衍生品和风险管理代写 GSBS6142代写

GSBS6142 Derivatives and Risk Management T2 2022

Group Assignment

Due date: 11.59pm on Sunday 17 July 2022

衍生品和风险管理代写 Maximum word limit is 2000 words. Table of contents, references and appendices are not included in the word count.

INTRODUCTION

Your group will be asked to perform TWO major tasks in this group assignment which involve different practical option trading activities based on real market data. The first task is to assess your understanding of how to structure an investment strategy using options. The second task gives you an opportunity to identify and exploit option mispricing. It is advisable you do not start on some parts of this project until the relevant material has been covered in the course. This will be when Topic 6 has been covered for task 2.

IMPORTANT INFORMATION 衍生品和风险管理代写

You are expected to work in GROUPS of three to four members.
Maximum word limit is 2000 words. Table of contents, references and appendices are not included in the word count.
Your submission can be a maximum of 25 pages (Size 12 font, single spacing), including all discussion, graphs, tables and references.
Upload the report through Turnitin.
An Excelfile with evidence of actual data downloaded and supporting calculations must be submitted online to the Assignment_Supporting_Excel_File link on Canvas by the due date. You will need to include the student ID and name of the group leader in the Excel file name (for example, cxxxxxxx_FirstName_LastName). The word file should be a stand-alone report which will be marked. The Excel spreadsheet will also be reviewed. It must be submitted so that your working steps can be checked as required. 衍生品和风险管理代写
Use the university cover page (attached to the front) and the assignment mark sheet (attached to the back) when submitting the report
Each individual needs to finish the peer assessment using SPARKwithin 24 hours of the due date. You will not receive a grade if you do complete the peer assessment on time.
Individual marks will be determined through the peer assessment results and posted as soon as possible.
Make SURE you keep a copy of ALL of your work. It may be required for proof of submission if it is lost.

Penalties:

Any assignment submitted late will penalised at a rate of 10% per day.
Penalties will also apply if academic misconduct is found (refer to the Course Outline for more information).

TASK 1 衍生品和风险管理代写

In this task, you are required to form a trading strategy on options (or a combination of options and stocks) and implement it over the course of at least three weeks. Along with an assessment of your trading performance based on real market data, you must submit a report outlining what trading strategy you employed and why it was successful / unsuccessful. You may start this task at any time after the lecture in week 3 (by the start of week 6 at the latest).

As part of this task, you should consider registering for a trading simulation platform which is linked to live option data in order to realistically execute trade orders and assess the actual performance of your trading strategy. Alternatively, you must provide evidence of trade implementation and performance analysis based on real market data accessible from FACTSET. 衍生品和风险管理代写

REPORT WRITING

The report must document a list of transactions (with dates, prices and quantity that they were executed at) and profit/loss of the strategy (before and after transaction costs). The document must then discuss everything about your trading strategy including items such as:

Analysis of relevant factors (market conditions and/or specific information related to the underlying asset) which you consideredwhen forming your trading strategies. Note: you should make use of FACTSET to acquire relevant information related to market condition and/or specific information to the underlying asset.
Details of the strategies employed (contracts used, expected payoffs and trading objectives) 衍生品和风险管理代写
Your estimate of when would be the best time to close out position and/or rebalance your position.
Transaction costs used for all transactions, with evidence that it is a realistic figure.
Performance analysis and reasons for the performance.
Discussion of how things could have been improved.

TASK 2

In this task, you are required to identify an option (in any market in the world) that you believe is mispriced, based on actual option price data. Explain, illustrate and justify clearly why you think the instrument is mispriced. Notes: You need to identify a mispriced contract with at least 1 month left to maturity as such you can maintain your trading position for over 2 weeks as described below.

(Hints: You may want to examine whether the option price observed meets the put-call parity or lower bound conditions. Alternatively, you may apply a relevant option pricing model learnt in this course to estimate the theoretical price and assess if this deviates from the actual price). 衍生品和风险管理代写

You then need to set up a trading position that aims to make money from exploiting the mispriced derivative while minimising the risk exposure by maintaining a delta-neutral position. You can use as much money as you like. You are responsible for adjusting your portfolio (if needed) to maintain a delta hedge at least every week (ie you may even consider rebalancing your portfolio more often if necessary). You are required to show evidence of at least two weekly adjustments to your portfolio if rebalancing is required to maintain a delta-neutral position. You may start this task right after the lecture in week 6 (by the start of week 7 at the latest).

For this task, you need to provide evidence of the mispricing, record of any related transactions and calculation of the profit/loss of the strategy using actual market data accessible via FACTSET or a trading simulation platform which is linked to live option data, as similar to task 1.

REPORT WRITING 衍生品和风险管理代写

The report must clearly explain how the mispriced option is identified and document the list of transactions (with dates, prices and quantity that they can be executed at) and profit/loss of the trading position set up to exploit the mispricing (before and after transaction costs). The document must then discuss everything from the pricing and trading process including items such as:

How the mispriced optionis identified (justifying clearly why you think the instrument is mispriced and providing evidence that all information used in your analysis are realistic figures). Discuss possible reasons for the mispricing observed.
How the delta-neutral portfolio can be formed to exploit the mispricing(justifying whether the portfolio will deliver the intended outcome, the pros and cons using a delta-neutral portfolio given the trading objective)
Evidence of all relevant transactions, including portfolio rebalancing if any.
When would have been the best time to close out positions.
Transaction costs used for all transactions, with evidence based onrealistic figures.
Performance analysis and reasons for the performance.
Discussion of how things could have been improved.

MARKING CRITERIA

Each task is worth 15 marks.

For each task, the items specified in report writing will form the crux of what you will be assessed on, along with presentation and concise writing skills. The assessment rubric is given below. 衍生品和风险管理代写

Written group assignment – assessment rubric for each task

Criteria	Range	Marks
Understanding of theory	Very good (100%-75%) – Acceptable (74%-50%) – Poor (49%-0%)	/3 marks
Logic and reasoning of arguments	Very good (100%-75%) – Acceptable (74%-50%) – Poor (49%-0%)	/3 marks
Trading implementation and evaluation	Very good (100%-75%) – Acceptable (74%-50%) – Poor (49%-0%)	/3 marks
Depth of analysis and discussion	Very good (100%-75%) – Acceptable (74%-50%) – Poor (49%-0%)	/3 marks
Structure and presentation of the report	Very good (100%-75%) – Acceptable (74%-50%) – Poor (49%-0%)	/3 marks
	Total marks	/15 marks

Deductable Items (maximum of 1 mark per item)

Items	Deduction (Y/N)	Overall Comment
Word limit
Proper and consistent referencing
Typos
Visual organization and format
Table of contents Suitable headings

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