Mini Project 1: Constructed two portfolios to illustrate the effect of sector concentration on risk. A portfolio with 10 stocks in tech sector is shown to be of higher risk compared to a portfolio with 10 stocks from different sectors.
Mini Project 2: The hypothesis of normal distribution of log returns is tested for S&P 500 returns for past 25 years. It was examined if removing extreme values restore normality of distribution. It was also examined if different sectors show any differences in their normality of log return distribution.
Mini Project 3: Black Scholes option pricing is studied with a focus on time sensitivity and spot price sensitivity of the prices. The effects different volatility is also considered.
Mini Project 4: Effects of non-constant volatility on Profit and Loss distribution of selling a delta-hedged call option is examined. A one step vega hedging strategy using a second option with different strike price is implemented