Espen Gaarder Haug
| Espen Gaarder Haug | |
|---|---|
| File:EspenGHaug1.pngEspenGHaug1.png | |
| Born | Drøbak, Norway |
| 🏡 Residence | Norway |
| 🏳️ Nationality | Norwegian |
| 🎓 Alma mater | Norwegian University of Science and Technology (PhD), BI Norwegian Business School (Diplomokonom) |
| 💼 Occupation | |
| Known for | Applied option pricing |
| 🌐 Website | espenhaug |
Espen Gaarder Haug is a Norwegian author and quantitative trader specializing in options and other derivatives. He is best known for his book The Complete Guide to Option Pricing Formulas, and is a regular columnist for Wilmott.[1]
He holds a Ph.D. degree from the Norwegian University of Science and Technology (NTNU).[2]
Work[edit]
He has worked as a trader for J.P. Morgan Chase in New York City, Chemical Banking, Paloma Partners, Tempus Financial Engineering, and Den norske Bank.[3] Haug is on the faculty of the Certificate in Quantitative Finance where he lectures on practical aspects of derivatives trading.[4] He is also a professor of finance at the Norwegian University of Life Sciences.
Haug is the recipient of the 2004 Wilmott Award: Outstanding Contribution to Quantitative Finance (Implementation).[5]
Haug has been an outspoken critics of the Black-Scholes and Merton model. Together with Nassim Taleb, they claim that based on historical evidence that the formula itself was well known before Black-Scholes and Merton published in 1973, and that it only was re-derived in a way not compatible with the way experienced traders use the formula in practice. The Black-Scholes and Merton derivation relay heavily on continuous dynamic delta hedging. An argument Haug and Taleb claim is not even close to robust in practice to remove most of the risk in options. They claim traders for a very long time had developed much more robust hedging and pricing techniques. This is outlined in detail in their well cited paper "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula". This is also discussed in Haug's book Derivatives Models on Models, see also [6] [7][8] .
In 2014 he published his theory on physics, which he calls indivisible relativity theory in his book "New Fundamental Physics" . The book is controversial, one of the key concepts in the book is that there is a maximum velocity of anything with rest-mass that is just below the speed of light has later been published in peer reviewed journals, such as Acta Astronautica and Physics Essays. Only further theoretical and experimental research can truly show if there is something to this hypothesis or not. The speed limit he has derived and suggested is far above what is achieved at the Large Hadron Collider, but below the speed of light, this comes out from his mathematical formulation that is related to the Compton wavelength and the Planck length. The theory is linked to that something special happen at the so called Planck scale. It is indeed at the Planck scale that several published theories predicts something special could happen. However it is very challenging to test at such high energy scales, with todays technology impossible. However it has been suggested by other authors in published papers that one could then try to look to see if these theories prediction of non normal physics at the Planck scale then potentially also be detectable at much lower energy levels (where testing today can be done). If so one could distinguish between theories and reject the ones not fitting experiments.
Books[edit]
- Unified Revolution, New Fundamental Physics. Oslo: E.G.H. Publishing. 2014. ISBN 829997030X. Search this book on
- The Complete Guide to Option Pricing Formulas 2nd edition. New York: McGraw-Hill. 2006. ISBN 0-07-138997-0. Search this book on
- Derivatives: Models On Models. New York: John Wiley & Sons. 2007. ISBN 0-470-01322-2. Search this book on
Representative scientific publications[edit]
- Haug, E.G. and Hoff, H. (2018): "*Stochastic space interval as a link between quantum randomness and macroscopic randomness?" Physica A, Vol 493, Pages 400–409.
- Haug, E.G. (2017): "*The ultimate limits of the relativistic rocket equation. The Planck photon rocket" Acta Astronautica, Vol 136.
- Haug, E.G. (2016): "The gravitational constant and the Planck units. A simplification of the quantum realm," Physics Essays, Vol 29. No. 4.
- Haug, E.G. and Taleb, N.N. (2011): "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior and Organization
- Haug, E.G. and Stevenson, J. (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, see also negative probability
- Haug, E.G. (2004): Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott Magazine [1]
- Haug, E.G. and Haug, J. and Lewis, A. (2003): "Back to basics: a new approach to the discrete dividend problem" 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[edit]
References[edit]
- ↑ Wilmott, Paul (2005). Best of Wilmott 2. New York: John Wiley & Sons. ISBN 0-470-01738-4. Search this book on
- ↑ https://www.ntnu.edu/iot/phd-theses
- ↑ http://www.espenhaug.com/about.html
- ↑ http://www.cqf.com/lecturers/profiles?page=3
- ↑ http://www.espenhaug.com/WilmottAwards2004.pdf
- ↑ https://www.ft.com/content/26c2064e-0b15-11dd-8ccf-0000779fd2ac
- ↑ https://www.forbes.com/2008/04/07/black-scholes-options-oped-cx_ptp_0408black.html#3685be5d7593
- ↑ http://www.investmentreview.com/analysis-research/black-swan-bites-black-scholes-3813
External links[edit]
- Photon Rockets Might Make Mars A Three Minute Trip, Forbes
- Only 3 Minutes To Get To Mars? That’s What A Photon Rocket Can Do!, The Wall Street Pit
- We May Be Able to Build a Rocket That Can Go 99.999% the Speed of Light, Futurism
- A theoretical physicist just found a way for us to reach Light Speed, Global futurist
- Trading with Aliens Chartered Magazine
- Harvard Business Review
- Personal website
- 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
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