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Ameya Abhyankar
Ameya Abhyankar

183 Followers

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Dec 2, 2022

Simulation of correlated random walks for a basket of stocks using Python

Background In many quantitative finance applications, we frequently generate random walks to build the path of a certain asset that follows a stochastic process. By far the most popular model for simulation of a stochastic process is the geometric Brownian motion (GBM) for simulating the path of a single equity stock…

Simulation

4 min read

Simulation of correlated random walks for a basket of stocks using Python
Simulation of correlated random walks for a basket of stocks using Python
Simulation

4 min read


Oct 19, 2022

Foundations of Numerical Methods — the Pythonic way

Background Numerical Methods by definition mean the application of a certain analytical technique to solve a certain problem. From quantitative modelling point of view, there are many problems for which we do not have a ready formula (i.e., a closed form solution). For such instances, we have to resort to some…

Numerical Methods

6 min read

Foundations of Numerical Methods — the Pythonic way
Foundations of Numerical Methods — the Pythonic way
Numerical Methods

6 min read


Oct 6, 2022

Matrix Algebra to solve Linear Equations with Python

Background Most of us have solved set of linear equations at a certain point of time in our lives — be it in school, undergraduate or postgraduate level. These type of problems were commonly referred to a set of simultaneous equations. …

Matrix Algebra

4 min read

Matrix Algebra to solve Linear Equations with Python
Matrix Algebra to solve Linear Equations with Python
Matrix Algebra

4 min read


Jul 31, 2022

Demystifying Risks in FX Markets

Background: Foreign Exchange (“FX”) as an asset class is a key component of the global financial markets. The size of the FX market is humongous given the level of trading activity witnessed in this market. The interesting part about FX is — it’s a market that is open throughout the trading…

Foreign Exchange

6 min read

Demystifying Risks in FX Markets
Demystifying Risks in FX Markets
Foreign Exchange

6 min read


Jul 22, 2022

Understanding Credit Derivatives

Overview of Risk existing in the market Risk is the uncertainty in any transaction. Risk may manifest itself in multiple forms including market risk, credit risk, operational risk, compliance risk etc. Over the years, banks and financial institutions have become risk aware which is evident from the increased investment towards strengthening of their overall risk management infrastructure…

Credit Risk

6 min read

Understanding Credit Derivatives
Understanding Credit Derivatives
Credit Risk

6 min read


Jun 17, 2022

Capital Requirements for Operational Risk for Banks

Background: Capital is the fuel for any business be it banking or otherwise. An organization requires capital for a variety of purposes including: 1. Exploring new business opportunities 2. Maintaining a strong balance sheet position 3. Regulatory requirements 4. Overcoming market stresses to continue as a going concern The above mentioned…

Banking

5 min read

Capital Requirements for Operational Risk for Banks
Capital Requirements for Operational Risk for Banks
Banking

5 min read


Apr 28, 2022

Exposure Monitoring methods by Banks

Background: Exposure Monitoring is a key component of risk management for banks and lending institutions. At an enterprise level a bank will decide its risk appetite / risk tolerance. There are various ways in which the risk appetite is inculcated in every action that the bank takes — be it…

Exposure

5 min read

Exposure Monitoring methods by Banks
Exposure Monitoring methods by Banks
Exposure

5 min read


Mar 11, 2022

Methodology for Credit Value Adjusted (CVA) Capital Charge calculation

Background: This article is a part of the series of articles pertaining to regulatory capital charge for banks that I had published a couple of months back which spoke about the technique for computation of Capital charge for fixed income products And also the methodology to calculate the Capital Charge…

Risk Capital

5 min read

Credit Value Adjusted (CVA) Capital Charge
Credit Value Adjusted (CVA) Capital Charge
Risk Capital

5 min read


Feb 4, 2022

Capital Charge for Market related Off- Balance Sheet exposures

For any business, capital happens to be key component from the point of view of growth and stability. A bank that is well capitalized is better positioned to pursue new business opportunities, enhance customer experience, and most importantly stay robust in times of market stress; all of which leads to…

Basel

5 min read

Capital Charge for Market related Off- Balance Sheet exposures
Capital Charge for Market related Off- Balance Sheet exposures
Basel

5 min read


Dec 22, 2021

Pricing Commodity Options with Python

Globally, the options market is huge. Options trade on both: Organized Exchanges and the much bigger Over the Counter (OTC) market. Further, this derivative product can have any asset as the underlying. When I say any asset, it means that once the counterparties to the options contract agree on using…

Quantitative Finance

4 min read

Pricing Commodity Options with Python
Pricing Commodity Options with Python
Quantitative Finance

4 min read

Ameya Abhyankar

Ameya Abhyankar

183 Followers

Founder: FinQuest Institute | Ekspert Consulting; www.finquestinstitute.com; www.ekspertconsulting.com

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