Examples of recent assignments of Finance Concepts

Client:
Leader player on fixed income markets
Issue:
Options pricing with SABR model
Results:
Improvement of Hagan approximation

Client:
Leader player on computer science
Issue:
Valuation of warrants on stock-options of client firm
Results:
Elaboration of a software which compute  the "fair value" of the warrants, in taking into account the cash-flows produced by the resale of employees stock-options.
 
 

Client:
Trading society in the field of energy
Issue:
Validation of pricing model of quanto swaps and options on oil
 
 

Client:
Leader player on funds management
Issue:
Management of options on hedge-funds index
Results:
Original methods for dynamic management of options on hedge-funds index with taking into account liquidity problem.

Client:
Leading player on the structured credit products market
Issue:
Pricing and hedging of CDOs
Results:
Design of a new computation method, adapted to the client’s technological environment and models used internally development of a specific software including calculation acceleration tools (software currently used by the client)

Client:
Listed options trading company
Issue:
Management of a portfolio of equity and index options (500 names)
Results:
Partnership for the development and implementation of a trading software (results over 2 years: +20% per annum and 70% Sharpe ratio)
 
Client:
Global leader on the prime brokerage market
Issue:
Audit of the fund management system
Results:
Models audit and propositions for system evolution to the Management of the company (cooperation with the Risk, Equity Derivatives and Prime Brokerage departments)
 
Client:
Leading multi-manager
Issue:
Design of an allocation tool for a fund of fund
Results:
Audit of model and design of specifications for funds of funds allocation tool

Finance Concepts partners

Finance Concepts partners have consulting experience with:

• Bank of International Settlements

• BNP Paribas

• CALYON

• CISCO

• Electricité de France

• Finance Active

• HSBC

• IXIS

• Mizuho Corporate Bank

• Morgan Stanley

• Natixis

• Reech Capital

• Royal Bank of Canada

• SocGen

• South Street Securities

• Total

• Total Trading