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Authors = Johannes Hendrik Venter

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19 pages, 2226 KiB  
Article
Trading Option Portfolios Using Expected Profit and Expected Loss Metrics
by Johannes Hendrik Venter and Pieter Juriaan de Jongh
Risks 2024, 12(8), 130; https://doi.org/10.3390/risks12080130 - 16 Aug 2024
Viewed by 1506
Abstract
When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in [...] Read more.
When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the strategies estimate the drift and volatility parameters of the future probability distribution of the price of the underlying asset. From this distribution, the trader can further estimate the future expected profit and expected loss that may be experienced for any portfolio of strikes of the call and put contracts. Expected profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by making the reward as high as possible under the risk tolerance set by the trader. Extensive back-testing applications to historical data of SPY option chains illustrate the effectiveness of these strategies, particularly when dealing with short-term expiry options and when acting as a seller of put and call options. Full article
(This article belongs to the Special Issue Portfolio Theory, Financial Risk Analysis and Applications)
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21 pages, 1271 KiB  
Article
Trading Binary Options Using Expected Profit and Loss Metrics
by Johannes Hendrik Venter and Pieter Juriaan De Jongh
Risks 2022, 10(11), 212; https://doi.org/10.3390/risks10110212 - 8 Nov 2022
Cited by 2 | Viewed by 5454
Abstract
Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of [...] Read more.
Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of trades, taking risk tolerance into account, is discussed. Formulas are derived for the EP and EL of call and put binaries assuming that the price of the underlying asset follows a geometric Brownian motion. The results are illustrated with practical data from the Nadex trading platform. The Black–Scholes notion of implied volatility is extended to wider notions of implied drift and volatility of the price process of the underlying asset. Illustrations show how these notions can be used to identify attractive binary trades, taking anticipated price movement into account. The problem of selecting portfolios of call and put binary options which maximize portfolio EP while constraining the portfolio EL to satisfy risk tolerance and diversification requirements, is formulated and solved by linear programming. This is also illustrated with the Nadex data under various scenarios. Full article
(This article belongs to the Special Issue New Advance of Risk Management Models)
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21 pages, 12844 KiB  
Article
A Harmonized Information Security Taxonomy for Cyber Physical Systems
by Johannes Hendrik Pool and Hein Venter
Appl. Sci. 2022, 12(16), 8080; https://doi.org/10.3390/app12168080 - 12 Aug 2022
Cited by 2 | Viewed by 2904
Abstract
Cyber physical systems (CPSs) are found in many aspects of daily life, and they control and protect energy production, manufacturing and even healthcare. Due to long lifecycles and the use of legacy technologies, its associated security comes with many challenges. Security taxonomies are [...] Read more.
Cyber physical systems (CPSs) are found in many aspects of daily life, and they control and protect energy production, manufacturing and even healthcare. Due to long lifecycles and the use of legacy technologies, its associated security comes with many challenges. Security taxonomies are useful to classify and communicate security-related information and elements. Despite the existence of numerous taxonomies, they are fragmentary, limited to only specific lifecycle phases or cover only specific aspects. A harmonized taxonomy must be applicable to all lifecycle phases of the CPS. This paper presents well-established taxonomies that are combined into a single comprehensive and harmonized taxonomy and allows application throughout the different lifecycle phases. Application of the taxonomy to real-world scenarios requires a consistent implementation methodology. The use of the harmonized taxonomy methodology is demonstrated by applying it to an actual incident case study. The taxonomy is used to identify information security gaps through its implementation in the industrial facility in question. The identified gaps are then addressed as part of the security lifecycle of the CPS. The harmonized taxonomy can be expanded to apply it to industries with specific requirements. Full article
(This article belongs to the Special Issue Security Research and Challenges in Cyber-Physical Systems)
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