BSc (Hons) Sydney; PhD Camb
Honorary Associate Professor
H69 - Economics and Business 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.