Trading Strategies
Option Formulas (2013)
A collection of all related formulas for four major option models. Provides the formulas for pricing, for all possible first derivatives, and for all possible second derivatives. (22 pages)
Global Index Investing (1997)
A seminar I gave at a pension conference on investing in global stock, bond and currency markets using only exchange-traded futures contracts. (14 pages)
Tax-Managed Options Strategies for HNW Investors (1999)
A seminar I gave at the invitation of the Options Exchange to explain option strategies available to available to high net worth investors to protect and enhance their portfolio holdings. (12 pages)
A Bond Portfolio Optimization Formulation (1999)
A guide to constructing an optimal portfolio of bonds via a linearing programming formulation that meets multiple risk constraints. (7 pages)
Transforming Yield Curve Swings Into Income Streams (1997)
A Seminar I gave to a local quant group on how to use binary choice yield curve models to generate an overlay income stream for any portfolio using bond futures. (13 pages)
Creating Synthetic Bonds With Equity Options (1998)
A seminar I gave at an investor conference showing how any desired corporate bond exposure can be synthetically created by combining a US Treasury bond with an equity option. (14 pages)
An Option Portfolio Optimization Program (1995)
A product development brief I wrote while Research Director for a derivatives firm detailing an optimization strategy to extract maximum time decay from a risk-controlled option portfolio. (8 pages)
The Yield Curve After Large US Dollar Declines (1994)
Short research piece identifying certain patterns of behavior in the US Treasury yield curve following very sharp and sudden declines in the US dollar. (3 pages)
Bill Trading Around Treasury Refunding Settlements (1993)
A brief test of the hypothesis that short-term interest rates are systematically affected by the patternistic behavior of the US Treasury in scheduling its major debt refundings. (5 pages)
Yield Curve Inversions: All But Inevitable? (1994)
Brief historical study of whether inversions of the US yield curve are a necessary outcome of a tightening of monetary policy by the US Federal Reserve. (3 pages)
Impact of Fed Policy Shifts on the Stock Market (1994)
A brief study for our clients of how interest rate policy change announcements by the US Federal Reserve Board affect the US stock markets. (4 pages)
Trading the "Holiday Effect" in Bonds (1994)
A brief research piece conducting an event study to search for evidence of a "holiday effect" pattern in US bond market trading around pre-announced US holidays. (4 pages)
Market Reactions in Front of US Presidential Elections (1992)
A brief recap of how US stock, bond and currency markets have reacted, in direction and volatility, in the runup to US Presidential Elections. (2 pages)
Exploiting Fed Policy Changes via a Yield Twist Strategy (1993)
An example of a short-term trading recommendation I issued as a Senior Fixed Income Strategist advising our clients on a butterfly yield curve twisting trade. (2 pages)
A Return-Enhancing Overlay with Zero Correlation (1998)
An analysis of how uncorrelated binary choice models can be used to run a zero-correlation portfolio overlay. (25 pages)