Derivatives on Cryptocurrencies: the case of futures contracts on Bitcoin

Abstract

In this thesis, we will talk about the most famous cryptocurrency that is Bitcoin. We introduce this virtual money and then we will focus on the only derivatives contract that it was issued until now, which is Bitcoin futures. First, we will analyze the volatility, then the Bitcoin futures that was introduced in the market by the Chicago Mercantile Exchange (CME) and the Chicago Board Options Exchange (CBOE). At the end, we will compare two portfolios: the first one with just Bitcoin and the second one with Bitcoin futures and in this way we can see how futures contract can hedge the investments.