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School of Mathematics and Statistics, University of Sydney NSW 2006 Australia
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Dr Peter W. Buchen

Position Held

Senior Lecturer in the School of Mathematics and Statistics at the University of Sydney.

Principal Professional Memberships

Australian and New Zealand Industrial and Applied Mathematics (Treasurer)
Q Group Australia (Committee Member)
Sydney Financial Mathematics Workshop (Chairperson)

Employment

School of Mathematics and Statistics
University of Sydney 1974 – present.
Appointed Senior Lecturer in 1982

Research Interests

Exotic option pricing
Stochastic volatility models
Convertible bonds
Real options
Credit derivatives
Stock price dynamics

Research Grants

1993-94: New option pricing models applied to Australian financial markets (Chief Investigator) with D. Edelman & M.F. Kelly , ARC Grant ($14,000).
2004-07: New models and valuation methods for portfolio credit derivatives (Chief Investigator) with S. Carmody (Partner Investigator, Westpac), ARC Linkage Grant ($207,018).

Education

1968 Applied Mathematics Hons 1 and University medal Sydney University
1972: PhD in theoretical seismology at Cambridge University UK

Selected Recent Publications

  • The maximum entropy distribution of an asset inferred from option prices, P.W. Buchen & M.F. Kelly, (1996),JFQA, 31, 143-159.
  • Asset price distributions inferred from linear inverse theory, P.W. Buchen & M.F. Kelly, (2000), J. Computational Finance, 3(4), 53-69.
  • Image options and the road to barriers, P.W. Buchen, (2001), Risk Magazine, 14(9), 127-130.
  • The pricing of dual- expiry exotics, P.W. Buchen , (2004), Quantitative Finance, 4, 101-108.
  • A new method for pricing lookback options, P.W. Buchen & O. Konstandatos, (2004), Mathematical Finance (to appear).
  • A general formula for pricing multi-asset, multi-period exotics, M. Skipper & P.W. Buchen (2004), Mathematical Finance (submitted).

Recent Conference Presentations

The generalised inverse method for asset price distributions (Invited speaker), P.W. Buchen & M.F. Kelly, 8th International QMF Conference, Sydney, Dec 1998.
Global generalised inverses and generalised binomial trees, P.W. Buchen & M.F. Kelly, 9th International QMF Conference, Sydney, Dec 1999.
Early exercise options in the Black-Scholes framework (Invited Speaker), P.W. Buchen , Risk 2000 Conference, Sydney, Aug 2000.
Image options: barriers and lookbacks, P.W. Buchen , 1st National Symposium on Financial Mathematics, Canberra, June 2001.
Q-options,and dual-expiry exotics, P.W. Buchen 11th International QMF Conference, Sydney, Dec 2001.
Exotic rainbow binaries (Invited Speaker), P.W. Buchen & M. Skipper ,5th ICIAM Conference and 2nd National Symposium on Financial Mathematics, Sydney, Jul 2003.
Exotic lookbacks unravelled (Invited Speaker), P.W. Buchen & O. Konstandatos, 13th International QMF Conference, Sydney, Dec 2003.