Espen Haug

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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.^{[citation needed]}

Contents 1 Major writings 2 Representative scientific publications 3 See also 4 References 5 External links

[edit] Major writings

• (2006) The Complete Guide to Option Pricing Formulas 2nd edition. New York: McGraw-Hill. ISBN 0071389970. 

• (2007) Derivatives: Models On Models. New York: John Wiley & Sons. ISBN 0470013222. 

[edit] 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 (in print)

• 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

[edit] See also

• List of personalities associated with Wall Street.

[edit] References

• Wilmott, Paul (2005). Best of Wilmott 2. New York: John Wiley & Sons. ISBN 0470017384. 

[edit] External links

• Personal website

• Quant Finance Art

• Haug and Taleb: Why We Never Used The Black Scholes Formula

• 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