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UECM3763 Computational Finance Assignment

UECM3763 Computational Finance Assignment

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Instructions:

UECM3763 Computational Finance Assignment1.Select two different instruments (either stocks, index futures, commodity futures) from two different industries.

2.Find and download the daily close price of the two instruments for at least two years worth of data. (You can either use investing.com or Bloomberg terminal at the library.) Save the file onto any cloud storage such as Google drive or Dropbox. Provide links to the data files you downloaded.

3.Record the PE, NAV, EPS, dividend and any other fundamental information of the chosen instruments.

4.Assuming that the prices follow a stochastic differential equation:

Calculate and .

5.Estimate the price of an at-the-money 6-month Asian call options derived from the two instruments, where the payoff of an Asian option is

Report your attempt on the problem in the report template you submitted in Task 1:

Indicate clearly which instruments you have chosen for the assignments, and the duration of the data.

Indicate clearly and explain what method you used for your calculation, and explanation why this method will work.

Paste your Python code into your report. Your code should be commented properly.

How do you know the answer you calculated is accurate/correct? Explain. Cautions:

Remember to set your hackmd.io markdown report into ‘locked’ status, so that no other people can edit.

Any appeal on corrupted markdown report will not be entertained.

The deadline of Task 2 is a hard deadline, no extension is allowed. You should complete your report by the stipulated deadline. One minute after the deadline, a script will be run to capture all the reports and will be sent for peer reviews. Any updates after the deadline will not be seen by your reviewers. Thus, you are encouraged to write your report progressively and not in the last minutes.

FAQ: 1. none at the moment …

UECM3763 Computational Finance — Assignment

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