get it.
Iam pleased to introduce Sébastien Bossu’s new book, Advanced Equity

Derivatives, which is a great contribution to the literature in our field. Years
of practical experience as an exotics structurer, combined with strong theo-
retical skills, allowed Sébastien to write a condensed yet profound text on a
variety of advanced topics: volatility derivatives and volatility trading, cor-
relation modeling, dispersion trading, local and stochastic volatility models,
to name just a few.
This book not only reviews the most important concepts and recent
developments in option pricing and modeling, but also offers insightful
explications of great relevance to researchers as well as traders. For instance,
readers will find formulas to overhedge convex payoffs, the derivation of
Feller conditions for the Heston model, or an exposition of the latest local
correlation models to correctly price basket options.
Perhaps the most exciting aspect of this book is its treatment of the latest
generation of equity derivatives, namely volatility and correlation deriva-
tives. Readers will find a wealth of information on these new securities,
including original analyses and models to approach their valuation. The
chapters on correlation are particularly commendable, as they shed light on
an otherwise still obscure area.
The content quality, selection of topics, and level of insight truly set this
book apart. I have no doubt that equity derivatives practitioners around the
world, be they traders, quants or investors, will find it extremely pertinent,
and I wish this book every success.
Peter Carr
Dr. Peter Carr has over 18 years of experience in the derivatives industry
and is currently Global Head of Market Modeling at Morgan Stanley, as well
as Executive Director of the Math Finance program at NYU’s Courant Insti-
tute. He has over 70 publications in academic and industry-oriented journals
and serves as an associate editor for eight journals related to mathemati-
cal finance. Dr. Carr is also the Treasurer of the Bachelier Finance Society,
a trustee for the Museum of Mathematics in New York, and has received
numerous awards, including Quant of the Year by Risk magazine in 2003,
the ISA Medal for Science in 2008, and Financial Engineer of the Year in
2010.