We had the pleasure of welcoming Dr. Bruno Dupire at our offices in Paris for a candid discussion about the world of finance in general, the. Volatility Master Class for Quants (Wiley Finance) Nov 12, by Bruno Dupire · Hardcover. $$ This title will be released on November 12, Bruno Dupire the Stochastic Wall Street Quant Bruno Dupire has headed various Derivatives Research teams at Société Generale, Paribas Capital Markets and.

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Interview – Bruno Dupire: «The problem of finance is not to compute»

He was among the first volatility traders in the matif! The distinction between the smile problem and the problem of its dynamic is only due to an accident of the history that now gives the impression that we discover, with the smile dynamic, a new and exciting issue, while it is the same old problem from the beginning: Do you have any pet peeves about the industry?

It is thus dupird that finance has embraced ML.

Bruno Dupire is a researcher and lecturer in quantitative finance. Moreover we have open sourced bqplot, our graphical library.

Bruno Dupire: «The problem of finance is not to compute……»

ESG, it would seem, has now become fully embedded in the industry framework. Opportunities vanish quickly and the investor needs to be creative and to have efficient tools.

It was therefore natural to try to unify these two models to elaborate a stochastic volatility model calibrated to the surface. From theory to data. Opportunities rotate quickly and one has to be nimble to identify and exploit them.

What is your take on the ability of asset managers, especially quantitative, and systematic managers to respond to the ever-increasing ESG demands set by investors? 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.


Bruno Dupire the Stochastic Wall Street Quant – Derivatives Models on Models [Book]

Similarly, using convolution nets to link returns to characteristics is perilous. However local volatilities or more precisely their square, the local variances themselves play a central role because they are quantities that we can hang from existing options, with arbitrage positions on the strike dimension against the maturity. High to Low Avg. Local volatilities reveal information about the future behavior of volatility from vanilla option prices today, regardless of the model considered.

In the absence of randomly controlled trials, it djpire necessary to have duplre causal assumption, as brilliantly explained by “The Book of Why” of Judea Pearl.

Bruno Dupire tends to publish his many interesting ideas in short and precise form, with a background in formal mathematics, typical for French quants, some might say. Specifically, if all vanillas on a given underlying are liquid, it is possible to extract the levels of instantaneous variances, or squares of short-term volatilities at the money, unconditional or conditional, but not the skews.

ML relies on three pillars: Her risk is her own longevity, not the performance of the value factor. I presented in A Unified Theory of Volatilitywhich provides among others things that the local variances square of the local volatilities are synthesizable from the vanillas and a stochastic volatility is calibrated to the surface if and only if the instantaneous variance expected, conditional on a price level, equal to the local variance set by the surface.

We cover derivatives, machine learning MLportfolio construction, pricing of illiquid assets, electronic trading, visualisation methods, election prediction and much more Provide feedback about this page. To ensure the relevance of the approach, I needed to have a formulation of the model in continuous time pricing, what I did in early My team is working on novel ways to visualise and navigate the data that makes it easier to reveal associations.


My paper Pricing and Hedging with Smiles was presented in June with a version in risk Magazine of ” Pricing with a smile” published in January Do you harbour any reservations about the use and application of data? Risk premia are not a law of nature.

Popularity Popularity Featured Price: In the business side, we can expect an expansion of securitization to a wide variety of underlying if you want a French example: Brumo mentioned earlier, a major issue is overfitting. The data, even if not a complete set, is voluminous. With Safari, you learn the way you learn best. The dupir is interested primarily in price, calculated as the expectation on the scenarios generated by the model, while the trader requires not just an average, but a guaranteed result regardless of the realized scenario.

Archived from the original on I think they were the golden age of quantitative finance, with the variety of problems, products and models.

Regarding the future, it is likely that the work on the microstructure, powered by the dominance of electronic trading, will continue to grow. Sustainability data depend partly on the sector and S, social, is especially patchy.

I quickly took the lead, and led for lap after lap.