Quant of the year: Pierre Henry-Labordère
Risk Awards 2023: Two-time award-winner impresses for his whizzy alternative to local volatility model
For more than half a century, quants have bent their minds to modelling the elusive nature of volatility. The market-standard method for applying the characteristic ‘smile’ of implied volatility to options pricing is the local volatility model, devised by French mathematician Bruno Dupire. Academics have made small improvements to the model over the years, a tweak here, a polish there.
But research published last year by Pierre Henry-Labordère could prove to be a more definitive upgrade on the
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