Bruno Dupire
Bruno Dupire (born 1958
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.[3][4] 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.[5]
Awards
Dupire is the recipient of the
Selected publications
- Books
- Bruno Dupire (1998). Monte Carlo: methodologies and applications for pricing and risk management. Risk Books. ISBN 978-1899332915.
- Papers
- Dupire, B (January 1994). "Pricing with a Smile" (PDF). Risk. 7 (1). Incisive Media.
- Dupire, B (September 1993). "Model Art". Risk. 6 (9). Incisive Media.
- Dupire, B (April 2019). "Functional Itô Calculus". Quantitative Finance. 19 (5). .
- Dupire, B (2010). "Dupire equation". In Cont, R (ed.). Encyclopedia of Quantitative Finance. Wiley. .
References
- ^ document on celebration of Dupire's 60th birthday
- ^ "Faculty: Master of Science Program. Mathematics in Finance". math.nyu.edu. Retrieved 2019-01-09.
- ^ Dupire, Bruno (January 1994). "Pricing with a Smile". Risk Magazine, Incisive Media.
{{cite journal}}: Cite journal requires|journal=(help)"Download media disabled" (PDF). Archived from the original (PDF) on 2012-09-07. Retrieved 2013-06-14. - ^ Dupire, Bruno (1997). M.A.H. Dempster and S.R. Pliska (ed.). Pricing and Hedging with Smiles. Mathematics of Derivative Securities. Cambridge University Press.
- ^ Bruno Dupire (2010) Dupire equation, in: Cont, Rama (Ed.) Encyclopedia of Quantitative Finance, Wiley, 2010.
- ^ "Risk Who's Who - Charter Members". Archived from the original on 2009-06-13. Retrieved 2010-02-19.
- ^ "Welcome wilmottwiki.com - BlueHost.com". Wilmottwiki.com. Retrieved 2023-08-02.
External links
- Dupire's page at Risk Who's Who