Derivatives Models on Models

Bruno Dupire the Stochastic Wall Street Quant

Bruno Dupire has headed various Derivatives Research teams at Société Generale, Paribas Capital Markets and Nikko Financial Products. He pioneered the use of neural networks in finance and is probably best known for his work on local volatility models. He has also worked extensively on stochastic volatility modeling. He is currently a member of the Bloomberg quantitative finance research team in New York. He was included in Risk magazine's “Hall of Fame” of the 50 most influential people in the history of derivatives. In 2006 he received the Wilmott award for cutting edge research.

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. If I had never met Bruno Dupire I would probably have thought of him as a boring formal math quant-geek. But how wrong can one be? Last time I met Bruno at a quantitative finance evening we were competing in car racing. Well, for quants in the middle of Manhattan crowded with traffic and people the solution was stationary racing cars packed with technology and sensors connected to a large wall sized screen. I quickly took the lead, and led for lap after lap. Laughing, Bruno shouted to me that he had to let the customers win. With only one round left I was very confident that I would win. Then suddenly my car went into a spin, I had no idea what happened except that I saw Bruno's racing car ...