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Week 2: Portfolio, Forwards & Futures

This folder contains all Week 2 materials for “Mathematics of Derivative Pricing.” The primary focus is on:

  1. Portfolio Basics
    • Modern Portfolio Theory (MPT) fundamentals
    • Risk‐return optimization
    • Sharpe ratio maximization
  2. Forwards
    • Contract mechanics
    • Pricing via no‐arbitrage
  3. Futures
    • Exchange‐traded forwards
    • Mark‐to‐market and margining
    • Pricing relationships

Refer to the individual topic files (.md) for detailed notes and to the Jupyter notebooks in notebooks/ for code implementations on a basket of tech stocks (AMZN, AAPL, TSLA, NVDA, MSFT, META, GOOGL).

Folder Contents

  • 01_Portfolio_Basics.md – Theory, equations, sample code snippets for portfolio optimization
  • 02_Forwards.md – Introduction to forwards, payoff diagrams, pricing formulas
  • 03_Futures.md – Futures mechanics, margining, pricing via cost‐of‐carry
  • 04_Integrated_Notes.md – Placeholder for the combined narrative report (≈2 pages)
  • notebooks/ – Jupyter notebooks supporting the portfolio exercises
  • scripts/ – contains .py files for generating plots
  • Data/ - Historical data downloaded of the given stocks
  • Plots/ - Contain plots