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Skew Modelling and Deciphering

Bruno Dupire has headed various Derivatives Research teams at Societe Generale, Paribas Capital Markets, Nikko Financial Products and currently works with Peter Carr at Bloomberg, New York.
Event information
Date 2nd November 2005
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

After obtaining a PhD in numerical analysis, he pioneered the use of neural networks in finance and developed the widely used local volatility models in 1993. He has subsequently worked on stochastic volatility modelling and Monte Carlo methods for option pricing. He is now a consultant in the fields of derivatives and asset management and sits on the advisory board of PRMIA. Also, he is a Fellow and Adjunct Professor at NYU. In 2002 he was included in the Risk Hall of Fame of the 50 most influential figures in Derivatives and Risk management.