Browsing Journal Articles by Author "Virmani, Vineet"
Now showing items 1-5 of 5
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Computational finance using QuantLib-Python
Varma, Jayanth R.; Virmani, Vineet (IEEE Computer Society, 2016)Given the complexity of over-the-counter derivatives and structured products, almost all derivatives pricing today is based on numerical methods. Large financial institutions typically have their own teams of developers ... -
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket; Virmani, Vineet (Infopro Digital Services, 2023-09-04)Central counterparties carry out stress tests using historical and hypothetical stress scenarios to assess the adequacy of their default management resources. Parametric models for the construction of hypothetical stress ... -
Numeracy and financial literacy of forest-dependent communities
Balakrishna, S.; Virmani, Vineet (Vikalpa: The Journal for Decision Makers, 2019)The article examines the numeracy and financial literacy of the Indian forest-dependent communities (FDC) involved in the joint forest management (JFM) programme, launched by the Government of India in 1990. An understanding ... -
Shareholders’ reaction to ethical image of sports teams: an event study in the Indian Premier League
Jaikumar, Saravana; Pingali, Viswanath; Virmani, Vineet (DECISION, 2019)Using event study analysis on a sports team and parent firm in the Indian Premier League, we show that investors react adversely to: (1) unethical but legal activity that may have a positive impact on the firm’s value and ... -
Term structure estimation with liquidity-adjusted Ane Nelson Siegel model: A nonlinear state space approach applied to the Indian bond market
Virmani, Vineet; Kumar, Sudarshan (Routledge Publishing, 2021-12-12)Efficient term structure estimation in emerging markets is difficult not only because of overall lack of liquidity, but also because of the concentration of liquidity in a few securities. Using the arbitrage-free Affine ...