
Courses, professors and summariesVolatility modelling  C1 Course 1 (8 hours)
Summary: 
Bruno Dupire  
Bruno DUPIRE has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products before joining Bloomberg to develop pricing, risk management and arbitrage models. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the BlackScholesMerton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions. Before these years, he obtained a Master's Degree in Artificial Intelligence, a PhD in Numerical Analysis and introduced the use of Neural Networks for financial time series forecasting. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of Derivatives and Risk Management.
Recently, he received the following awards: Wilmott Award 2006 Global Derivatives Trading & Risk Management 2006 
Damien Lamberton  
Damien Lamberton is Professor of Mathematics at the university of MarnelaVallée (France).
His research interests are in probability theory and mathematical finance. He is associate editor
of Mathematical Finance and ESAIM PS.
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