Dynamic Portfolio Hedging Delta, Gamma and Vega Portfolio Neutral Last Update March 12, 2021 #### Matteo Bottacini, matteo.bottacini@usi.ch #### Project description In this project it is discussed how to construct a Dynamic multi-asset Portfolio Hedging with the usage of Options contracts. NVDA boomed over the last 2 years and here is discussed how to hedge a short position in NVDA calls. The aim is to hedge the exposure to changes in volatility, movements in the underlying asset and the speed of movements in the underlying asset. Options have exposure to not only the underlying asset but also interest rates, time, and volatility. These exposures are inputs to the Black-Scholes option pricing model. While building the script, it is also explored the intuition behind the Black-Scholes model. Folder structure: ~~~~ Dynamic-Derivatives-Portfolio-Hedging/ deliverables/ asset-allocation.py src/ utils.py variables.py README.md ~~~~ Content Main variables Black-Scholes-Merton (BS) model Greeks Dynamic hedging Portfolio position Greek neutralization Final Delta, Gamma, and Vega Neutral Portf

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