA) Example: Deere & Company The Standard CSynA Supplemental Material: The CBOE S&P BuyWrite Index BXM Study by Callan Associates.