The Finance Concepts Team

 

Marco AVELLANEDA has held positions as Professor of applied mathematics and Director of Division of Financial Mathematics at New York University, Courant Institute of Mathematical Sciences, as Vice president in the Derivative Products group at Morgan Stanley, and as a partner at the Gargoyle Equity Volatility Fund. Known in finance as the inventor of the Uncertain Volatility model and for his work on the Weighted Monte Carlo algorithm, he also has extensive advisory and consulting experience in the fields of volatility trading, relative-value trading, pricing and analysis, arbitrage and the OTC market. An established author in the areas of quantitative modelling of derivative securities and quantitative analysis on financial markets, Marco has also written approximately 90 research papers and is Managing Editor for “International Journal of Theoretical and Applied Finance”.

Richard BRUYERE  is a consultant specialized in the field of capital markets, asset management, structured finance and private equity. 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) "Probabilités et Finance".

Rama CONT is Director of the Center for Financial Engineering at Columbia University, New York, CNRS research scientist at Ecole Polytechnique and a founding partner of Finance Concepts. His research interests include computational methods in option pricing, models based on implied volatility and issues related to model risk, model selection and calibration. Rama has taught at various academic institutions in Europe and the US including Ecole Polytechnique, Université de Paris VI, HEC, Osaka University and Princeton University, and is a regular speaker in training courses for finance professionals. He has worked as a consultant for several financial institutions in Europe 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).

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.

Nicole El Karoui is Professor of Applied Mathematics at the Ecole Polytechnique 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

Sasha Stoikov is Assistant Professor at Columbia University, New York. 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.

Peter Tankov  is assistant professor at Paris VII University where he teaches mathematical finance. He holds a doctoral degree in applied mathematics from Ecole Polytechnique, France. 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 process (CRC Press, 2003).

 

 

 		 

 

Finance Concepts partners

Finance Concepts partners have consulting experience with:

  • Bank of International Settlement

  • BNP Paribas

  • CALYON

  • CISCO

  • Electricité de France

  • Finance Active

  • HSBC

  • IXIS

  • Morgan Stanley

  • Natexis Banques Populaires

  • Reech Capital

  • Royal Bank of Canada

  • SocGen

  • Total Trading

 

Examples of projects
accomplished by our team