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FINANCE CONCEPTS RESEARCH 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.
Credit default swaps and financial stability
Rama Cont, Banque de France, Financial Stability Review, july 2010
Credit Default Swaps and Financial Stability
Rama Cont, Financial Stability Review, Banque de France (2010)
A Dynamic Model for Hard-to-Borrow Stocks
Avellaneda, Marco and Lipkin, Mike
Path-dependence of Leveraged ETF returns
Marco Avellaneda & Stanley Zhang, May 26, 2009
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
Rama Cont (Editor), Wiley, November 2008
Statistical Arbitrage in the US Equity Market
Marco Avellaneda and Jeong-Hyun Lee
High-frequency trading in a limit order book
Marco Avellaneda and Sasha Stoikov, Quantitative Finance, Vol. 8, No. 3, April 2008, 217–224
La notation de crédit des produits structurés
Rama Cont - October 2007
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Financial modelling with jump processes Description : Financial Modelling with Jump Processes demonstrates that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling, and does so in terms well within the grasp of nonspecialists. With clear-sighted explanations, the authors motivate the use of the various mathematical tools used in the modelling process, and while giving an intuitive understanding of proofs, provide precise mathematical statements of the results. They illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book clearly shows that the concepts and tools necessary for understanding and implementing these models can be much more accessible and intuitive that those involved in the Black Scholes and diffusion models.
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Rama Cont , Peter Tankov - CRC Press, 2003
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Les produits dérivés de crédit "armes financières de destruction massive " s'insurgeait récemment le célèbre investisseur milliardaire américain Warren Buffet.
Dans le même temps, Alan Greenspan, Chairman de la Fédéral Réserve, la banque centrale des États-Unis, se félicitait de l'éclosion de cette nouvelle classe d'instruments financiers qui aurait contribué, selon lui, à renforcer la stabilité des établissements bancaires.
En focalisant le débat sur les dérivés de crédit, ces observateurs éminents des marchés de capitaux ont mis en lumière l'une de leurs évolutions les plus fondamentales au cours de la dernière décennie. Cet ouvrage procède à un tour d'horizon complet du marché des produits dérivés de crédit.
Il aborde le contexte de création de ces instruments, leurs mécanismes de fonctionnement et leurs principales applications.
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R Bruyere, R Cont, C Jaeck, L Fery, T Spitz - Paris: Economica, 2004
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Quantitative analysis of derivative securities Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
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Marco Avellaneda & Peter Lawrence - CRC Press, 1999
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Credit derivatives and structured credit A Guide for Investors Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps – the building block of the credit derivatives market.
Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets.
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R Bruyere, R Cont, C Jaeck, L Fery, T Spitz - Wiley Finance, 2 December 2005
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