Espen Gaarder Haug
|Espen Gaarder Haug|
|Fields||randomness, probability, uncertainty, option pricing, trading, atomism, relativity theory|
|Institutions||Norwegian University of Life Sciences (current), Norwegian University of Science and Technology, J.P. Morgan Chase, Chemical Bank, Paloma Partners, Den norske Bank|
|Alma mater||Norwegian University of Science and Technology (PhD), BI Norwegian Business School (Diplomokonom)|
|Thesis||Six Essays on Option Valuation and Trading (2006)|
|Known for||Applied Option Pricing|
|Notable awards||Contribution to Quantitative Finance (Implementation) Wilmott Magazine 2004|
Espen Gaarder Haug is an author, 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 Magazine.
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. Haug is on the faculty of the Certificate in Quantitative Finance where he lectures on practical aspects of derivatives trading. 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).
In 2014 he published a new theory on fundamental physics based on postulates from ancient Greek atomism, in his book Unified Revolution: New Fundamental Physics. From atomism Haug has derived a new relativity theory that he has coined Indivisible Relativity Theory, where he claims Einstein´s special relativity theory is a special case that holds under Einstein synchronized clocks. Indivisible relativity theory predicts that the true one-way speed of light is anisotropic and that it only can be detected by special experimental set ups described in his book. Further indivisible relativity theory predicts that the true one-way time dilation is anisotropic and not reciprocal between reference frames. However indivisible relativity theory shows that when using Einstein synchronisation of clocks one will indeed observe apparent isotropic one-way time dilation that is reciprocal between reference frames. Indivisible relativity theory leads to the same mathematical relationship between energy and matter as first derived by Albert Einstein, but from a new and different perspective rooted in ancient atomism.
- Unified Revolution: New Fundamental Physics. Oslo: E.G.H. Publishing. 2014. ISBN 978-829-99703-03.
- The Complete Guide to Option Pricing Formulas 2nd edition. New York: McGraw-Hill. 2006. ISBN 0-07-138997-0.
- Derivatives: Models On Models. New York: John Wiley & Sons. 2007. ISBN 0-470-01322-2.
Representative scientific publications
- 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 
- 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.
- 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