“Sebastien Bossu graduated from HEC Paris and then went on to obtain
his Masters in Financial Mathematics at the
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9 November 2007 |
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14th Annual
CAP Workshop on Derivative Securities and Risk Management, Columbia
University, New York: “Equity Correlation Swaps: A New Approach For
Modelling & Pricing” |
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10 November 2007 |
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Equity
Derivatives Workshop, University of Chicago Program on Financial Mathematics,
Chicago: “Introduction to Volatility Trading and Variance
Swaps” |
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Previous events |
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June 2007 |
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Risk07, |
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May 2007 |
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ICBI Global
Derivatives & Risk Management 2007, Paris: “A New Approach To
Equity Correlation Modelling & Pricing” |
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May 2007 |
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Les
petits-déjeuners de la finance, Ecole Polytechnique & ESILV, Paris:
“Equity
Correlation Swaps: A New Approach For Modelling & Pricing” |
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April 2007 |
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IQPC
Correlation Trading 2007, London: “Variance Dispersion in Equity
Markets” |
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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” |
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28 November 2006 |
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IQPC Volatility Trading 2006, |
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9 May 2006 |
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ICBI Global Derivatives & Risk Management 2006, Paris: “A
New Approach For Modelling & Pricing Correlation Swaps in Equity
Derivatives” |
Date of first version
between brackets
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May 2007 (Feb.) |
[pdf] |
“A New Approach For
Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort Equity
Derivatives, Report |
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March 2006 |
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“Introduction to Variance Swaps”, Wilmott
Magazine, Article |
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July 2005 |
[pdf] |
“Arbitrage pricing
of equity correlation swaps”, JPMorgan Equity Derivatives, Working
paper |
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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) |
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May 2005 (Feb.) |
[pdf] |
“Just what you need
to know about variance swaps”, JPMorgan Equity Derivatives, Report (with Eva Strasser
and Regis Guichard) |