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, a startup company based in New York active in investment management and software development. A former director of Equity Derivatives Structuring for an investment bank in London, he also worked at J.P. Morgan as an exotics structurer. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie.”
Publications
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Textbook
An Introduction to Equity Derivatives 2nd Edition (2012), John Wiley & Sons (with Philippe Henrotte):
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 |
|
“A New Approach For Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort Equity Derivatives Report |
| 2005 |
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“Arbitrage pricing of equity correlation swaps”, JPMorgan Equity Derivatives Report |
| 2005 |
|
“Fundamental relationship between an index’s volatility and the average volatility and correlation of its components”, JPMorgan Equity Derivatives Report (with Yi Gu) |
| 2005 |
|
“Just what you need to know about variance swaps”, JPMorgan Equity Derivatives Report (with Eva Strasser and Regis Guichard) |