In 2019 this repository was created to host the notebooks for the exercises of market risk lesson held at LUISS. The repository is here to allow students to upload the notebooks in binder and execute the exercises.
Year 2019. The repository contains three notebooks:
1-Hedging => hedging of a digital option
2-Frontier => building a Markowitz frontier, and analysis of some aspects
3-VarExample => an example of VaR calculation (in parametric and historical approaches)
Notice: the workbooks do not work any more, are here just for the fun (and contain some errors...).
Year 2021. One notebook only:
1-Exercises2021 => VaR calculation, backtesting and hedging.