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Peter Buchen

BSc (Hons) Sydney; PhD Camb
Honorary Associate Professor

Rm 413
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia



Peter Buchen began his teaching and research interest in Financial Mathematics in the latter half of the 1990's. This resulted in a comprehensive teaching program in the subject within the School of Mathematics and Statistics, covering units in Intermediate, Senior and Honours years. A/Professor Buchen has supervised over 30 Honours projects and around 15 MSc and PhD theses.

He was the foundation president of the Sydney Financial Mathematics Workshop (SFMW), a loose federation of academics and practitioners united by their interest in quantitative finance.

A/Professor Buchen also served for many years on the management committee of Q-Group Australia, a professional organization for quantitative analysts.

Recent research has focussed on mathematical methods for valuing exotic options. This has led to the evolution of innovative techniques to price most of the better known exotics including: binaries, compounds, choosers, shout options, reset options, rainbow options, barriers, ladders, lookbacks and Asian options.

These methods have proven to be equally at-home pricing the more way-out exotics including: extreme spread options, double barriers, look-barriers and a variety of multi-asset/multi-period derivatives as well.

A/Professor Buchen is currently writing a book entitled Introduction to Exotic Option Pricing to be published by Chapman & Hall in their Financial Mathematics series, some time in 2009.

Publications

2016

4
Journal Article/s

Buchen P and Ho-Shon K 2016 Forthcoming 'Valuation of real estate leases', Applied Mathematical Finance

2014

4
Journal Article/s

Buchen P and Malloch H 2014 'CLA's, PLA's and a new method for pricing general passport options', Quantitative Finance, vol.14:7, pp. 1201-9 Link

5
Conference Paper/s

Partington G, Buchen P, Satchell S and Philip R 2014 'Returns and Doubling Times', 2nd Annual Indonesian Financial Management Association IFMA International Conference on Finance, Kuta, Indonesia, 17th December 2014

2012

1
Book/s

Buchen P 2012 'An Introduction to Exotic Option Pricing: Chapman & Hall/ CRC Financial Mathematics Series', Chapman and Hall/CRC , London, United Kingdom, pp. 296

4
Journal Article/s

Buchen P and Grant A 2012 'A Comparison of Simultaneous Kelly Betting Strategies', Journal of Gambling Business and Economics, vol.6:2, pp. 1-28 Link

2009

4
Journal Article/s

Buchen P and Konstandatos O 2009 'A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries', Applied Mathematical Finance, vol.16:6, pp. 497-515

Skipper M and Buchen P 2009 'A valuation formula for multi-asset, multi-period binaries in a Black-Scholes economy', ANZIAM Journal, vol.50:4, pp. 475-85

2008

2
Book Section/s

Buchen P 2008 'Foundations of Option Pricing' in Handbook of Information Technology in Finance, ed. D Seese, C Weinhardt and F Schlottmann, Springer, pp. 515-42

4
Journal Article/s

Buchen P 2008 'Two exotic lookback options', Applied Mathematical Finance, vol.15:4, pp. 387-402

2007

6
Conference Proceeding/s

Buchen P 2007 'On Pricing Double Barrier Options - (Invited speaker)', Workshop on Stochastic Analysis and its Applications, Sydney, Australia, 1st January 2007-31st December 2007

2006

6
Conference Proceeding/s

Buchen P 2006 'Option Pricing for Asset-dependent Volatility', International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 2006-31st December 2006

2005

4
Journal Article/s

Buchen P and Konstandatos O 2005 'A new method for pricing lookback options', Mathematical Finance, vol.15:2, pp. 245-59

2004

4
Journal Article/s

Buchen P 2004 'The pricing of dual-expiry exotics', Quantitative Finance, vol.4, pp. 101-8

6
Conference Proceeding/s

Buchen P 2004 'Pricing Exotic Options workshop - (Invited presenter)', Derivatives and Risk Management Conference, Sydney, Australia, 1st January 2004-31st December 2004

Buchen P 2004 'Measuring, Modelling and Managing Credit Risk - An Overview - (Keynote invited speaker)', IIR Credit Risk Forum, Sydney, Australia, 1st January 2004-31st December 2004

Buchen P 2004 'Credit Risk - The New Mantra - (invited presentation)', ANZIAM mini-conference, Vincentia, Australia, 1st January 2004-31st December 2004

Buchen P 2004 'Simple Models of Credit Risk', Workshop on Mathematics in Finance, Wollongong, Australia, 1st January 2004-31st December 2004

2003

6
Conference Proceeding/s

Buchen P 2003 'Exotic Rainbow Binaries - (Invited speaker)', 5th ICIAM Conference and National Symposium on Financial Mathematics, Sydney, Australia, 1st January 2003-31st December 2003

Buchen P 2003 'Exotic Lookbacks Unravelled - (Invited speaker)', International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 2003-31st December 2003

2002

6
Conference Proceeding/s

Buchen P 2002 'Up, up...and Out', ANZIAM Mini-Conference of NSW Branch, Mollymook, Australia, 1st January 2002-31st December 2002

10
Report/s

Buchen P 2002 'Linear algebra and security pricing', University of Sydney Teaching Report

2001

4
Journal Article/s

Buchen P 2001 'Image options and the road to barriers', Risk Magazine, vol.14:9, pp. 127-30

6
Conference Proceeding/s

Buchen P 2001 'Image Options: Barriers & Lookbacks', First National Symposium on Financial Mathematics, Canberra, Australia, 1st January 2001-31st December 2001

Buchen P 2001 'Q-Options', Q-Group Annual Colloquium, Sydney, Australia, 1st January 2001-31st December 2001

Buchen P 2001 'Q-Options and Dual Expiry Exotics', International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 2001-31st December 2001

2000

4
Journal Article/s

Buchen P and Kelly MF 2000 'Asset price distributions inferred form linear inverse theory', Journal of Computational Finance, vol.3:4, pp. 53-69

6
Conference Proceeding/s

Buchen P 2000 'Early Exercise Options in the Black-Scholes Framework - (Invited Speaker)', Risk 2000 Conference, Sydney, Australia, 1st January 2000-31st December 2000

Buchen P 2000 'Generalised B-Trees for Arbitrary Ito Processes', Quantitative Methods in Finance &Bernoulli Society 2000 Conference, Sydney, Australia, 1st January 2000-31st December 2000

1999

6
Conference Proceeding/s

Buchen P 1999 'Global generalised inverses and generalised binomial trees', 9th International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 1999-31st December 1999

1998

6
Conference Proceeding/s

Buchen P 1998 'The Generalised Inverse Method for Asset Price Distributions - (Key-Note Invited Paper)', 8th International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 1998-31st December 1998

1997

6
Conference Proceeding/s

Buchen P 1997 'A new pricing methodology for European barrier options', 7th International Conference on Quantitative Methods in Finance, Sydney, Australia, 1st January 1997-31st December 1997

1996

4
Journal Article/s

Buchen P and Kelly MF 1996 'The maximum entropy distribution of an asset inferred from option prices', Journal of Financial and Quantitative Analysis, vol.31, pp. 143-59

6
Conference Proceeding/s

Buchen P 1996 'Pricing European barrier options', One Day Symposium on Financial Mathematics, Sydney, Australia, 1st January 1996-31st December 1996

10
Report/s

Buchen P 1996 'Pricing European barrier options', University of Sydney Research Report

1995

5
Conference Paper/s

Edelman D and Buchen P 1995 'GARCH or posterior volatility? An alternative approach to volatility smile modelling', ANU Workshop on Stochastics and Finance, Canberra, Australia, 1st January 1995-31st December 1995

kelly M and Buchen P 1995 'The estimation of the underlying asset distribution at maturity', ANU Workshop on Stochastics and Finance, Canberra, Australia, 1st January 1995-31st December 1995

1994

5
Conference Paper/s

Kelly MF and Buchen P 1994 'Maximum entropy applied to financial options', ANU Workshop on Stochastics and Finance, Canberra, Australia, 1st January 1994-31st December 1994