Amit Ram Puniyani
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Reading

Popular Science

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Travelling
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Film

and Foreign Languages

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Studying

Anthropology, History

Qualifications

PhD in Computational Physics (Stanford), BTech in Engineering Physics (IIT Mumbai)
 

Areas of Expertise

Computational Modeling in Finance and Economics, Statistical and computational methods in Financial Derivatives and Risk Management 
 

Amit Ram Puniyani

Profile & History

Brief write-up: Worked on computational modeling in Physics for 10 years as undergraduate and graduate student, both in India and overseas. Got involved with financial modeling, forecasting and derivatives risk management after PhD and worked in overseas banks like Lehman Brothers (Now Nomura) and Deutsche bank for 12 years. Began teaching quantitative finance to FRM students during this period and also developed an interest in statistical arbitrage/algorithmic trading. Am quite broadly interested in applying statistical and computational methods to finance and economics and would also like to work with data from other domains using similar techniques/ideas such as policy, energy, marketing, elections etc. 

Courses taught: Statistics, Predictive Analytics lab in R and Python, Mathematical methods for managers (Time series forecasting and advanced regression), Credit Risk analytics, MDP on Statistical Learning


 

 

Research

Publications:

  • [1] Search in Power Law Networks, L A Adamic, RM Lukose and AR Puniyani, Physical Review E 64, (4), 046135 
  • [2] Expected shortfall and VAR: cracking the marginal allocations, Apporva Shende, Kyriakos Chourdakis, Amit Puniyani, Marc Jeannin, Alan Smillie and Eduardo Epperlein, Risk.Net, 29 April 2016
     

 

Conferences:

  • Harvard Business School Program on Entrepreneurship

Experience