Bruno Dupire

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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.

Local volatility[edit]

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[edit]

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.[3] In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine [4]

References[edit]

  1. ^ Dupire, B. (January 1994). "Pricing with a Smile". Risk Magazine, Incisive Media. "Archived copy" (PDF). Archived from the original (PDF) on 2012-09-07. Retrieved 2013-06-14. 
  2. ^ Dupire, B. (1997). M.A.H. Dempster and S.R. Pliska, ed. Pricing and Hedging with Smiles. Mathematics of Derivative Securities. Cambridge University Press. 
  3. ^ http://www.riskwhoswho.com/Charter-Members.html
  4. ^ http://www.wilmottwiki.com/wiki/index.php/Dupire,_Bruno

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[edit]