Bruno Dupire
Bruno Dupire (born 1958[https://antoinesavine.com/2018/11/30/60th-birthday-a-tribute-to-bruno-dupire/ document on celebration of Dupire's 60th birthday]) 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 modeling and Functional Itô Calculus. He is also an Instructor at New York University since 2005, in the Courant Master of Science Program in Mathematics in Finance.{{cite web|url=https://math.nyu.edu/financial_mathematics/people/faculty/|title=Faculty: Master of Science Program. Mathematics in Finance.|website=math.nyu.edu|access-date=2019-01-09}}
Early life and education
Dupire is an alumnus of École normale supérieure Paris-Saclay. He received a master's degree in artificial intelligence from the Pierre and Marie Curie University and his Ph.D. in numerical analysis from the Pontifical Catholic University of Rio de Janeiro.
Local volatility
Dupire 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.{{cite journal | author=Dupire, Bruno | title=Pricing with a Smile | publisher = Risk Magazine, Incisive Media | date= January 1994 }}{{cite web |url=http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf |title=Download media disabled |accessdate=2013-06-14 |url-status=dead |archiveurl=https://web.archive.org/web/20120907114056/http://www.risk.net/data/risk/pdf/technical/2007/risk20_0707_technical_volatility.pdf |archivedate=2012-09-07 }}{{cite conference | author=Dupire, Bruno | 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 }} The Dupire equation is a partial differential equation (PDE) that links the contemporaneous prices of European call options of all strikes and maturities to the instantaneous volatility of the price process, assumed to be a function of price and time only.Bruno Dupire (2010) [http://onlinelibrary.wiley.com/doi/10.1002/9780470061602.eqf08003/abstract Dupire equation], in: Cont, Rama (Ed.) [http://onlinelibrary.wiley.com/doi/10.1002/9780470061602.eqf08003/abstract Encyclopedia of Quantitative Finance], Wiley, 2010.
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.{{cite web |url=http://www.riskwhoswho.com/Charter-Members.html |title=Risk Who's Who - Charter Members |accessdate=2010-02-19 |url-status=dead |archiveurl=https://web.archive.org/web/20090613021422/http://www.riskwhoswho.com/Charter-Members.html |archivedate=2009-06-13 }} In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine {{cite web|url=http://www.wilmottwiki.com/wiki/index.php/Dupire,_Bruno |title=Welcome wilmottwiki.com - BlueHost.com |publisher=Wilmottwiki.com |date= |accessdate=2023-08-02}}
Selected publications
; Books
- {{cite book | title = Monte Carlo: methodologies and applications for pricing and risk management | author = Bruno Dupire | year = 1998 | publisher = Risk Books |isbn = 978-1899332915}}
; Papers
- {{cite journal|last=Dupire|first=B|date=January 1994|title=Pricing with a Smile|journal=Risk|volume=7|number=1|publisher=Incisive Media|url=http://spekulant.com.pl/article/Volatility%20Surface%20Modeling/dupire%20local%20vol.pdf}}
- {{cite journal|last=Dupire|first=B|date=September 1993|title=Model Art|journal=Risk|publisher=Incisive Media|volume=6|number=9}}
- {{cite journal|last=Dupire|first=B|date=April 2019|title=Functional Itô Calculus|journal=Quantitative Finance|volume=19|number=5|pages=721–729|doi=10.1080/14697688.2019.1575974}}
- {{cite book|last=Dupire|first=B|year=2010|chapter=Dupire equation|editor-first=R|editor-last=Cont|doi=10.1002/9780470061602.eqf08003|title=Encyclopedia of Quantitative Finance|publisher=Wiley|isbn=978-0-470-05756-8}}
References
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External links
- [http://www.risk.net/risk-magazine/feature/1497050/lifetime-achievement-award-bruno-dupire Dupire's page] at Risk Who's Who
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Category:20th-century American mathematicians
Category:21st-century American mathematicians
Category:Monte Carlo methodologists
Category:University of Paris alumni