KNOW YOUR WEAPON
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Date: 03-08-2004
Start Time:
5:30pm
End Time: 7:30pm
Speaker: Epsen Haug, J.P. Morgan, New York
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
KNOW YOUR WEAPON
-Delta Symmetry
-Maximum Gamma and
the illusion of Risk
-Higher order greeks
-Black-Scholes-Merton in
extreme situations
-Numerical Greeks versus analytical
greeks
In
my ten+ year as a trader I have seen many a BSD option trader getting confused
with what the computer was spitting out. They often thought something was wrong
with their computer system/implementation. Nothing was wrong, however, except
their knowledge of their weapon. Before you move on to a more complex weapon
(like a stochastic volatility model) you should make sure you know conventional
equipment inside-out. In this presentation I will I will not show the nerdy
quants how to come up with the BSM formula using some new fancy mathematics. You
don't need to know how to melt metal to use a gun.
BIO
Espen Haug is currently working as a proprietary derivatives trader for J.P. Morgan New York. Prior to joining J.P. Morgan he worked for several years as a senior option trader for Paloma Partners and Amaranth Advisors, a market neutral hedge fund based in USA. He has developed systems and tools for options and interest rate derivatives for the Chase Manhattan Bank Derivatives Research and Trading Group (Europe), and has also worked for several years in Den Norske Bank. Further, he has published numerous articles on options and risk management in academic journals and industry journals. His book The Complete Guide to Option Pricing Formulas has become a standard reference among Wall Street professionals.