Quant of the Year - Lorenzo Bergomi

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Readers of Risk voted Lorenzo Bergomi, head of equity derivatives quantitative research at Société Générale, quant of the year for his series of Smile Dynamics papers, the third of which was published by Risk in October.

With volatility in the equity markets scaling historic heights over the past year, the need to understand the dynamics of the implied volatility smile has become more important than ever. The volatility smile reflects the fact that the volatility implied from the market prices o