“A Comprehensive Comparison of Quantitative Finance Models for Hedging of Options Portfolio”- seminar by QFRG & DSLab [09.10.2023]

We kindly invite you to join the coming seminar organised jointly by the Quantitative Finance Research Group and Data Science Lab.

During the coming meeting Maciej Wysocki, M.A. – student of the doctoral program “Economics and Finance” realised on our Faculty and prof. Robert Ślepaczuk – Head of the Department of Quantitative Finance of our Faculty will present results of their research.

The meeting will take place on October 9th 2023 at 6:30 p.m. in hybrid mode: in room B002 at the Faculty of Economic Sciences, University of Warsaw (Długa 44/50) and via Zoom platform. Meeting ID: 944 5065 2939, the direct link: https://uw-edu-pl.zoom.us/j/94450652939?pwd=dk9qY3dkbUp4R0FYSTlNOWRvcFRJUT09, Passcode: 858254.

The meeting will be conducted in English. Please log in the latest at 6:20 p.m.

Presentation abstract:

This report presents a comparison of quantitative finance models used for the valuation and hedging of the S&P500 index options. The comparative analysis was conducted using established metrics, including Value-at-Risk and risk-adjusted performance measures, while also considering transaction costs associated with specific strategies. The models used in this study include the Black-Scholes-Merton model with implied volatility, and the Variance-Gamma model based on L`evy processes. The study was based on 1-minute S&P500 index option prices and index quotes from 2018 to 2022. We implemented algorithmic trading strategies for options based on the volatility risk premium concept and the aforementioned quantitative finance models applicable to hedging of options portfolios.