7FNCE041W Computational Methods For Finance, Westminster

Computational Methods for Finance

A report on a Financial Derivative
You are required to prepare a report on a Financial Derivative you designed. The word limit is 2000 (excluding reference, appendix and python files). For the report you are required to include the following elements:

1. Having collected relevant Data

a. Select one major cryptocurrency with the two-year period.
b. Use python to download its historical daily data via Yahoo Finance.
c. Plot the movement (shape) of the cryptocurrency over this time period and calculate its annualised volatility.

2. Methodology

a. Design a derivative and its associated pricing value using at least two methods which must be different.
Hints: Derivative can be any type, such as vanilla option, binary option etc.
b. You need to compare the results from these methods, such as Binomial, BSM and MC simulation etc.
c. The process must be implemented via Python.

3. Analysis
a. Calculate and explain its Greeks for the risk management purpose. Hints: you need to provide at least five Greeks

4. Coding
a. Upload your code to GitHub and insert the hyperlink below your summary/abstract. NO NEED to insert the code in the appendix
b. Marks will be awarded for your Python notebook with the annotations (.ipynb format or .py file, prefer .ipynb).

5. Presentation
a. Word count provided on front page and does not exceed limit
b. No spelling, grammar, punctuation errors, and properly formatted showing a professional structure and appearance of your coursework.
c. If needed Citations and references should be provided.

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