Read a review of the book here
Option Pricing Formulas link to amazon.com
Corrections 2nd editon Some of these can have been fixed by the publisher in some print-runs.
Derivatives models on models link to amazon.com
Finance related papers
2023: Gods Money, Wilmott Magazine
2021: Asian options with zero cost-of-carry: EEX options on freight and iron ore futures, Decisions in Economics, Sep
2020: Space-Time Money: Existing technology could revolutionize our view on money. Wilmott Magazine, Sep
Dec 2020: The smallest possible money unit! When money crashes into the laws of physics Physica A, Vol 560
July 2019: High Speed Trading, The Transatlantic submarine bridge Wilmott Magazine. Presented at the Bloomberg Quant (BBQ) Seminar Series in New York, June 2019
Jan 2019: The Philosophy of Randomness: Time in Relation to Uncertainty, When will Discounting dominate over uncertainty, can uncertainty collapse? Wilmott Magazine
July 2018: The Philosophy of Randomness, Limited or Unlimited Randomness? Wilmott Magazine
2018 Double Light Speed: History, Confusion and Recent Applications Implications for High Speed trading, Co-locations, Mid-point colocation etc.
November 2017: Stochastic space interval as a link between quantum randomness and macroscopic randomness? Physica A
Neutrinos to Give High-Frequency Traders the Millisecond Edge, By Bruce Dorminey
2007 "The Illusion of Risk-Free and the Deeper Meaning of Risk-Neutral Valuation" Wilmott Magazine, September
2007 "The quasi-Alchemy of Finance" — a picture tells more than 1000 words and possibly more than 100 equations? Wilmott Magazine, March
2006 "Practical Valuation of Power Derivatives", Wilmott Magazine January, Presented at NTNU Nov 2005 and Global Derivatives Paris May 2006
2005 "Hidden Conditions and Coin Flip Blow Ups", Wilmott Magazine, Mar/Apr, Presented in New York 2007
2004 Wilmott Award
2004 " Why so Negative to Negative Probabilities" Wilmott Magazine Sep/Oct. See also Negative Probabilities, Presented at Global Derivatives Madrid May 2004, NYU New York 2007.
2004 "Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott Magazine, July. Presented at: Global Derivatives Madrid May 2004, Morgan Stanley NY 2005, NTNU 2005, Courant Institute NYU 2007. Possibly the most robust theory in quant finance — practically measurable, though speculative on fat tails. Click here to download (pdf)
2004 "GARCH and Volatility Swaps," with Alireza Javaheri and Paul Wilmott. Quantitative Finance, Volume 4, October. Presented at Global Derivatives & Risk Management Conference 2002, Barcelona.
2003 "Back to Basics: A New Approach to the Discrete Dividend Problem" with Jørgen Haug and Alan Lewis, Wilmott Magazine, September
Know Your Weapon Part 3 is in my book *Derivatives Models on Models*. In this chapter, I claim I never actually used the Black-Scholes-Merton formula, contrary to earlier assumptions in Know-Your-Weapon 1 and 2. This paper (with Nassim) reveals that, although the earlier points remain valid, Part 3 sheds new light on model use and higher-order greeks.
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 Dr. William Margrabe and Dr. 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 Magazine Sep 2002, the hard copy also comes with the Collector Cartoon!
2001 "First-Then-Knockout-Options,"
2001 Together with Dr.Jørgen Haug I give you the solution to: Resetting Strikes, Barriers and Time.
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", 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.
Click here to download (pdf file)
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 Norwegian only)
1995 "OTC Interest Rate Derivatives," Derivatet, a Norwegian magazine covering derivatives.
1993 "Opportunities and Perils of Using Option Sensitivities," The Journal of Financial Engineering.
Epsilon: the second finance paper I wrote was about the importance of DDeltaDvol (change in delta for change in implied vol). The paper got rejected.
1992 "Volatility Cones in the Option markets," Beta, Scandinavian University Press. (In Norwegian only). This was the first finance paper I ever wrote and I got it published ;-)
1984 "Metor," Mikrodata
1984 "Torpedo," Mikrodata, number 3, April
1984 Inntekter/income, Mikrodata, number 2, a printed data program to make bar-charts over realized versus expected income (budget modelling). Possibly my first publication related to economics (and computer programming).
@ Copyright: from infinity to infinity, Espen Gaarder Haug