“A Primer on Correlation Trading via Equity Derivatives”, Global Derivatives Lives blog (2016)
“A New Approach for Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort report (2007)
“Arbitrage Pricing of Equity Correlation Swaps”, J.P. Morgan report (2005)
“Fundamental relationship between an index’s volatility and the average volatility and correlation of its components”, JPMorgan report (2004, with Yi Gu)
Skills, Honors & Awards
Sebastien is a very reliable and trustworthy expert in equity derivatives and finance. He has the ideal profile for structuring, combining two rare qualities: a strong business sense together with an excellent technical background. He quickly distinguished himself at JPMorgan by assimilating concepts at a fast pace while designing innovative products, including very innovative hybrid transaction or his fundamental work on new generation flow equity derivatives. His papers on Variance and Correlation Swaps made a definitive impact on the profession by bridging the gap between advanced theory and its implications for trading in a very accessible way.
— Martin Bertsch