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

Index

A

accuracy, comparing alternatives versus, 56-57

additive, delta as, 254-255

“Adjustments for Anticipated Days of Higher Volatility” (McDonald), 59

alternative comparison with visual option pricing method, 56-57

annualized average theta, 183-184

annuities. See SynAs (synthetic annuities)

Apple (turbulent markets example), 138-143

AQR Capital Management, 2

arbitrage in put-call parity, 203-204

Asness, Cliff, 2

assigning probabilities, 107-110

assumed drift, 156

assumptions

in Black-Scholes formula, 48-49, 100-102

effect of changes, 93

visualizing, 94-95

average annualized theta

in short put option investment profile, 196

yield as, 259-261

Average Value at Risk. See CVaR (Conditional Value-at-Risk)

axes in charts, 159-160

B

backward equation, ...