Comments in Norwegian
2013: Trading with aliens
2012: Neutrinos to Give High-Frequency Traders the Millisecond Edge, By Bruce Dorminey
The neutrino arbitrage
39 ) 2011 with Stein Frydenberg and Sjur Westgaard "Distribution and Statistical Behavior of Implied Volatility," Business Valuation Review, May, Vol 29, No. 4
38 ) 2011 with Nassim Taleb "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior and Organization, February, Vol 77, Issue 2
37 ) 2010 "A Scientific Coin Flip Experiment"
36 ) 2010 "When Will God Destory Our Money?"
Intense Solar Storm Spins Satellite Out of Control
Will God Destroy Our Money or Will We Do It First?
35 ) 2010 "Arbitrage-free Space-Time Equilibrium"
34 ) 2009 "Options Embedded in Physical Money" Final version in Wilmott Magazine, March print version, here only early working paper version. We are all involved in complex options on a daily basis, options embedded in the money system, options that few are aware of, but that could be very important in particular in the times soon to come. Together with Dr. Stevenson. Felix Salmon comment Reuters , Alternative investments jingling around in your pocket , Penger er ikke det du tror
33 ) 2009 "The History of Option Pricing and Hedging" a chapter in the new book "Vinzenz Bronzin's Option Pricing Models: Exposition and Appraisal" Editors Hafner and Zimmmermann, Spriner Verlag. Even excluding my chapter this book is a fantastic book with the first time English translation of the outstanding book of mathematics Professor Bronzin on Option Pricing, originaly published in 1908. Almost every element of modern option pricing can be found in Bronzin’s book.
32 ) 2008 "Transmuting Jumps into Diffusion" Wilmott Magazine, September. This article is about taming the beast, how we can shape the asset price process and distribution. In other ways moving from passive modelers to actively shaping the asset price distribution. There are strong limitations to this and even some side effects. Some of this was presented at Derivatives Week Stockholm June 2008 (OMX NASDAQ)
31 ) 2007/2008 Together with: Nassim Nicholas Taleb: "Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula", Working paper, updated verion. See also Has Nassim Taleb Killed Black-Scholes? , Another Commetary, La ilusión Black-Scholes, Real life gets in the way of BSM certainty , Final Version in Wilmott Magazine Technical Paper Section January 2008 see also recent commet by Pablo Tirana in Forbes, Financial Times
30 ) 2007 "The Illusion of Risk-Free and the Deeper Meaning of Risk-Neutral Valuation" Wilmott Magazine, September
29 ) 2007 'The quasi-Alchemy of Finance" a picture tells more than 1000 words and possibly more than 100 equations? Wilmott Magazine, March
Espen Haug : "Je réfléchis à l’idée de monter un anti-hedge fund..."
28) 2006 "A Quick Note Continuous Arithmetic Asian Options with Zero Cost of Carry"
27) 2006 "Practical Valuation of Power Derivatives" Wilmott Magazine January, Presented at Norwegian University of Science and Technology Nov 2005, Presented at Global Derivatives Paris May 2006
26) 2005 "Hidden Conditions and Coin Flip Blow Ups" Wilmott
Magazine, Mar/Apr, Presented in New York 2007
2004 Wilmott Award
25) 2004 "Why so Negative to Negative Probabilities" Wilmott Magazine Sep/Oct see also Negative Probabilities
, Presented at Global Derivatives Madrid May-2004, NYU New York 2007.
24) 2004 "Space-time Finance, The Relativity Theory's Implications for Mathematical Finance" Wilmott
Magazine, July. Presented at: Global Derivatives Madrid May-2004, Open seminar at Morgan Stanley New York 2005, NTNU internal seminar 2005, Courant Mathematical Institute NYU 2007. This is probably the most robust theory in quant finance ever. Well it is has probably no practical implications at the moment, but it is practical measurable. (the fat-tail part is speculative). Click here to download (pdf file)
23) 2004 "GARCH and Volatility Swaps," Together with Alireza Javaheri and Paul Wilmott. Quantitative Finance, Volume 4, October. Presented at the Global Derivatives & Risk Managment Conference 2002 Barcelona.
22) 2003 "Back to Basics: A New Approch to the Discrete Dividend Problem" with Jørgen
Haug and Alan Lewis, Wilmott Magazine, September
Know Your Weapon Part 3 is in my new book Derivatives Models on Models. In this chapter I suddenly claim I am not using the Black-Scholes-Merton formula, how is this consistent with Know-Your-Weapon 1 and 2 ? Well until I wrote Know-Your-Weapon III I had been told I actually was using the Black-Scholes-Merton formula, and I thought so, but actually I never did. See also paper I wrote together with Nassim (number 28). Most of the points in Know-Your-Weapon 1 and 2 are still valid, it is just that Know Your Weapon III gives a new light on it. A light that is much more consistent with for example taking into account higher order greeks.
"Know Your Weapon Part 2" Wilmott Magazine, July. Presented at Columbia University 2004 New York, Presented at CQF London, Updated version in Best of Wilmott 2, 2005 Wiley Publishing.
"Know Your Weapon Part 1" Wilmott Magazine, May. Presented at Columbia University 2004 New York, Presented at CQF London., Updated version in Best of Wilmott 2, 2005 Wiley Publishing.
"Asian Pyramid Power" with Dr. William Margrabe and Dr. Jørgen Haug, Asian option volatility and the importance of taking into account the volatility term structure Wilmott
Magazine, March. Presented in New York (Risk Magazine Conference), London, Paris and Norway
"Frozen Time Arbitrage" Wilmott
"Knock in/out Margrabe" Together with Dr. Jørgen
Magazine, December - 2002, more research by my brother here
"A Look in the Antimatter Mirror" Wilmott,
In hard copy
Magazine Sep 2002, the hard copy also come with the Collector
15) 2001 "First-Then-Knockout-Options," Wilmott
14) 2001 Together with Dr. Jørgen
Haug I give you the solution to: Resetting Strikes, Barriers and Time. Wilmott
"The Options Genius," Wilmott
Form Valuation of American Barrier Options"
Journal of Theoretical and Applied Finance
"Opsjoner på Elkraft", Derivatet,
"Option Sensitivities in a Dynamic Perspective Virtual
Reality," Derivatet, a Norwegian magazine covering derivatives.
In Norwegian only
here to download (pdf file)
"Put-Call Barrier Transformations,"Working paper Tempus
Financial Engineering. Presented at the Danske Bank Symposium
on Securities with Embedded Options 1998.
Click here to download (pdf
"Implied Forward Volatility" with Jørgen Haug
, Presented at the Third Nordic Symposium on Contingent Claims
Analysis in Finance.
7) 1996 "Implied Correlation in the Currency Option Market," Beta , Scandinavian University Press. (In Norwegain only)
6) 1995 "OTC Interest Rate Derivatives," Derivatet, a Norwegian magazine covering derivatives.
5) 1993 "Opportunities and Perils of Using Option Sensitivities," The Journal of Financial Engineering.
Epsilon: the second finance paper I wrote was about the importance of DDeltaDvol (change in delta for change in implied vol). the paper got rejected.
4) 1992 "Volatility Cones in the Option markets," Beta, Scandinavian University Press. (In Norwegian only). This was the first finance paper I ever wrote and I got it published ;-)
3) 1984 "Metor," Mikrodata,
2) 1984 "Torpedo," Mikrodata, number 3, April,
1) 1984 "Inntekter/income," Mikrodata, number 2, a printed data program to make bar-charts over realized verus expected income (budget modelling) Possibly my "first" publication related to economics (and computer programming).