sebastien bossu
Assistant Professor of Mathematics at UNC Charlotte
Assistant Professor of Mathematics at UNC Charlotte
- Bio
“ After 20 years of industry experience, Sébastien Bossu was appointed Assistant Professor of Mathematics and Statistics at UNC Charlotte. He has been principal at his startup investment and consulting company in New York City since 2011, and also served as part-time faculty at NYU Courant, Boston University Questrom School of Business, Johns Hopkins Carey Business School, Fordham University and Pace University, and most recently as full-time visiting faculty at WPI Business School.
“ Prior to moving to the U.S., Sébastien was a Director and Head of the Equity Derivatives Structuring team at Dresdner Kleinwort (now Commerzbank) in London, an Associate at J.P. Morgan in London, and a Jr. Trader at Goldman Sachs in Paris. He has written two textbooks on equity derivatives and several industry and academic articles in his field, including the popular read “Just What You Need to Know About Variance Swaps” which circulated widely and made a significant contribution to the development of volatility investing as an asset class. As a young Analyst at JPMorgan, Sébastien discovered the correlation proxy formula and was the first author to establish the connection between dispersion trading and correlation swaps.
“ Sébastien received his Ph.D. in Quantitative Finance from Université Paris-Saclay under the guidance of Peter Carr, Stéphane Crépey and Andrew Papanicolaou, and he is also a graduate from The University of Chicago, HEC Paris, Columbia University and Sorbonne Université (fmr. Pierre-et-Marie-Curie). ”
Textbooks & Professional Reports
Popular:- Also:
- “A Primer on Correlation Trading via Equity Derivatives”, Global Derivatives Lives blog (2016)
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“A New Approach for Modelling and Pricing Correlation Swaps”, Dresdner Kleinwort report (2007)
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“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)
- “A Primer on Correlation Trading via Equity Derivatives”, Global Derivatives Lives blog (2016)
- Selected Experience
University of North Carolina at Charlotte
Assistant Professor of Mathematics 2023 - Present
- MATH 6203 “Stochastic Calculus for Finance”, MATH 3122 “Probability & Statistics I”
- Co-advised Hoang-Dung Nguyen at Université Paris-Cité with Stéphane Crépey
Dresdner Kleinwort (now Commerzbank)Director 3 yearsHead of Equity Derivatives Structuring team (6 permanent members): Exotic Options & Equity Structured Products
J.P. Morgan
Associate 2 yearsIndicative pricing and product development: hybrid exotics (e.g. equity, FX, commodities), options on hedge fund indices, variance and correlation swaps, target redemption notes, etc. - Skills, Honors & Awards
Part-time Faculty
NYU Courant, Johns Hopkins Carey Business School
Equity Derivatives
Structured Products
Financial Engineering
Quantitative Finance
Mathematics & Programming 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, CEO of Kledia, former Managing Director at J.P. Morgan
- Selected Education
Université Paris-Saclay
PhD, Quantitative Finance"Université Paris-Saclay is a public research university based in Paris. The University integrates several French leading grandes écoles, leading faculties, colleges and research centers that are part of the world's top research organizations in various fields. Paris-Saclay has achieved particular renown in mathematics: as of 2021, 12 Fields Medalists have been affiliated with the university and its associated research institutes, which include the Institut des Hautes Études Scientifiques - generally regarded as the birthplace of modern algebraic geometry and catastrophe theory. The University was ranked 13th in the world in the 2021 Academic Ranking of World Universities (ARWU) ranking."The University of ChicagoMS Financial Mathematics"Founded in 1996 by an exceptional team of educators, the University of
Chicago’s Financial Mathematics Program has had the honor of shaping
some of the brightest minds in the financial industry today. A pioneer
in its field, the Program offers 15 months of accelerated, integrated
coursework that explores the deep-rooted relationship that exists
between theoretical and applied mathematics and the ever-evolving world
of finance. Our mission is to equip our students with a solid foundation in mathematics, and in doing so provide them with practical knowledge that they can successfully apply to complicated financial models."HEC Grande Ecole
Diplome (MBA equivalent), Specialization in Finance"HEC Paris has constantly been ranked the best business school in France, and among the top in the world. HEC alumni include 12 CEOs of F500 companies (more than any other business school in the world and third institution after Harvard and Stanford), several heads of states and governments, heads of international organizations, and other prominent figures in politics, business, and the arts."
Activities: HECquation (Founder), HEC ConférencesSorbonne Université (fmr. Paris 6)
Licence (BS equivalent), Applied Mathematics"UPMC is the largest scientific and medical complex in France, active in many fields of research with scope and achievements at the highest level, as demonstrated by the many awards regularly won by UPMC researchers, and the many international partnerships it maintains across all five continents. Several university rankings have regularly put UPMC at the 1st place in France, and it has been ranked as one of the top universities in the world." - Contact me