1.
금융공학포럼에 올라온 행사입니다.
[세미나] 로컬변동성 모델링 및 VIX지수를 활용한 변동성투자전략
저는 문외한이라 잘 모르지만 발표자가 유명한 분이라고 합니다. Bruno Dupire박사라네요.
After having headed derivatives research teams at Société Générale, Paribas and Nikko FP where he was a Managing Director, Bruno joined Bloomberg L.P. in 2004. He is best known for his work on volatility modeling, including the Local Volatility Model (1993), simplest extension of the Black-Merton-Scholes model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. His current interests include quantitative trading strategies and robust hedging.
He was included in December 2002 in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of derivatives. He is the recipient of the 2006 “Cutting edge research” Wilmott award and has been voted in 2006 the most important derivatives practitioner of the previous 5 years in the ICBI Global Derivatives industry survey. Bruno is the recipient of the Risk Magazine 2008 “Life Achievement Award”.
기본적으로 블룸버그 단말 고객을 위한 행사이지만 공개등록이 가능한 듯 합니다. 관심이 있는 분들은 빨리 신청하세요.
2,
2007년 자료지만 참고하세요.
