Espen Gaarder Haug
Dr. Espen Gaarder Haug is an author, quantitative trader and arbitrageur specializing in options and other derivatives. He holds a Ph.D. degree from NTNU (Norwegian University of Science and Technology). He is best known for his book "The Complete Guide to Option Pricing Formulas" 2nd EDition McGraw-Hill 2006. He is also a regular columnist for Wilmott magazine. Espen G. Haug has worked as a trader for J.P. Morgan Chase in New York City, Chemical Banking, Amaranth Advisors, Paloma Partners, Tempus Financial Engineering and Den norske Bank. Dr. Haug is on the faculty of the Certificate in Quant Finance where he lectures on practical aspects of derivatives trading.
Representative scientific publications
- Haug, E.G. (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
- Haug, E.G. (2004): Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott Magazine
- 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
- List of personalities associated with Wall Street
- List of quantitative analysts
Honors
- 2004: Outstanding Contribution to Quantitative Finance (Implementation), Wilmott Awards