Contact person: Business Client

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Location: Mathura, India

Budget: Recommended by industry experts

Time to start: As soon as possible

Project description:
"Project description
I am looking for an experienced finance professional to prepare fully worked, step-by-step solutions for a set of four coursework-style questions in investments/derivatives. These solutions are for direct student submission, so clarity and explanation are very important.
The four question areas are:


Efficient Frontier with Python (Portfolio Theory)

Select 5 listed companies, download historical prices (2010-01-01 to 2022-12-31) from Yahoo Finance or Refinitiv.
Compute annualised returns and volatilities.

Use Python to simulate portfolios (around 2,000 simulations) and plot the efficient frontier.

Identify the maximum Sharpe ratio portfolio assuming a 3% risk-free rate; report the optimal weights and briefly discuss whether you would invest in this portfolio and why.


Equity CAPM – Theory + Regression Analysis

Clearly define CAPM, its purpose in asset pricing, and explain each component of the CAPM equation and what it means.

Choose 2 US companies from different industries, pull ~10 years of daily prices plus S&P 500 index and 10-year Treasury yield.

Run an OLS regression (Excel is fine) to estimate alpha and beta for each stock and interpret the coefficients.

Critically discuss CAPM’s assumptions, its real-world relevance, and limitations for both active and passive portfolio management.

Option Pricing & Strategies

Price a European call option using the Black–Scholes model with:

S₀ = 100, K = 110, T = 0.5 years, r = 5%, σ = 30%.

Re-price the option when volatility increases to 40% (due to positive news) and comment on the impact of volatility.

Draw and explain the P/L diagram of a short strangle, and state whether the position has positive/negative delta, gamma, theta and vega.

For a covered call strategy, explain the importance of time to expiry when choosing which call to short (all else equal).


Bond Valuation, YTM and DV01


Compute the dirty price of a US Treasury 2.5% coupon bond maturing 15-Aug-2030 trading at a given clean price on 2-Sep-2023 (semi-annual coupon, actual/actual).


For a hypothetical 10-year bond (2% annual coupon, face value $100m, given dirty price), calculate yield to maturity (YTM) and DV01, and explain the interpretation of DV01.


Evaluate a 1-year project that begins in one year, earning 10% at the end of the investment. Given current 1-year and 2-year interest rates (5% and 8%), show how to decide whether to undertake the project using bond/loan information.



Deliverables

A clearly written report (Word or PDF) with:

Full calculations shown step by step

Explanations in simple

Graphs/figures where required (efficient frontier, P/L diagram, etc.)

Python code (.py or .ipynb) for the efficient frontier and any data handling.

Excel file(s) for the CAPM regressions and bond/option calculations where relevant.

Requirements

Strong background in Finance / Financial Engineering / Quantitative Finance / Econometrics.

Solid knowledge of:

Portfolio theory & efficient frontier

CAPM and regression analysis

Black–Scholes option pricing & option Greeks

Bond pricing, YTM and DV01

Proficiency in Python (NumPy, pandas, etc.) and Excel/Regression tools.

Original work only – solutions must be written in your own words. I will check for plagiarism and AI-generated content.

How to apply
Please include in your bid:

A short summary of your relevant background (e.g. CFA, MSc in Finance, teaching/tutoring experience).

One example of similar quantitative finance work you have done (screenshots or brief description are fine).

Your fixed price quote for all 4 questions and estimated time to complete.

Looking forward to working with a reliable expert who can deliver clear, high-quality, step-by-step solutions." (client-provided description)