Derivatives Models on Models

Elie Ayache on Option Trading and Modeling

Elie Ayache has more than eight years' experience in volatility trading before starting up a successful software firm, ITO33 developing state of the art convertible bond models, and more general equity to credit derivative valuation frameworks. Elie Ayache is also a columnist for Wilmott Magazine.

Haug: Where did you grow up?

Ayache: I was born in Lebanon in 1966. I moved to France in 1982, partly to flee the Lebanese civil war, and mainly because my father always had plans for me to come to Paris and prepare for the entry exams of the “big French engineering schools”, what we call “Les Grandes Ecoles”.

Haug: What is your educational background?

Ayache: I was accepted at the Ecole Polytechnique, from which I graduated in the summer of 1987. At the Ecole Polytechnique (at least, in my day), we used to study all kinds of things in all kinds of fields (with an emphasis on theory and abstraction), such as Quantum Mechanics, Statistical Physics, Fluid Dynamics, Economics, Hilbert and Sobolev Spaces, Numerical Analysis, Probability Theory, Measure Theory, Theory of Distributions, Differential Geometry, Chaos Theory and Bifurcations, and even Biology, etc. I was lucky to listen to the greatest teachers in their corresponding fields. However, given the sheer size and variety of the syllabus, practical guidance was missing in the specific topics. For instance, I had no idea what “finite elements” could be used for in practice. We hardly had any ...