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Bruno Dupire

Equity Derivatives

A dynamic model for correlation

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 the form of a correlation skew, the losses could...

Risk magazine | 29 Mar 2010 | Image Image

Investment

JP Morgan wins Derivatives House of the Year award

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...

Risk magazine | 17 Jan 2008 Image

Awards

Lifetime Achievement Award - Bruno Dupire

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...

Risk magazine | 01 Jan 2008 | Image Image

Derivatives

The legacy of Dupire

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...

Risk magazine | 02 Jan 2003 | Image Image

Wholesale

Prmia forms academic advisory council

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.

Risk magazine | 14 Nov 2002 Image

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