Bruno Dupire
Quant of the year: Pierre Henry-Labordère
Risk Awards 2023: Two-time award-winner impresses for his whizzy alternative to local volatility model
Rational shapes of local volatility
Rational shapes of local volatility
Being particular about calibration
Being particular about calibration
Cutting Edge: the year of CVA
The year of CVA
Right Laplace, right time
Right Laplace, right time
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
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
From spot volatilities to implied volatilities
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…
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 last year, showing strength across all asset…
Lifetime Achievement Award - Bruno Dupire
Risk Awards 2008
The legacy of Dupire
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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.