Bruno Dupire (born 1958) is a researcher and lecturer in quantitative finance. He is currently Head of Quantitative Research at

Bloomberg LP Bloomberg L.P. is a privately held financial, software, data, and media company headquartered in Midtown Manhattan, New York City. It was co-founded by Michael Bloomberg in 1981, with Thomas Secunda, Duncan MacMillan, Charles Zegar, and a 1 ...

. He is best known for his contributions to local volatility modeling and Functional Itô Calculus. He is also an Instructor at

New York University New York University (NYU) is a private research university in New York City. Chartered in 1831 by the New York State Legislature, NYU was founded by a group of New Yorkers led by then- Secretary of the Treasury Albert Gallatin. In 1832, th ...

since 2005, in the Courant Master of Science Program in Mathematics in Finance.

Early life and education

Dupire is an alumnus of

École normale supérieure Paris-Saclay The École normale supérieure Paris-Saclay (also ENS Paris-Saclay or Normale Sup' Paris-Saclay), formerly ENS Cachan, is a grande école and a constituent member of Paris-Saclay University. It was established in 1892. It is located in Gif-sur-Yv ...

. He received a master's degree in artificial intelligence from the

Pierre and Marie Curie University Pierre and Marie Curie University (french: link=no, Université Pierre-et-Marie-Curie, UPMC), also known as Paris 6, was a public research university in Paris, France, from 1971 to 2017. The university was located on the Jussieu Campus in the L ...

and his Ph.D. in

numerical analysis Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of numerical methods ...

from the

Pontifical Catholic University of Rio de Janeiro The Pontifical Catholic University of Rio de Janeiro ( pt, Pontifícia Universidade Católica do Rio de Janeiro, PUC-Rio) is a Jesuit, Catholic, pontifical university in Rio de Janeiro, Brazil. It is the joint responsibility of the Catholic A ...

Local volatility

Dupire is best known for showing how to derive a local volatility model consistent with a surface of option prices across strikes and maturities, establishing the so-called Dupire's approach to local volatility for modeling the volatility smile. The Dupire equation is a

partial differential equation In mathematics, a partial differential equation (PDE) is an equation which imposes relations between the various partial derivatives of a multivariable function. The function is often thought of as an "unknown" to be solved for, similarly to h ...

(PDE) that links the contemporaneous prices of European call options of all strikes and maturities to the instantaneous volatility of the price process, assumed to be a function of price and time only.

Awards

Dupire is the recipient of the ''

Risk In simple terms, risk is the possibility of something bad happening. Risk involves uncertainty about the effects/implications of an activity with respect to something that humans value (such as health, well-being, wealth, property or the environm ...

'' magazine "Lifetime Achievement Award" for 2008, and has been voted in 2006 as the most important derivatives practitioner of the previous 5 years in the ICBI Global Derivatives industry survey. He has also been included in Dec' 02 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of

financial derivatives In finance, a derivative is a contract that ''derives'' its value from the performance of an underlying entity. This underlying entity can be an asset, index, or interest rate, and is often simply called the "underlying". Derivatives can be u ...

. In 2006 he was awarded the Cutting Edge research award by '' Wilmott Magazine'' http://www.wilmottwiki.com/wiki/index.php/Dupire,_Bruno

References

Books * Papers * Dupire, B, (January 2004), ''Pricing with a Smile''. Risk Magazine, Incisive Media * Dupire, B (September 1993), '' Model Art '', Risk Magazine, Incisive Media * Dupire, B (August 2009), ''Functional Itô Calculus'', SSRN. * Dupire, B (2010) Dupire equation, in: R Cont (Ed.)
Encyclopedia of Quantitative Finance
Wiley, 2010.

External links

Dupire's page
at ''Risk'' Who's Who

{{DEFAULTSORT:Dupire, Bruno 20th-century American mathematicians 21st-century American mathematicians Financial economists Living people Monte Carlo methodologists University of Paris alumni Date of birth missing (living people) 1958 births