Bruno dupire
Being particular about calibration
Original headline:
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their...
Original headline:
With derivatives counterparty risk rocketing up the agenda this year, researchers have tried to shed some light on the associated challenges - from capital calculation to pricing - as the annual round-up...
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Calibrating implied volatility just got easier – thanks to a classical mathematical device with an illustrious history. Laurie Carver introduces this month’s technical articles by looking at how the...
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More Bruno dupire articles
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
Published online only
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
From spot volatilities to implied volatilities
Original headline:
Since the pioneering work of Dupire, the local volatility function can be derived from the implied volatility surface. Calculating implied volatilities from local volatilities is classically done by numerically solving the forward equation for call prices....
A dynamic model for correlation
Published online only
Equity markets have experienced a significant increase in correlation during the crisis, resulting in exotic derivatives portfolios realising large losses. As larger correlations in downward scenarios are already implied in the index option market in...
JP Morgan wins Derivatives House of the Year award
Published online only
JP Morgan has won Risk magazine’s Derivatives House of the Year award. The US bank was widely praised by end-users for continuing to provide liquidity during the turmoil of the third and fourth quarters last year, showing strength across all asset...
Lifetime Achievement Award - Bruno Dupire
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Bruno Dupire was 15 years old when Fischer Black, Myron Scholes and Robert Merton published their keystone work on the calculation of option prices. He would be almost 30 by the time he first entered the finance industry, after an early life as an academic...
The legacy of Dupire
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There is an old tradition in applied mathematics of using changes of variable to gain insights into difficult problems. This was the key technical step behind the breakthrough made by Bruno Dupire in understanding the smile, published in Risk in 1994...
Prmia forms academic advisory council
Published online only
The Professional Risk Managers’ International Association (Prmia) has created an academic advisory council in a bid to further the integration of risk management theory and practical application.
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