Local volatility

Dupire is best known for showing how to derive a local volatility

Local volatility

A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level S_t and of time t .-Formulation:...

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

Local volatility

A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level S_t and of time t .-Formulation:...

 for modeling the volatility smile

Volatility Smile

In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves...

.
This result has been then illustrated in several books, including for example Jim Gatheral

Jim Gatheral

Jim Gatheral is a researcher in the field of Mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives....

's The volatility surface, Matthias R. Fengler (2005) Semiparametric Modeling of Implied Volatility and Mark S. Joshi

Mark S. Joshi

Mark S. Joshi is a researcher and consultant in mathematical finance. He obtained a B.A. in mathematics from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994 under the supervision of Richard Melrose...

's The Concepts and Practice of Mathematical Finance (2003). Dupire has also edited the book Monte Carlo: Methodologies and Applications for Pricing and Risk Management (Risk Books 1998).

Awards

Dupire is the recipient of the Risk

Risk (magazine)

Risk is a magazine covering financial risk management and the global derivatives markets. It includes papers on option pricing and hedging, market risk, credit risk, swaps and Monte Carlo methods...

magazine "Lifetime Achievement Award", 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 derivatives. In 2006 he was awarded the Cutting Edge research award by Wilmott Magazine

Wilmott Magazine

Wilmott Magazine is a mathematical finance and risk management magazine, combining technical articles with humor pieces. Each copy of Wilmott is 11 inches square, runs about 100 pages, and is printed on glossy paper...

Current and past affiliations

Dupire is a Fellow and Adjunct Professor at NYU. He currently works at Bloomberg L.P.

Bloomberg L.P.

Bloomberg L.P. is an American privately held financial software, media, and data company. Bloomberg makes up one third of the $16 billion global financial data market with estimated revenue of $6.9 billion. Bloomberg L.P...

 as a researcher, in the same department as Fabio Mercurio

Fabio Mercurio

Fabio Mercurio is an Italian mathematician, internationally known for a number of results in mathematical finance.-Main results:...

, after an early career at several small French banks, followed by Société Générale

Société Générale

Société Générale S.A. is a large European Bank and a major Financial Services company that has a substantial global presence. Its registered office is on Boulevard Haussmann in the 9th arrondissement of Paris, while its head office is in the Tours Société Générale in the business district of La...

 and Paribas. Dupire has an undergraduate degree in Mathematics, a Masters degree in Artificial Intelligence from the University of Jussieu, Paris and a PhD in Numerical Analysis from Pontifical Catholic University of Rio de Janeiro.

External links

• Dupire's page at Risk Who's Who
• Risk magazine lifetime achievement award