Joe Wayne Byers Formerly Assistant Applied Professor of Finance Phone: (713) 802-1297 Cell: (918) 269-1598 Email:  FinancialSEAL@FinancialSEAL.com Disclaimer:  The following web pages are my pages from my former position at the University of Tulsa.  These pages do not in anyway imply that I am currently affiliated with the university.  I only provide my archives here for informational purposes only.  Thank you Joe W. Byers

Trading and Risk Management

Finance 7153

Project 3: Analysis of Trader's Book

Overview:

The student is to present risk analytics of a portfolio of options and forwards.  The analysis will encompass the strategy of the position, the risk of the position, and the potential changes in the position.

Requirements:

1. Compile the aggregate position and risk of the the portfolio.  The aggregate position is the market value of the book.  The aggregate risk is the total delta, vega, gamma, theta, rho, and elasticity of the book.

2. Generate graphs and reports of changes in the positions 1 month, 3 months, and 6 months in the future.  This is value given current market conditions and risk of the book.

3. Prepare a written analysis of the book (<=10 Pages).

4. Present the analysis of the book at a traders meeting (round table discussion with management: ME!).

Due dates: TBD.

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