Bruno Dupire
Bruno Dupire is a researcher and lecturer in quantitative finance. He is currently Head of Quantitative Research at Bloomberg LP. He is best known for his contributions to local volatility, to the Skorohod Embedding Problem and Functional Ito Calculus.
Local volatility
Dupire, as mentioned, is best known for showing how to derive a local volatility model consistent with a surface of option prices across strikes and maturities, establishing the so-called Dupire's approach to local volatility for modeling the volatility smile.[1][2]
Awards
Dupire is the recipient of the Risk magazine "Lifetime Achievement Award" for 2008, and has been voted in 2006 as the most important derivatives practitioner of the previous 5 years in the ICBI Global Derivatives industry survey. He has also been included in Dec' 02 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives.[3] In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine [4]
References
- ↑ Lua error in package.lua at line 80: module 'strict' not found.http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf
- ↑ Lua error in package.lua at line 80: module 'strict' not found.
- ↑ http://www.riskwhoswho.com/Charter-Members.html
- ↑ http://www.wilmottwiki.com/wiki/index.php/Dupire,_Bruno
Books
- Jim Gatheral (2008). The Volatility Surface: A Practitioner's Guide (Wiley Finance)
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- Mark S. Joshi (2003). The Concepts and Practice of Mathematical Finance. Cambridge University Press.
Papers
- Dupire, B, (January 2004), Pricing with a Smile. Risk Magazine, Incisive Media
- Dupire, B (September 1993), Model Art , Risk Magazine, Incisive Media
- Dupire, B (July 2009), Functional Itô Calculus
- Fengler, M.R. (2005). Semiparametric Modeling of Implied Volatility. Springer-Verlag.
- M. L. McIntyre (2001). "Performance of Dupire's implied diffusion approach under sparse and incomplete data", Journal of Computational Finance Vol 4 issue 4.
- Jourdain, B. (2007). "Stochastic flow approach to Dupire's formula". Finance and Stochastics, Vol 11 issue 4.
External links
- Dupire's page at Risk Who's Who
- Risk magazine lifetime achievement award
