1. Calculate with lambda 0.94 and 0.99:
· i. volatilities, covariance and correlation
· ii. plot volatilities and correlations and show how they change when you change lambda
· iii. calculate the volatility of a portfolio that has currently - as of the last date of the data- 1M$/commodity
· iv. calculate the 3 day, 95% confidence level VaR
· v. to compare, calculate the 3 day, 95% confidence level historic VaR
2. Show how you construct a Delta and Gamma neutral portfolio with two call options which have respectively Delta = 20% and 80%, and Gamma = .002 and .003
Attachment:- Corn Soy price.rar