Marco Marchioro

Learning Quantitative Finance with QuantLib

Thesis and dissertations

In completing the requirements for an academic degree, the final thesis for a master program or the dissertation of a Ph.D. candidate are a very important part of the student's curricula. Unfortunately most students, understandably busy to find a job, after their graduation do not have the strength or the time to publish their work on a refereed journal. So far I have been very lucky with the students that worked with me and I want to share with the whole financial community their work, since I believe it is worth being published. Be aware that some students do not translate their work in English, in this case I will provide a short summary of their work. 

Performance attribution for a portfolio of linear commodity derivatives

Master Candidate: Alex Molteni

Final candidate seminar: March 29th, 2012

Grade achieved: Summa cum laude (110 e lode)

FileMolteni-advs-Marchioro.pdf 

Summary

After an introduction, the subjects of performance measurement and attribution for generic portfolios is revised providing definitions for both arithmetic and geometric performance measures. In a later chapter the focus is shifted to storable commodities and to the corresponding arbitrage relationships. It is then described how to compute the performance attribution for futures contracts related to the same margin account (providing some original results). A simplified version of an hedge-fund-like long/short portfolio is built with futures contracts on crude oil (WTI), gold, and wheat. The portfolio performance is analyzed for a period of one month and the contribution from each commodity is split from the others. Finally, in the real centerpiece of the work, using a linearized pricing-function approach the performance attribution to the different risk factors (discount curve, spot prices, and convenience yields) is provided, also providing original results, and the importance of the convenience yield is outlined.

Risk attribution for linear commodity derivatives 

 Master Candidate: Andrea Boschetto

Final candidate seminar: March 29th, 2012

Grade achieved: Summa cum laude (110 e lode)

FileBoschetto-advs-Marchioro.pdf 

Summary

In the first chapter the student provides a summary of the derivative instruments available to take positions on commodity prices and their fundamental arbitrage-free relationships. In the following chapter the focus is shifted to the risk measures usually employed in risk management, with a focus on value at risk and expected shortfall. Since the main computational tool of the thesis was QuantLib, the third chapter briefly describes it and how this library can be used in a spreadsheet. The next chapter describes the pricing functions of the most popular linear commodity derivatives and the different financial variables involved (focusing on the commodity convenience yield). Finally, in the last chapter the students describe the computational details for the risk attribution of commodity futures spreads, providing original results on the importance of the convenience-yield risk factor. 

Risk attribution of portfolios depending on a very large number of factors

 Ph.D. Candidate: Edit Rroji

Other details: Not available yet 

Risk computation of VIX derivatives

Master Candidate: Leonardo D'Auria

Other details: Not available yet

For students interested in future Thesis and Dissertations

Very often I am contacted by students that ask me if I can be their advisor. Even thought I am flattered to receive so many requests I am currently not a full time faculty member and I have to decline most students. In any case if you are really motivated and you are a first-grade student, you can e-mail me your request with the grade transcript. The selection process will then proceed with an interview, in my office, so that I can decide wether to take you as a new student

Oops! This site has expired.

If you are the site owner, please renew your premium subscription or contact support.