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 Skorokhod Embedding Problem and Functional Ito Calculus. He is also an Instructor at New York University, in the Courant Master of Science Program in Mathematics in Finance.
Video Bruno Dupire
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.
Maps Bruno Dupire
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 financial derivatives. In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine
References
Books
- Jim Gatheral (2008). The Volatility Surface: A Practitioner's Guide (Wiley Finance)
- Bruno Dupire (1998). Monte Carlo: methodologies and applications for pricing and risk management. Risk. ISBN 189933291X.
- 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
External links
- Dupire's page at Risk Who's Who
- Risk magazine lifetime achievement award
Source of the article : Wikipedia
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