Dupire, Bruno

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Bruno Dupire is currently developing pricing, risk management and arbitrage models at Bloomberg in New York. Previously he headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products. He joined Bloomberg after a short 'retirement.'

He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions.

He obtained a Master's Degree in Artificial Intelligence, a PhD in Numerical Analysis and introduced the use of Neural Networks for financial time series forecasting.

He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine Hall of Fame of the 50 most influential people in the history of Derivatives and Risk Management.

He is the recipient of the 2006 Cutting Edge Research award of Wilmott magazine and of the 2008 Lifetime Achievement award of Risk magazine.