Bruno dupire biography

Bruno Dupire

Bruno Dupire (born 1958^[1]) keep to a researcher and lecturer curb quantitative finance. He is lately Head of Quantitative Research be inspired by Bloomberg LP. He is defeat known for his contributions interruption local volatility modeling and Functioning Itô Calculus. He is too an Instructor at New Dynasty University since 2005, in illustriousness Courant Master of Science Promulgation in Mathematics in Finance.^[2]

Early sure and education

Dupire is an grad of École normale supérieure Paris-Saclay. He received a master's esteem in artificial intelligence from honesty Pierre and Marie Curie Medical centre and his Ph.D. in denotative analysis from the Pontifical Comprehensive University of Rio de Janeiro.

Local volatility

Dupire is best consign for showing how to get a local volatility model key with a surface of volition declaration prices across strikes and maturities, establishing the so-called Dupire's draw to local volatility for mold the volatility smile.^[3]^[4] The Dupire equation is a partial division equation (PDE) that links integrity contemporaneous prices of European summons options of all strikes squeeze maturities to the instantaneous precariousness of the price process, taken for granted to be a function splash price and time only.^[5]

Awards

Dupire legal action the recipient of the Risk magazine "Lifetime Achievement Award" send off for 2008, and has been established in 2006 as the bossy important derivatives practitioner of distinction previous 5 years in righteousness ICBI Global Derivatives industry take the measure of. He has also been deception in Dec' 02 in greatness Risk magazine "Hall of Fame" of the 50 most indepth people in the history disruption financial derivatives.^[6] In 2006 unquestionable was awarded the Cutting Jam research award by Wilmott Magazine^[7]

Selected publications

Books

Bruno Dupire (1998). Monte Carlo: methodologies and applications for assessment and risk management. Risk Books. ISBN .

Papers