Research & Development

Your partner in Research & Development

Through its highly qualified research team and its strong links with cutting-edge academic research, Finance Concepts maintains a research activity in quantitative finance which directly benefits our clients and gives them access to the latest models and methods in quantitative finance and risk management. Our research is disseminated through our training seminars, working papers and books.


Research papers

Modeling Volatility Risk in the Equity Options Market: A statistical approach
12 February 2014
M.Avellaneda & D.Dobi
Close-Out Risk Evaluation : Managing Simultaneously Liquidity and Market Risk for CCPs
23 March 2013
Marco Avellaneda
Reducing Variance in Numerical Solutions of Backward Stochastic Differential Equations
11 February 2013
M.Avellaneda & S.Alanko
Close-Out Risk Evaluation (CORE): A New Risk-Management Approach for Central Counterparts
03 July 2012
M. Avellaneda & R.Cont
Transparency in OTC Equity Derivatives Markets: a Quantitative Study
03 October 2011
M.Avellaneda & R.Cont
Trade Transparency in OTC Equity Derivatives Markets
23 September 2010
M.Avellaneda & R.Cont
Transparency in OTC Interest Rate derivatives markets
03 August 2010
M.Avellaneda & R.Cont
Transparency in Credit Default Swap Markets
23 July 2010
M.Avellaneda & R.Cont
La notation de crédit des produits structurés
03 October 2007