FINA461, Derivative Securities

Introduction The project focuses on the practical application of some aspects of the theory of financial derivatives learned in class. In particular the first part of the project focuses on Futures contract settlement, starting from the data available on the market. Application of option pricing and the dynamic delta-gamma hedging of positions on options are the core of the second and the third part of the project, with the application on Excel of the major pricing models, and dynamic hedging strategies.