Espen Gaarder Haug
| Espen Gaarder Haug | |
|---|---|
 |
|
| Born | Drobak, Norway |
| Residence | Norway |
| Nationality | Norwegian |
| Fields | option pricing and trading |
| Institutions | Norwegian University of Life Sciences (current), Norwegian University of Science and Technology, J.P. Morgan Chase, Chemical Bank, Paloma Partners, Den norske Bank |
| Alma mater | Norwegian University of Science and Technology (PhD), BI Norwegian Business School (Diplomokonom) |
| Thesis | Six Essays on Option Valuation and Trading (2006) |
| Known for | Applied Option Pricing |
| Notable awards | Contribution to Quantitative Finance (Implementation) Wilmott Magazine 2004 |
| Website espenhaug |
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Espen Gaarder Haug is an author, quantitative trader specializing in options and other derivatives. He is best known for his book The Complete Guide to Option Pricing Formulas, and is a regular columnist for Wilmott Magazine.
He has worked as a trader for J.P. Morgan Chase in New York City, Chemical Banking, Paloma Partners, Tempus Financial Engineering, and Den norske Bank.[1] Haug is on the faculty of the Certificate in Quantitative Finance where he lectures on practical aspects of derivatives trading.[2] He is also a professor of finance at the Norwegian University of Life Sciences.
Haug is the recipient of the 2004 Wilmott Award: Outstanding Contribution to Quantitative Finance (Implementation).
He holds a Ph.D. degree from the Norwegian University of Science and Technology (NTNU).
In 2014 he published his theory on physics which he calls Indivisible Relativity Theory.
Books[edit]
- Unified Revolution: New Fundamental Physics. Oslo: E.G.H. Publishing. 2014. ISBN 978-829-99703-03.
- The Complete Guide to Option Pricing Formulas 2nd edition. New York: McGraw-Hill. 2006. ISBN 0-07-138997-0.
- Derivatives: Models On Models. New York: John Wiley & Sons. 2007. ISBN 0-470-01322-2.
Representative scientific publications[edit]
- Haug, E.G. and Taleb, N.N. (2011): "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior and Organization
- Haug, E.G. and Stevenson, J. (2009): Options Embedded in Physical Money, Wilmott Magazine 1/2009
- Haug, E.G. and Taleb, N.N. (2008): Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1012075, Wilmott Magazine 1/2008
- Haug, E.G. (2007): The Illusion of Risk-Free and the Deeper Meaning of Risk-Neutral Valuation" Wilmott Magazine, September
- Haug, E.G. (2005): Hidden Conditions and Coin Flip Blow Ups" Wilmott Magazine, Mar/Apr,
- Haug, E.G. (2004): Why so Negative to Negative Probabilities" Wilmott Magazine, September, see also negative probability
- Haug, E.G. (2004): Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott Magazine [1]
- Haug, E.G. and Javaheri, A. and Wilmott, P. (2004): GARCH and Volatility Swaps, Quantitative Finance, Volume 4
- Haug, E.G. (2001): Closed Form Valuation of American Barrier Options, International Journal of Theoretical and Applied Finance
- Haug, E.G. (1993): "Opportunities and Perils of Using Option Sensitivities," The Journal of Financial Engineering.
See also[edit]
References[edit]
- Wilmott, Paul (2005). Best of Wilmott 2. New York: John Wiley & Sons. ISBN 0-470-01738-4.
External links[edit]
- Trading with Aliens Chartered Magazine
- Harvard Business Review
- Personal website
- Blog
- Interview with Espen Haug in french
- On Norwegian TV
- In Financial Times
- Discussion on Haug Taleb in Forbes
- Discussion in Financial Times, Haug and Taleb in relation to the Black-Scholes formula
