The RiO 2018 conference in mathematical finance, organized by IMPA, was held in Buzios, Rio de Janeiro, Brazil, on 24-28 November 2018, to celebrate the 60th birthday of Bruno Dupire, one of the most influential figures in the history of financial derivatives. The event gathered a number of leading scientists and professionals in one of the most productive and satisfying conferences of the year.
As one of his original alumni, I was given the responsibility to retrace some of Bruno’s ground breaking innovations, and, as a lecturer in Volatility, put them in perspective in the context of volatility modeling and derivatives trading.
For those of you who like my posts and stories, I am working on a few nice talks and workshops on introductory automatic differentiation, deep learning, Monte-Carlo simulations and parallel programming that will land on my SlideShare page soon. Please follow me to be notified of updates.
Right now, my page has my volatility lecture notes from Copenhagen University, my interest rate modeling slides from a course internal to Danske Bank, an introduction to multi-curve and collateral consistent discounting, some material on AAD and scripting, and a personal favorite about risk smoothing and fuzzy logic.
Comments, suggestions and questions are welcome, of course.
I put all my years of promoting, teaching and professionally implementing automatic adjoint differentiation (AAD) in this book, yet it took years of working nights and week-ends to (hopefully) get it right. I hope readers find that it was worth the effort.
The slides for the presentation on scripting in finance, given at Oxford University in 2017 and QuantMinds and WBS in 2018, were just posted to SSRN, together with a brief history of scripting in finance, written by Jesper Andreasen: