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1. Calculate with lambda 0.94 and 0.99:· i. volatilities, covariance and correlation· ii. plot volatilities and correlations and show how they change when you change lambda· iii. calculate the volatility of a portfolio that has currently - as of the last date of the data- 1M$/commodity· iv. calculate the 3 day, 95% confidence level VaR· v. to compare, calculate the 3 day, 95% confidence level historic VaR
2. Show how you construct a Delta and Gamma neutral portfolio with two call options which have respectively Delta = 20% and 80%, and Gamma = .002 and .003
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This assignment is based on the basics concept of the statistics. In this given task, there mainly two sub-sections. In first, we have to evaluate and analyze the volatilities, co-variance, and correlation for the given data-set. Also, in this section, we have to find value at risk. In second sub-section, we have to construct the delta and gamma neutral portfolio.
Dear Expert, please make sure to provide me with the complete asnwer. The File that I sent you has 2 exercises and the first one has 5 to do's. n iv. calculate the 3 days, 95% confidence level VaR · v. to compare, calculate the 3 days, 95% confidence level historic VaR I mention in the excel file where is iv. All the answers are correct and also the plot is up to the requirement.
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