Sébastien Bossu's Homepage

Current

• Research Fellow at the Center for Financial Engineering and Ph.D. candidate at IEOR, Columbia University, New York City
  [Initials & 2986]@columbia.edu
  Link to résumé
• Affiliate visitor, The University of Chicago Program on Financial Mathematics, Chicago, Illinois
  [First initial & Last name]@math.uchicago.edu

Former

• Director, Equity Derivatives Structuring, Dresdner Kleinwort, London
• MBA Adjunct Lecturer: Asset & Derivatives Pricing (Fall 2008), HEC Paris, France
  Link to student resources

Bio

“Sebastien Bossu is former Director of Equity Derivatives Structuring at Dresdner Kleinwort in London. He is currently pursuing a Ph.D. at Columbia University IEOR Department, and is a Research Fellow of the Center for Financial Engineering. A graduate of The University of Chicago, HEC Paris and Université Paris-6, he previously worked for JPMorgan in London and is the author of two textbooks, including 'Finance and Derivatives' translated into English by John Wiley & Sons.”

Publications

Textbooks

Finance & Derivatives: Theory & Practice (John Wiley & Sons)	Finance des Marchés – Techniques quantitatives et applications pratiques (Dunod)	L'oral de mathématiques aux concours des écoles de commerce (Ellipses)

Selected working papers

Date of first version between brackets

May 2007 (Feb.)		“A New Approach For Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort Equity Derivatives, Report
March 2006		“Introduction to Variance Swaps”, Wilmott Magazine, Article
July 2005		“Arbitrage pricing of equity correlation swaps”, JPMorgan Equity Derivatives, Working paper
May 2005 (Apr. 2004)		“Fundamental relationship between an index’s volatility and the average volatility and correlation of its components”, JPMorgan Equity Derivatives, Report (with Yi Gu)
May 2005 (Feb.)		“Just what you need to know about variance swaps”, JPMorgan Equity Derivatives, Report (with Eva Strasser and Regis Guichard)

Conferences, seminars and invited talks

On correlation:

“Equity Correlation Swaps: A New Approach For Modelling & Pricing”

16 Jan. 2009		Seminar, Stevanovich Center for Financial Mathematics, University of Chicago, Illinois
9 Nov. 2007		14th Annual CAP Workshop on Derivative Securities and Risk Management, Columbia University, New York
May 2007		ICBI Global Derivatives & Risk Management 2007, Paris Les petits-déjeuners de la finance, Ecole Polytechnique & ESILV, Paris
26 Feb. 2007		Financial Engineering Practitioners Seminar, Columbia University, New York
9 May 2006		ICBI Global Derivatives & Risk Management 2006, Paris

On variance swaps:

“Introduction to Volatility Trading and Variance Swaps”

10 Nov. 2007, 24 Feb. 2007, 2006, 2005

Equity Derivatives Workshop, University of Chicago Program on Financial Mathematics, Chicago

“Variance Swaps and Structured Volatility Arbitrage”

“Variance Dispersion in Equity Markets”