Bruno Dupire: Difference between revisions
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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]].<ref name=dupire>{{cite journal | author=Dupire, B. | title=Pricing with a Smile | publisher = Risk Magazine, Incisive Media | date= January 1994 }}http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf</ref><ref name=dupire2>{{cite conference | author=Dupire, B. | title=Pricing and Hedging with Smiles | conference = Mathematics of Derivative Securities| editor = M.A.H. Dempster and S.R. Pliska| publisher=Cambridge University Press | year= 1997 }}</ref> |
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]].<ref name=dupire>{{cite journal | author=Dupire, B. | title=Pricing with a Smile | publisher = Risk Magazine, Incisive Media | date= January 1994 }}http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf</ref><ref name=dupire2>{{cite conference | author=Dupire, B. | title=Pricing and Hedging with Smiles | conference = Mathematics of Derivative Securities| editor = M.A.H. Dempster and S.R. Pliska| publisher=Cambridge University Press | year= 1997 }}</ref> |
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This result has been then illustrated in several books and articles, including for example [[Jim Gatheral]]'s ''The volatility surface'',<ref name=gatheral1>{{cite book | author=Gatheral, J. | title=The Volatility Surface: A Practitioner's Guide | publisher=Wiley | year= 2008 | isbn=0471792519 }}</ref> Matthias R. Fengler (2005) ''Semiparametric Modeling of Implied Volatility'', [[Mark S. Joshi]]'s ''The Concepts and Practice of Mathematical Finance (2003)'' and ''De-arbitraging with a weak smile''.<ref name=damghani>{{cite journal | author=Babak Mahdavi Damghani and Andrew Kos| title=De-arbitraging with a weak smile | publisher=Wilmott | year = 2013}}http://www.readcube.com/articles/10.1002/wilm.10201?locale=en</ref> |
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==Awards== |
==Awards== |
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* Dupire, B (September 1993), '' Model Art '', Risk Magazine, Incisive Media |
* Dupire, B (September 1993), '' Model Art '', Risk Magazine, Incisive Media |
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* Dupire, B (July 2009), ''Functional Itô Calculus'' |
* Dupire, B (July 2009), ''Functional Itô Calculus'' |
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* Fengler, M.R. (2005). ''Semiparametric Modeling of Implied Volatility''. Springer-Verlag. |
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*M. L. McIntyre (2001). "Performance of Dupire's implied diffusion approach under sparse and incomplete data", ''Journal of Computational Finance'' Vol 4 issue 4. |
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*Jourdain, B. (2007). "Stochastic flow approach to Dupire's formula". ''Finance and Stochastics'', Vol 11 issue 4. |
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*Mahdavi Damghani, B. and Kos, A. (2013), "De-arbitraging with a weak smile", Wilmott |
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==External links== |
==External links== |
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Revision as of 15:34, 11 April 2014
Bruno Dupire is a researcher and lecturer in quantitative finance, best known for his contributions to local volatility.
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
- ^ Dupire, B. (January 1994). "Pricing with a Smile". Risk Magazine, Incisive Media.
{{cite journal}}: Cite journal requires|journal=(help)http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf - ^ Dupire, B. (1997). M.A.H. Dempster and S.R. Pliska (ed.). Pricing and Hedging with Smiles. Mathematics of Derivative Securities. Cambridge University Press.
- ^ 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)
- 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