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Marco AVELLANEDA is currently Professor of Mathematics and Director of Division of Financial Mathematics at New York University's Courant Institute of Mathematical Sciences.
He began his Wall Street career as vice-president in the Morgan Stanley Derivative Products Group. Subsequently, he was portfolio manager in equity volatility Strategies at Gargoyle Strategic Investments LLC, Head of Volatility Arbitrage at Capital Fund Management, where he managed the Nimbus Fund, and, more recently, Portfolio Manager in quantitative equity strategies at the Galleon Group in New York.
He is known in academic finance as the inventor of the Uncertain Volatility model and for his work on the Weighted Monte Carlo algorithm and the theory of Dispersion Trading, as well as for several other papers in quantitative finance and derivatives. Marco has extensive experience in the fields of derivatives, quantitative strategies in equities and volatility trading from the point of view of hedge funds and Wall Street firms. He is also in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance.
He has authored the textbook Quantitative Modelling of Derivative Securities: From Theory to Practice , and edited several other books and conference proceedings.
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Richard BRUYERE is a consultant specialized in the field of capital markets, asset management, structured finance and private equity.
Richard is also President of Image & Finance, specializing in asset management market surveys. After graduating from HEC, he helped launch the credit derivatives business at Société Générale before joining Credit Suisse First Boston (London), where he developed the structured credit business. He is the author of the book Les produits dérivés de crédit , the first publication on this subject in French which was awarded several times. An english version of the book, Credit Derivatives and Structured Credit (Wiley 2005), is now available.
Richard teaches finance and capital markets at HEC (France's premier business school) and at the University Paris-VI in the Master (DEA) "Probabilité et Finance".
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Rama CONT is Director of the Center for Financial Engineering at Columbia University, New York, CNRS research scientist and founding partner of Finance Concepts.
His research interests include computational methods in option pricing, volatility modeling, credit risk and issues related to model risk, model selection and calibration.
He has taught at various academic institutions in Europe and the US including Columbia University, Ecole Polytechnique, Université de Paris VI, HEC, Osaka University, Princeton University and is a regular speaker in training courses for finance professionals. He has worked as a consultant for financial institutions in Europe and the US on topics ranging from performance analysis of hedge funds to numerical methods for exotic options.
Rama is the co-author of Financial modelling with jump processes (CRC Press 2003), Credit Derivatives and Structured Credit (Wiley 2005).
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Bruno Dupire has headed various Derivatives Research teams at Societe Generale, Paribas Capital Markets and Nikko Financial Products before joining the quantitative research team at Bloomberg. After obtaining a PhD in numerical analysis, he pioneered the widely used local volatility models in 1993. He has subsequently worked on stochastic volatility modelling and Monte Carlo methods for option pricing. He is now a consultant in the fields of derivatives and asset management and sits on the advisory board of PRMIA. In 2002 he was included in the Risk Hall of Fame of the 50 most influential figures in Derivatives and Risk management.
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Nicole El Karoui is Professor of Applied Mathematics at Paris VI University and a well known expert in mathematical finance with numerous publications in this field and a recognized expertise in stochastic models in finance, pricing of interest rate derivatives using change of numeraire techniques, credit risk, pricing and hedging of derivative instruments and stochastic optimization theory.
Founder of one of the first graduate programs in quantitative finance, she has also accumulated more than 20 years of experience in consulting for various financial institutions and hedge funds in Europe.
Her recent work has covered optimal design of derivatives in illiquid markets, credit risk and optimal portfolio management with American capital guarantees.
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Sasha STOIKOV is Head of Research at CFEM, Cornell University. Previously, he was Courant instructor at New York University and Visiting Assistant Professor at Columbia University. He holds a Ph.D. in Mathematics from the University of Texas and a Bachelor of Science from the Massachusetts Institute of Technology in Mathematics. His research is in market microstructure, market incompleteness and their impact on the optimal strategies of stock and option traders. In particular, his quantitative finance research focuses on models of volatility, dynamics of limit order books and market-making techniques.
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Peter Tankov is assistant professor at Ecole Polytechnique, France, where he teaches probability theory and mathematical finance. He holds a doctoral degree in applied mathematics from Ecole Polytechnique and has previously worked at INRIA Research Institute and Paris VII University. His research focuses on copulas and dependency modelling, applications of Lévy processes in finance, model calibration and option hedging. He is a co-author of the book Financial Modelling with Jump Processes (CRC Press, 2003) and associate editor of the Encyclopedia of Quantitative Finance (Wiley).
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Finance Concepts partners Finance Concepts has consulted for:
Bank of International Settlements
BNP Paribas
CALYON
CISCO
Electricité de France
Finance Active
HSBC
ICE Trust
IXIS
Mizuho Corporate Bank
Morgan Stanley
Natixis
Reech Capital
Royal Bank of Canada
SocGen
South Street Securities
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Examples of projects accomplished by our team
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