Sebastien Bossu’s Homepage

Current

Director, Equity Derivatives Structuring, Dresdner Kleinwort, London
[First Name] [DOT] [Last Name]@dkib.com
Affiliate Visitor, The University of Chicago Program on Financial Mathematics, Chicago, Illinois
[Initial & Last Name]@math.uchicago.edu

Bio

“Sebastien Bossu graduated from HEC Paris and then went on to obtain his Masters in Financial Mathematics at the University of Chicago. After 2 years within JPMorgan's Equity Derivatives Group as an exotics & hybrids structurer, he joined Dresdner Kleinwort in 2005 where he is now running Equity Derivatives Structuring. He is the author of two textbooks, including 'Finance and Derivatives' translated into English by John Wiley & Sons.”

Selected Events

9 November 2007		14^th Annual CAP Workshop on Derivative Securities and Risk Management, Columbia University, New York: “Equity Correlation Swaps: A New Approach For Modelling & Pricing”
10 November 2007		Equity Derivatives Workshop, University of Chicago Program on Financial Mathematics, Chicago: “Introduction to Volatility Trading and Variance Swaps”
*Previous events*
June 2007		Risk07, London: “Variance Swaps and Structured Volatility Arbitrage”
May 2007		ICBI Global Derivatives & Risk Management 2007, Paris: “A New Approach To Equity Correlation Modelling & Pricing”
May 2007		Les petits-déjeuners de la finance, Ecole Polytechnique & ESILV, Paris: “Equity Correlation Swaps: A New Approach For Modelling & Pricing”
April 2007		IQPC Correlation Trading 2007, London: “Variance Dispersion in Equity Markets”
February 2007	[pdf]	Financial Engineering Practitioners Seminar, Columbia University, New York: “Equity Correlation Swaps: A New Approach For Modelling & Pricing”
February 2007	[pdf]	Equity Derivatives Workshop, University of Chicago Program on Financial Mathematics, Chicago: “Introduction to Volatility Trading and Variance Swaps”
28 November 2006		IQPC Volatility Trading 2006, London: “Variance Swaps and Structured Volatility Arbitrage”
9 May 2006		ICBI Global Derivatives & Risk Management 2006, Paris: “A New Approach For Modelling & Pricing Correlation Swaps in Equity Derivatives”

Publications

Textbooks

Finance & Derivatives: Theory & Practice, John Wiley & Sons, 2005

Finance des Marchés – Techniques quantitatives et applications pratiques, Dunod, 2008

L’oral de mathématiques aux concours des écoles de commerce, Ellipses, 2001

Selected Working Papers

Date of first version between brackets

May 2007 (Feb.)	[pdf]	“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	[pdf]	“Arbitrage pricing of equity correlation swaps”, JPMorgan Equity Derivatives, Working paper
May 2005 (Apr. 2004)	[pdf]	“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.)	[pdf]	“Just what you need to know about variance swaps”, JPMorgan Equity Derivatives, Report (with Eva Strasser and Regis Guichard)