A Few Myths in Quantitive Finance
Part of the Morton Topfer Chair Lecture Series.
This is a varied and hopefully enjoyable journey through several aspects of quantitative finance. It reviews some common mysteries, myths and misconceptions. It visits notably the fields of market behavior, statistics, models, hedging, asset allocation, behavioral finance and social utility. It also claims, illustrated by a simple model, that regret aversion creates a demand for convexity, which pushes up option prices and explains part of the volatility risk premium.
An FRE social will begin at 4pm; lecture begins at 4:30. Refreshments will be served.
About the Speaker:
Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. 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 the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.