portfolio-replication

Dynamic Delta-Hedging Strategy on Real Market Data (NVDA).Dynamic Delta-Hedging Strategy on Real Market Data (NVDA). Analysis of the impact of volatility estimators (Garman-Klass vs Close-to-Close) on the performance of a self-financing replicating portfolio

Monte Carlo simulation of Black-Scholes delta-hedging to analyze the impact of rebalancing frequency on the hedging error

A project for my exam of "Metodi Probabilistici per Algebra Lineare Numerica" (Probabilistic Methods for Numerical Linear Algebra). The work is based on an the article "arXiv:2104.05877v3" and discusses probabilistic low rank matrix approximation and their application to the replica of the S&P100 index.

Sparse S&P 500 portfolio replication using LASSO regression, greedy forward selection, and quadratic programming for tracking-error minimization.

this repository features projects in client analytics, digital marketing, and quantitative finance. The fourth project, "Futures-Based Hedge Fund Index Replication," was extended into a final project that explores the strategy in greater depth with enhanced modeling and analysis.