Financial engineering

These service offers are aimed at the R&D and IT teams of our Investment Bank, Asset Manager and financial IT Software Publisher clients. We intervene on a cost-plus or fixed-price basis

Quantitative Analyst

  • Design, Development, Validation of Pricing Model Models
  • Design and Development of Market Data Models
  • Design and Development of Investment performance analysis models
  • C++, C#, Python, , R, Matlab, XL-VBA
  • SVN, GIT
  • Interest Rate Derivatives, Shares, Loans, Foreign Exchange

IT Quant

  • Development of Pricing Models
  • Integration of pricing models into the client Information System pricing library 
  • Pricing issue support
  • C++, C#, Python C++, C#, Python, R, Matlab, XL-VBA
  • SVN, GIT
  • Interest Rate Derivatives, Shares, Loans, Foreign Exchange

Commando Front Office

  • Development of Front Office and Middle Office dedicated tools
  • Interest Rate Derivatives, Shares, Loans, Foreign Exchange
  • C++, C#, VBA, PL/SQL, Transact SQL -SUMMIT, CALYPSO, MUREX
  • Reuters, Bloomberg

DataScientist

  • Big data analysis and expertise
  • Implementation of strategies to deal with a specific issue
  • R, Java, Perl, C/C++, Python
  • Machine Learning
  • Hadoop
  • Hive, Pig
  • Big Data, NoSQL

Project examples

Pricing library re-factoring

For one of our stock market company clients. Re-factoring and optimisation of its interest rate derivative product pricing library, we intervened on a fixed price basis (one quantitative analyst and 2 IT QUANTS) over a period of 4 months.

Technical environment:
  • C++, VBA EXCEL, REUTERS.
Completed projects:
  • Structuring and cleaning of the code with isolation of all unused code
  • Provision of technical documentation and comments on active code
  • Diagnostic and improvement recommendations
  • Maintenance of existing code, Interface redesign, Replacement and Integration

Design of a REPO pricer

For a major Parisian Investment Bank, design and development of new REPO product and risk calculation pricers with automation and reliability guarantees. Cost-plus basis within our client's 6 person R&D team.

Technical environment:
  • C++
Completed projects:
  • Surveying and documentation of the existing models
  • Development of a prototype REPO product pricer
  • Integration of a new pricer into the pricing library