Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.

The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
Nassim Taleb on Black Swans
Stephen Ross on Arbitrage Pricing Theory
Emanuel Derman the Wall Street Quant
Edward Thorp on Gambling and Trading
Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
Aaron Brown on Gambling, Poker and Trading
David Bates on Crash and Jumps
Andrei Khrennikov on Negative Probabilities
Elie Ayache on Option Trading and Modeling
Peter Jaeckel on Monte Carlo Simulation
Alan Lewis on Stochastic Volatility and Jumps
Paul Wilmott on Paul Wilmott
Knut Aase on Catastrophes and Financial Economics
Eduardo Schwartz the Yoga Master of Quantitative Finance
Bruno Dupire on Local and Stochastic Volatility Models

�ber die Autorin bzw. den Autor

Dr Espen Gaarder Haug has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. Before that he worked for Tempus Financial Engineering, Chase Manhattan Bank (now J.P. Morgan Chase) and Den Norske Bank.

He is the author of The Complete Guide of Option Pricing Formulas, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!

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