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Risk Management - May 16, 2006

Leading world derivatives specialist, Bruno Dupire, to make a special presentation at EDHEC Business School

16/05/06

Mr. Bruno Dupire, world expert in the field of derivatives, will be sharing his expertise with the EDHEC Risk and Asset Management Research Centre's team and EDHEC's MSc Finance and MSc Risk and Asset Management students on Tuesday, 16th May at 13:00 at EDHEC Business School's Nice campus.

The presentation, the theme of which will be “Risk Premia Revisited”, will include the following topics:

  • Arbitrage, completeness, link measure/numeraire
  • Numeraire portfolio associated with the physical measure
  • Risk premium as a convexity bias
  • Portfolio theory revisited
Mr. Bruno Dupire headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products before joining Bloomberg in NY 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 Black-Scholes-Merton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions. Prior to this, 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. He is the recipient of the 2005 “Cutting edge research” award of Wilmott magazine.