Hans Buehler
buehler@math tu-berlin de (SSRN, LinkedIn)

1998-2001 Co-founder codex design software, Berlin
2001 Msc in Stochastic Analysis and Finance, Humboldt University, thesis Zur Struktur Brownscher Filtrationen, Prof. Hans Föllmer, Berlin
2006 PhD in Financial Mathematics, Technical University, thesis Volatility Markets, Prof. Alexander Schied, Berlin
2001-June 2008: Global head of Equity Derivatives Quantitative Research (QPA), Deutsche Bank, London
June 2008 - Sep 2010: Asian head of Equities Quantitative Research, JP Morgan Chase, Hong Kong
Since Sep 2010: EMEA head of Equities Quantitative Research, JP Morgan Chase, London

Areas of interest:

  • The link between classical derivatives and cash/statistical methods
  • Hedging and active Risk-Managament
  • Imperfect hedging
  • Options on variance and implied variance, volatility swaps, stochastic local volatility
  • Funding
     
  • Product Industrialization
  • Backtesting
  • Derivatives Risk Anatomy
  • Parallel Processing

Books

  • Volatility Markets
    Revised and update version of my PhD thesis in print, incorporating new results presented since the publication of the thesis itself, in particular on the subject of "fitted models". A particlar section of "Fitted Heston" goes beyond the material presented in "Equity Hybrid Derivatives".
    VDM Verlag Dr. Müller, 2009
     
  • Equity Hybrid Derivatives
    (with M.Overhaus, A.Bermudez, A.Ferraris, C.Jordinson, A.Lamnouar)
    The fourth book of the Deutsche Bank GME Quantitative Products Analytics team (formerly Global Quantitiative Research) covers a wide range equity modelling issues in general - such as dividend handling, variance swaps, local volatility, CPPIs - and hybrid risk from rates and credit markets.
    Wiley, 2006
     

Papers

  • The Heston Model (Encyclopedia of Quantiative Finance)
    (with O.Chybiryakov)
    A review of the Heston model and its applications.
    Encyclopedia of Quantitative Finance, Cont.R (Ed.), John Wiley & Sons Ltd, pp. 889-897 (2010)
     
  • Volatility Markets: Consistent Modelling, Hedging and Practical Implementation
    Published version of my dissertation, updated 2008
    Contains extended material on consistent variance curves, a proof that "smooth" diffusion markets are always complete, comments on pricing in local martingale models, fitting models to the market (general, Bergomi, Dupire, Heston), Heston-type models with semi-closed forms, algorithms to perform parameter hedging with linear programming, computation of variance, gamma and entropy swaps, expensive martingales, and the implementation of a particular four-factor variance curve model.
    Defended June 26th, 2006 (summa cum laude)
     
  • Recent Developments in Mathematical Finance: A Practitioner's Point of View
    (with M.Overhaus, A.Bermudez, A.Ferraris, C.Jordinson, A.Lamnouar, A.Puthu)
    An introductory text on mathematical finance which explains basic concepts and shows applications in practise, in particular pricing of options on variance. Covers the nature of hedging and a simple derivation of the idea of "delta hedging".
    DMV Jahresbericht, 2006 (first version May 2005)
     
  • Consistent Variance Curve Models
    Generalized term-structure market model approach to variance swaps for hedging of products on realized variance. Completeness of such models is discussed. We also apply the results to the application re-calibration of stochastic volatility models
    Finance and Stochastics, Volume 10, Number 2 / April, 2006 (first version June 2004)
     
  • Expensive Martingales
    Calibration of discrete transition kernels between the marginal distributions of a stock price process using weak information such as Cliquet prices.
    The resulting one-factor process reprices spot started options and is optimized to fit forward started options. (Generalization of Derman-Kani trees.)
    Quantitative Finance, Volume 6, Number 3 / June 2006 (first version March 2004)
     
  • Information-equivalence: On filtrations created by independent increments
    Two Brownian motions generate the same filtration iff they are a.s. deterministic integrals of each other (and related results).
    Séminaire de Probabilités XXXVIII, p.195, Berlin, Springer 2004
     
  • Zur Struktur Brownscher Filtrationen (in German)
    A Brownian motion remains extremal on its filtration after a change of measure, but it may not generate that filtration anymore (thesis is based on a paper by Prof. Schachermayer; relevant new results have been published in the paper above.)
    Diploma-Thesis, 2001 (1.0)

Working Papers

  • Stochastic Proportional Dividends
    (with A.S.Dhouibi and D.Sluys)
    Motivated by recently increased interest in trading derivatives on dividends, we present a simple, yet efficient equity stock price model with discrete stochastic proportional dividends.
    The model has a closed form for European option pricing and can therefore be calibrated efficiently to vanilla options on the equity. It can also be simulated efficiently with Monte-Carlo and has fast analytics to aid the pricing of derivatives on dividends. While its efficiency makes the model very appealing, it has the twin drawbacks that dividends in this model can become negative, and that it does not price in any skew on either dividends or the stock price.
    We present the model and also discuss various extensions to stochastic interest rates, local volatility and jumps.
    SSRN Working paper, Draft Version 1.013 December 2010 (first version January 2010, based on work from 2006 with C.Jordinson), Submitted
     
  • Volatility and Dividends - Volatility Modelling with Cash Dividends and simple Credit Risk
    This article discusses incorporating cash dividends and simple credit risk into equity derivatives risk management. It is shown that the only consistent way is via a simple affine transformation of the ``pure" local martingale of the form S(t) = {F(t) - D(t)} X(t) + D(t) up to default.
    Implementation and is discusseed for: plain Europeans, American options, Barriers and finally variance swaps and related derivatives. Risk management for volatilty hedging and variance swaps in general is discussed in detail. To our best knowledge, this paper is the only one discussing the incorporation of cash dividends into variance swap pricing.
    The aim of the article is to present results discussed in Equity Hybrid Derivatives in a more intuitive way (in the book all results have been derived rigourously). It is a reference summary on volatility and dividend modelling for equity derivatives. The updated version 1.2 contains two additional proofs compared to 1.00 from March 2009.
    SSRN Working paper, Version 1.3 October 2010 (first version March 2007), Submitted
     
  • Delta Hedging Works: On Market Completeness for Diffusion Processes
    This article provides new criteria for the completeness of market driven by diffusion processes. In particular, we show that if the coefficients of the SDE are C1 almost surely, the the market of payoffs measurable with respect to the market process is complete.
    Our approach is in marked contrast wto the classic requirement that the volatility matrix of the SDE is invertible in order to retrieve the background driving motion which is much stronger and often violated in practice due to differing trading times for underlyings in different time zones. It is also not a very natural approach since a period of zero volatility "in one direction" should not impede replicability in another risk factor.
    SSRN Working paper, Version 1.1 October 3rd, 2009 (first version March 2006)

Presentations on seminars and conferences

Introductions: Quantitative Research in der Praxis

Links

Contact

Private contact at buehler@math.tu-berlin.de (spam filter by Eleven)