FINANCE | download brochure
Enthought has been training quantitave analysts and collaborating with domain experts in financial modeling for a number of years. As a result, we've developed specialized training material and custom applications for users in this field.
Training for Financial Analysts
One of our most popular training courses, Python for Financial Analysis, contains a substantial component on financial analysis in addition to excercises tailored to the topic such as:
- Filtering and plotting an array of Dow Jones closing data.
- Calculating options pricing using Black-Scholes models
- Estimating volatility using GARCH
- Using a Monte Carlo simulation to calculate an option price
Custom Applications for Financial Analysis
Value at Risk This project, performed for a Wall Street firm, was designed because a hedge fund needed an implementation of Value at Risk (VaR) on a daily time horizon to estimate the risk of its portfolio. Their data came from disparate, inconsistent sources including components with behaviors like seasonality to be accounted for. Our VaR application was based upon the financial industry de facto standard, the RiskMetrics VaR methodology. However, deviations from that methodology to account for seasonality and non-linear portfolios were required to create more robust and reliable estimates. In the latter case, for instance, a method based on characteristic functions of probability distributions was used instead. The resulting application was deployed as a service that other web applications in the client's infrastructure could use to provide live VaR estimates.
