Quant of the year: Pierre Henry-Labordère

- By Risk.net staff
- @riskdotnet
- 26 Jan 2023

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For more than half a century, quants have bent their minds to modelling the elusive nature of volatility. The market-standard method for applying the characteristic ‘smile’ of implied volatility to options pricing is the local volatility model, devised by French mathematician Bruno Dupire. Academics have made small improvements to the model over the years, a tweak here, a polish there.

But research published last year by Pierre Henry-Labordère could prove to be a more definitive upgrade on the

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