Espen Gaarder Haug

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Espen Gaarder Haug
Born Drobak, Norway
Residence Norway
Nationality Norwegian
Fields option pricing and trading
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.[1] Haug is on the faculty of the Certificate in Quantitative Finance where he lectures on practical aspects of derivatives trading.[2] 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).

He holds a Ph.D. degree from the Norwegian University of Science and Technology (NTNU).

In 2014 he published his theory on physics which he calls Indivisible Relativity Theory.


Representative scientific publications[edit]

  • 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,, 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 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]


  1. ^
  2. ^

External links[edit]