Bruno Dupire (born 1958) is a researcher and lecturer in

quantitative finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that requ ...

. He is currently Head of Quantitative Research at

Bloomberg LP Bloomberg L.P. is an American 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 Zeg ...

. He is best known for his contributions to

local volatility A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats Volatility (finance), volatility as a function of both the current asset level S_t and of time t . As such, it is a generalisati ...

modeling and Functional Itô Calculus. He is also an Instructor at

New York University New York University (NYU) is a private university, private research university in New York City, New York, United States. Chartered in 1831 by the New York State Legislature, NYU was founded in 1832 by Albert Gallatin as a Nondenominational ...

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 (; also ENS Paris-Saclay or 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-Yvette within the Essonne department near Paris ...

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

Pierre and Marie Curie University Pierre and Marie Curie University ( , UPMC), also known as Paris VI, was a public research university in Paris, France, from 1971 to 2017. The university was located on the Jussieu Campus in the Latin Quarter of the 5th arrondissement of Paris, ...

and his Ph.D. in

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

from the

Pontifical Catholic University of Rio de Janeiro The Pontifical Catholic University of Rio de Janeiro (; PUC-Rio) is a Jesuit, Catholic, pontifical university in Rio de Janeiro, Brazil. It is the joint responsibility of the Catholic Archdiocese of São Sebastião do Rio de Janeiro and the So ...

Local volatility

Dupire is best known for showing how to derive a

model consistent with a surface of option prices across strikes and maturities, establishing the so-called Dupire's approach to

for modeling the

volatility smile Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given ex ...

. The Dupire equation is a

partial differential equation In mathematics, a partial differential equation (PDE) is an equation which involves a multivariable function and one or more of its partial derivatives. The function is often thought of as an "unknown" that solves the equation, similar to ho ...

(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 environ ...

'' 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 between a buyer and a seller. The derivative can take various forms, depending on the transaction, but every derivative has the following four elements: # an item (the "underlier") that can or must be bou ...

. In 2006 he was awarded the Cutting Edge research award by '' Wilmott Magazine''

Selected publications

; Books * ; Papers * * * *

References

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