Current

Principal, Ogee Group LLC, New York

Former

Director, Equity Derivatives Structuring, Dresdner Kleinwort, London

Bio

“ Sébastien Bossu is currently Principal at Ogee Group LLC where he runs a startup hedge fund which posted a 28.2% gross return in 2012. Sébastien has almost ten years’ experience in banking and the financial industry at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in derivative securities, he has published several papers and textbooks in the field and is a regular speaker at international conferences. He has been coding since the age of 7 and runs Ogee’s software activities in addition to investment management.
Sébastien was inducted into the 2014 edition of Marquis Who's Who in America, and is an O-1 U.S. Visa holder (‘alien of extraordinary ability’). He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie. ”

Publications

  • Textbook

An Introduction to Equity Derivatives 2nd Edition (2012), John Wiley & Sons (with Philippe Henrotte):

An introduction to equity derivatives From the Inside Flap

“Sébastien Bossu and Philippe Henrotte have combined their practical experience in derivatives markets with their pedagogic skills to write a clear and comprehensive introduction to modern equity options valuation that is valuable and accessible. I highly recommend it.”
 — Emanuel Derman, Professor at Columbia University and Head of Risk, Prisma Capital Partners

An Introduction to Equity Derivatives – Theory and Practice 2nd Edition teaches all the fundamentals of quantitative finance clearly and concisely without going into unnecessary technicalities. You'll pick up the most important theoretical concepts, tools and vocabulary without getting bogged down in arcane derivations or enigmatic theoretical considerations.”
 — Paul Wilmott, Founder, CQF

An Introduction to Equity Derivatives is a practical, clear and comprehensive presentation of complex securities by two respected experts. An excellent explanation of the basics is combined with an introduction to complex derivatives including quanto options, exotic derivatives, and next generations of the Black-Scholes model. Each chapter ends with problems and solutions to facilitate an in-depth understanding of the topics. As we learned during the financial crisis, understanding derivatives is essential for financial mathematicians, risk managers and investors.”
 — Kay Torshen, CEO and Founder, Torshen Capital Management LLC

“An excellent text written by two experts in the field. Practitioners and students should find it valuable as a self-contained book on the topic of equity derivatives pricing.”
 — Francois Brochet, Assistant Professor, Harvard Business School

2007 pdf “A New Approach For Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort Equity Derivatives Report
2005 pdf “Arbitrage pricing of equity correlation swaps”, JPMorgan Equity Derivatives Report
2005 pdf “Fundamental relationship between an index’s volatility and the average volatility and correlation of its components”, JPMorgan Equity Derivatives Report (with Yi Gu)
2005 pdf “Just what you need to know about variance swaps”, JPMorgan Equity Derivatives Report (with Eva Strasser and Regis Guichard)