Bloomberg Quant (BBQ) Seminar Series – March 2023
In this seminar chaired by Bruno Dupire, Julien Guyon, professor of Applied Mathematics at Ecole des Ponts ParisTech, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, 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. He runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Julien Guyon
Professor of Applied Mathematics
École des Ponts ParisTech
Julien Guyon is a Professor of Applied Mathematics at École des Ponts ParisTech, one of the oldest and most prestigious French Grandes Écoles, where he holds the BNP Paribas Chair Futures of Quantitative Finance. He is also a Visiting Associate Professor in the Department of Finance and Risk Engineering at NYU Tandon, and an Adjunct Professor in the Departments of Mathematics at Columbia University and Baruch College, CUNY. Before joining École des Ponts, Julien worked in the financial industry for 16 years, first in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-2012), then as a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York (2012-2022). He was previously an Adjunct Professor at the Courant Institute of Mathematical Sciences, NYU; Universite Paris Diderot; and École des Ponts ParisTech. Julien serves as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, and Journal of Dynamics and Games. He is also a Louis Bachelier Fellow. Julien co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere, has published more than 25 articles in peer-reviewed journals, and is a regular speaker at international conferences, both academic and professional. His main research interests include volatility and correlation modeling, option pricing, optimal transport, and numerical probabilistic methods. A big soccer fan, Julien has also published articles on fairness in sports both in academic journals and in top-tier newspapers including The New York Times, The Times, Le Monde, and El Pais; some of his suggestions for draws, tournament design, and scheduling have been adopted by FIFA for the World Cup and by UEFA for the Euro and the Champions League.