Download or read book Gambling Theory and Stock Option Models written by Jianxiong Lou and published by . This book was released on 2009 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates problems both in gambling theory and in stock option models. In gambling theory, we study the difference between the Vardi casino and the Dubins-Savage casino. In the simple Dubins-Savage casino there is only one table in which a sub-fair gamble is available fixed odds ratio, r and the problem is to change a fortune of size f to a fortune of size 1 with maximum probability before going broke. Vardi proposed the casino where there is available a table for each odds ratio r. Since the Dubins-Savage casino can be duplicated in the Vardi casino, it is clear that the Vardi casino will provide a bigger probability to achieve the goal than the Dubins-Savage casino. A main result of the thesis is to show that the advantage of the Vardi casino is surprisingly small. This implies the surprising conclusion that it does not really help the gambler to have a variety of gambles available, and raises the question of why casinos in the real world have such a variety of gambles. In particular, the optimal probabilities of the Vardi casino and the Dubins-Savage casino with odds ratio r = 1 (red-and-black) agree to three decimal places. We further conjecture that the largest difference between the Vardi and the Dubins-Savage optimal probabilities occurs at f = 1/3. The thesis also studies the two classic stochastic models involved in finance and economics, the additive Bachelier model and the multiplicative Black-scholes model. Both models have advantages and shortcomings. Chen et al [6] introduced a general class of models with decreasing-return- to-scale indexed by a parameter interpolating between the additive ([theta]= 0) and the multiplicative ([theata]= 1) cases. We study the American and the Russian option under the decreasing-return-to- scale models and give the optimal policy of each option for these new models. The two parts of the thesis are related through the fact that gambling is involved in each case, this despite the fact that investors often prefer to believe there is no gambling involved in their activity. Of course gamblers often believe this as well. Furthermore, among the stocks with the same negative drift, in order to maximize the probability to achieve a particular amount of fortune to survive for the gamblers problem of stocks (see [29] [30]), they need to buy those stocks with big volatilities (odds ratios).

Download or read book The Theory of Gambling and Statistical Logic written by Richard A. Epstein and published by Gulf Professional Publishing. This book was released on 1995 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covering all aspects of gambling, The Theory of Gambling and Statistical Logic is mathematically sophisticated, but can be read for what it says about the games and strategies, skipping the technicalities. The material is fascinating and detailed, and the analysis is masterful.

Download or read book The Theory of Gambling and Statistical Logic written by Richard A. Epstein and published by Academic Press. This book was released on 2009-09-28 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: Early in his rise to enlightenment, man invented a concept that has since been variously viewed as a vice, a crime, a business, a pleasure, a type of magic, a disease, a folly, a weakness, a form of sexual substitution, an expression of the human instinct. He invented gambling. Recent advances in the field, particularly Parrondo's paradox, have triggered a surge of interest in the statistical and mathematical theory behind gambling. This interest was acknowledge in the motion picture, "21," inspired by the true story of the MIT students who mastered the art of card counting to reap millions from the Vegas casinos. Richard Epstein's classic book on gambling and its mathematical analysis covers the full range of games from penny matching to blackjack, from Tic-Tac-Toe to the stock market (including Edward Thorp's warrant-hedging analysis). He even considers whether statistical inference can shed light on the study of paranormal phenomena. Epstein is witty and insightful, a pleasure to dip into and read and rewarding to study. The book is written at a fairly sophisticated mathematical level; this is not "Gambling for Dummies" or "How To Beat The Odds Without Really Trying." A background in upper-level undergraduate mathematics is helpful for understanding this work. - Comprehensive and exciting analysis of all major casino games and variants - Covers a wide range of interesting topics not covered in other books on the subject - Depth and breadth of its material is unique compared to other books of this nature - Richard Epstein's website: www.gamblingtheory.net

Download or read book How to Gamble If You Must written by Lester E. Dubins and published by Courier Corporation. This book was released on 2014-08-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This classic of advanced statistics is geared toward graduate-level readers and uses the concepts of gambling to develop important ideas in probability theory. The authors have distilled the essence of many years' research into a dozen concise chapters. "Strongly recommended" by the Journal of the American Statistical Association upon its initial publication, this revised and updated edition features contributions from two well-known statisticians that include a new Preface, updated references, and findings from recent research. Following an introductory chapter, the book formulates the gambler's problem and discusses gambling strategies. Succeeding chapters explore the properties associated with casinos and certain measures of subfairness. Concluding chapters relate the scope of the gambler's problems to more general mathematical ideas, including dynamic programming, Bayesian statistics, and stochastic processes. Dover (2014) revised and updated republication of the 1976 Dover edition entitled Inequalities for Stochastic Processes. See every Dover book in print at www.doverpublications.com

Download or read book The Analysis of Sports Forecasting written by William S. Mallios and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given the magnitude of currency speculation and sports gambling, it is surprising that the literature contains mostly negative forecasting results. Majority opinion still holds that short term fluctuations in financial markets follow random walk. In this non-random walk through financial and sports gambling markets, parallels are drawn between modeling short term currency movements and modeling outcomes of athletic encounters. The forecasting concepts and methodologies are identical; only the variables change names. If, in fact, these markets are driven by mechanisms of non-random walk, there must be some explanation for the negative forecasting results. The Analysis of Sports Forecasting: Modeling Parallels Between Sports Gambling and Financial Markets examines this issue.

Download or read book Gaming the Market written by Ronald B. Shelton and published by John Wiley & Sons. This book was released on 1997-04-25 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Spieltheorie betrachtet Entscheidungen als "Schachzüge" in einem Spiel, dessen Ausgang von den Entscheidungen aller Spieler bestimmt wird. Diese Theorie wird hier erstmals auf Investmentgeschäfte am Finanzmarkt angewendet. Nach der Definition der "Spielregeln" und der "Spieler" wird, basierend auf Formeln der Wahrscheinlichkeitsrechnung, ein Spielmodell entwickelt, das die Rentabilität von beliebigen Finanzaktionen wie Aktienkauf und -verkauf vorhersagt.

Download or read book Gambling and Speculation written by Reuven Brenner and published by Cambridge University Press. This book was released on 1990-03-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gambling and Speculation takes the long, historic perspective of its controversial subject. The book offers not only a better understanding of the recent "gambling craze," but also a fundamental inquiry into human nature and the structure of societies. The Brenners argue that the negative image of gamblers and of speculators stems from prejudice, whose roots are in the distant, forgotten past. Legal scholars have frequently confused gambling with speculation and the anti-gambling laws were, at times, erroneously interpreted as implying the prohibitions of contracts in futures and insurance markets. One consequence of all this confusion was that during this century both in the United States and England, the legislation and law on betting and gambling became ambiguous. The authors touch on this issue and make policy recommendations: to abolish restrictions on the industry, diminish the states' role in selling lotteries, and, at the same time, make legal distinctions capable of helping the tiny percentage of players who might be "addicted." The Brenners' recommendations on gambling are based on their conclusion that gamblers are neither "mentally ill" nor "criminals" and that gambling does not lead its practitioners to poverty. Rather, it is the other way around: some of the poor and the frustrated gamble. Looking at gambling in this way leads to questions about the nature of society: What do the fortunate do for those who are not? What is society's obligation to people who fall behind in the game of life? Answers to these questions require a discussion on the principles of equality, capitalism, the role of religious influence on society, topics that the Brenners have discussed in their previous studies, and they do so here too, putting gambling within its proper, historical context.

Download or read book An Engine Not a Camera written by Donald MacKenzie and published by MIT Press. This book was released on 2008-08-29 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

Download or read book Forecasting in Financial and Sports Gambling Markets written by William S. Mallios and published by John Wiley & Sons. This book was released on 2011-03-29 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to modeling analyses for financial and sports gambling markets, with a focus on major current events Addressing the highly competitive and risky environments of current-day financial and sports gambling markets, Forecasting in Financial and Sports Gambling Markets details the dynamic process of constructing effective forecasting rules based on both graphical patterns and adaptive drift modeling (ADM) of cointegrated time series. The book uniquely identifies periods of inefficiency that these markets oscillate through and develops profitable forecasting models that capitalize on irrational behavior exhibited during these periods. Providing valuable insights based on the author's firsthand experience, this book utilizes simple, yet unique, candlestick charts to identify optimal time periods in financial markets and optimal games in sports gambling markets for which forecasting models are likely to provide profitable trading and wagering outcomes. Featuring detailed examples that utilize actual data, the book addresses various topics that promote financial and mathematical literacy, including: Higher order ARMA processes in financial markets The effects of gambling shocks in sports gambling markets Cointegrated time series with model drift Modeling volatility Throughout the book, interesting real-world applications are presented, and numerous graphical procedures illustrate favorable trading and betting opportunities, which are accompanied by mathematical developments in adaptive model forecasting and risk assessment. A related web site features updated reviews in sports and financial forecasting and various links on the topic. Forecasting in Financial and Sports Gambling Markets is an excellent book for courses on financial economics and time series analysis at the upper-undergraduate and graduate levels. The book is also a valuable reference for researchers and practitioners working in the areas of retail markets, quant funds, hedge funds, and time series. Also, anyone with a general interest in learning about how to profit from the financial and sports gambling markets will find this book to be a valuable resource.

Download or read book Calculated Bets written by Steven S. Skiena and published by Cambridge University Press. This book was released on 2001-08-06 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: A story of using computer simulations and mathematical modeling techniques to predict the outcome of jai-alai matches and bet on them successfully.

Download or read book Quantitative analysis of gambling Stock markets and other games written by National Conference on Gambling and Risk Taking and published by . This book was released on 1982 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Review of Religious Beliefs Gambling Attitudes and Financial Market Outcomes written by Maximiliane Brecht and published by GRIN Verlag. This book was released on 2015-06-11 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2014 in the subject Business economics - Miscellaneous, grade: 1.0, University Heidelberg Alfred-Weber-Institut of Economics, course: Religion and Financial Behavior, language: English, abstract: As religious faith plays a crucial role in people’s lives and largely influences their behavior as well as their decision making, the study of religiosity has a long tradition in many social science disciplines. Nevertheless, this relationship became only a topic of interest in modern economic studies since the last quarter of the twentieth century, when Ehrenberg and Azzi (1975) developed a utility-maximizing model taking into account both lifetime and afterlife utility (see, for example, Iannaccone, 1998; Jackson and Fleischer, 2007). In 2012, around 91% of the US American population professed to ”believe in God or a universal spirit” (Lugo, 2012), suggesting that if religion does shape economic behavior, it should also affect aggregate market outcome. Hence, studies investigate both microand macroeconomic effects of religiosity 2 , while some recent papers specifically address the relationship between religion and financial decisions: risk aversion and speculative behavior in particular are believed to depend on religious adherence. Not only have studies linked religiosity with a higher level of pure risk aversion in corporate decision making (Hilary and Hui, 2009), but also suggests current research that religious beliefs spill over in investment decisions due to different notions of gambling. For instance, Kumar (2009) found Catholics to be more willing to take on speculative risk by investing more in risky stocks than Protestants do. This paper aims to critically review Kumar, Page, and Spalt (2011) and structures as follows: firstly the theoretical framework of gambling in economics will be presented with a focus on cumulative prospect theory and its implications for asset pricing. Then follows a comprehensive overview of the theoretical background and empirical findings of the paper with focus on the influence of religion on investors’ portfolio decisions and on overpricing of initial public offerings. The subsequent section discusses the hypotheses of Kumar, Page, and Spalt (2011). Eventually, the last section concludes with a summary of the main findings in a broader context and with an outlook on future research.

Download or read book Forecasting in Financial and Sports Gambling Markets written by William S. Mallios and published by . This book was released on 2011-02-11 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This print pack contains Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling + Savage/ Flaw of Averages. Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling + Savage/ Flaw of Averages

Download or read book Gambling Preferences Options Markets and Volatility written by Benjamin M. Blau and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble lotteries. These results suggest that investors' preferences for lottery-type stocks might be reflected in the level of call option volume. Perhaps, more importantly, we test whether these preferences affect future spot price volatility. Consistent with our expectation, we find that preferences for lotteries by call option traders directly affect future volatility in the underlying asset.

Download or read book Vinzenz Bronzin s Option Pricing Models written by Wolfgang Hafner and published by Springer Science & Business Media. This book was released on 2009-11-18 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.

Download or read book Advacing a Cumulative Prospect Theory written by Eugene Weichih Lee and published by . This book was released on 2010 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Volatility Pricing Advanced Trading Strategies and Techniques written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 1994-08-22 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies. Featuring: Pricing models Volatility considerations Basic and advanced trading strategies Risk management techniques And more! Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance. New sections include: Expanded coverage of stock option Strategies for stock index futures and options A broader, more in-depth discussion volatility Analysis of volatility skews Intermarket spreading with options