Espen 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. Fact|date=February 2007

Major writings

*cite book
title = The Complete Guide to Option Pricing Formulas 2nd edition
publisher = McGraw-Hill
date = 2006
location = New York
pages =
url =
doi =
id = ISBN 0071389970

*cite book
last =
first =
authorlink =
coauthors =
title = Derivatives: Models On Models
publisher = John Wiley & Sons
date = 2007
location = New York
id = ISBN 0470013222

Representative scientific publications

*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. (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

See also

*"List of personalities associated with Wall Street".

References

*cite book
last = Wilmott
first = Paul
authorlink =
coauthors =
title = Best of Wilmott 2
publisher = John Wiley & Sons
date = 2005
location = New York
pages =
url =
doi =
id = ISBN 0470017384

External links

* [http://www.espenhaug.com Personal website]

* [http://web.mac.com/espenhaug/iWeb/Art/QuantArt.html Quant Finance Art]

* [http://www.portfolio.com/views/blogs/market-movers/2007/11/08/has-nassim-taleb-killed-black-scholes Haug and Taleb: Why We Never Used The Black Scholes Formula]

* [http://www.next-finance.fr/Espen-Haug-Je-reflechis-a-l-idee Interview with Espen Haug in french]

* [http://www1.nrk.no/nett-tv/klipp/289426 On Norwegian TV]

* [http://search.ft.com/iai?referer=&queryText=pablo+triana&y=3&location=http%3A%2F%2Fsearch.ft.com%2FftArticle%3FqueryText%3Dpablo%2Btriana%26y%3D3%26aje%3Dtrue%26x%3D18%26id%3D071210000142%26ct%3D0&aje=true&ct=0&id=071210000142&x=18 In Financial Times]

* [http://www.forbes.com/opinions/2008/04/07/black-scholes-options-oped-cx_ptp_0408black.html Discussion on Haug Taleb in Forbes]

* [http://us.ft.com/ftgateway/superpage.ft?news_id=fto041520081413158932&page=2 Discussion in Financial Times, Haug and Taleb in relation to the Black-Scholes formula]

* [http://www.financial-gurus.com/gurus/3469/Espen%20Gaarder-Haug/ Financial gurus]