Haug, Espen

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Espen Gaarder Haug is a quantitative trader specializing in derivatives.


  • 2002-2006 Investment Bank prop trading. FX, Fixed income, metals, equity
  • 1999-2002 Prop trading for US-based Hedge fund. Energy, equity, FX and fixed income
  • Tempus Financial Engineering AS, Derivatives Research and System development
  • Chase Manhattan Bank, Derivatives Research and Option Trading
  • Den norske Bank, Trader/Market Maker USD interest rate options

Academic and Professional Qualifications

  • Dr Philosophiae from Norwegian University of Science and Technology
  • Diplomøkonom from BI Norwegian School of Management
  • Degree in Garden plants from Dømmesmoen Gartner Skole Grimstad
  • National Association of Securities Dealers Series 7 Exam


In his spare time he enjoys rollerblading, snow skiing, mountain biking, kayaking, pumping iron, pistol shooting, and oil painting.


Espen's blog can be found here



  • Models On Models, 2007 John Wiley & Sons Ltd
  • The Complete Guide to Option Pricing Formulas, 2nd edtion 2006 McGraw-Hill

Papers and Articles

2008 with Nassim Taleb ""Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula", Wilmott Magazine, January

2007 "The Illusion of Risk-Free and the Deeper Meaning of Risk-Neutral Valuation" Wilmott Magazine, September

2007 "The quasi-Alchemy of Finance" Wilmott Magazine, March

2006 "Practical Valuation of Power Derivatives" Wilmott Magazine January, Presented at Norwegian University of Science and Technology Nov 2005, Presented at Global Derivatives Paris May 2006

2005 "Hidden Conditions and Coin Flip Blow Ups" Wilmott Magazine, Mar/Apr Presented in New York 2005

2004 "Why so Negative to Negative Probabilities" Wilmott Magazine, September, Presented at Global Derivatives Madrid May-2004

2004 "Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott Magazine, July, Presented at Global Derivatives Madrid May-2004, Presented in New York 2005

2004 "GARCH and Volatility Swaps," Together with Alireza Javaheri and Paul Wilmott. Quantitative Finance, Volume 4, October. Presented at the Global Derivatives & Risk Managment Conference 2002 Barcelona.

2003 "Back to Basics: A New Approch to the Discrete Dividend Problem" with Jørgen Haug and Alan Lewis, Wilmott Magazine, September

2003 "Know Your Weapon Part 2" Wilmott Magazine, July. Presented at Columbia University 2004 New York, Presented at CQF London, Updated version in Best of Wilmott 2, 2005 Wiley Publishing.

2003 "Know Your Weapon Part 1" Wilmott Magazine, May. Presented at Columbia University 2004 New York, Presented at CQF London., Updated version in Best of Wilmott 2, 2005 Wiley Publishing.

2003 "Asian Pyramid Power" with William Margrabe and Jørgen Haug, Asian option volatility and the importance of taking into account the volatility term structure Wilmott Magazine, March. Presented in New York (Risk Magazine Conference), London, Paris and Norway

2003 "Frozen Time Arbitrage" Wilmott Magazine, January

2002 "Knock in/out Margrabe" Together with Dr. Jørgen Haug, Wilmott Magazine, December - 2002

2002 "A Look in the Antimatter Mirror" Wilmott, In hard copy in Wilmott Magazine Sep 2002, the hard copy also come with the Collector Cartoon!

2001 "First-Then-Knockout-Options," Wilmott

2001 Together with Dr. Jørgen Haug "Resetting Strikes, Barriers and Time" Wilmott

2001 "The Options Genius," Wilmott magazine May

2001 "Closed Form Valuation of American Barrier Options" International Journal of Theoretical and Applied Finance

1999 "Opsjoner på Elkraft", Derivatet, In Norwegian only.

1998 "Option Sensitivities in a Dynamic Perspective Virtual Reality," Derivatet, a Norwegian magazine covering derivatives. In Norwegian only

1997 "Put-Call Barrier Transformations,"Working paper Tempus Financial Engineering. Presented at the Danske Bank Symposium on Securities with Embedded Options 1998.

1996 "Implied Forward Volatility" with Jørgen Haug , Presented at the Third Nordic Symposium on Contingent Claims Analysis in Finance.

1996 "Implied Correlation in the Currency Option Market," Beta , Scandinavian University Press. (In Norwegain only)

1995 "OTC Interest Rate Derivatives," Derivatet, a Norwegian magazine covering derivatives.(In Norwegain only)

1993 "Opportunities and Perils of Using Option Sensitivities," The Journal of Financial Engineering.

1992 "Volatility Cones in the Option markets," Beta, Scandinavian University Press. (In Norwegian only)