In his talk Derivatives - the View from the Trenches, Jesper Andreasen said the following on the first fundamental theorem of derivatives trading (see his slides):
"Most of this sort of hocus-pocus was derived by Bruno Dupire in the early 90s, but has received far too little recognition and attention in textbooks and academic circles."
Here is a list of the articles he recommended for further reading. Note that an early version of the central Risk magazine article is available in full text.
- Dupire, Bruno (1994): Pricing with a smile. Risk, vol. 7, no. 1, January 1994, pp. 18-20.
- Dupire, Bruno (1993): Pricing and hedging with smiles. Reech research paper.
- Savine, Antoine (??): A theory of volatility. Reech research paper.
- Dupire, Bruno (1993): Model art. Risk, vol. 6, no. 9, September 1993, pp. 118-124.
- Dupire, Bruno (1997): A unified theory of volatility. Banque Paribas working paper.
- Andersen, Leif & Andreasen, Jesper (1999): Jumping smiles. Risk, vol. 12, no. 11, November 1999, pp. 65-68.
- Andersen, Leif & Andreasen, Jesper (2000): Jump diffusion models: volatility smile fitting and numerical methods for pricing. Review of derivatives research, vol. 4, pp. 231-262
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Several of the Bruno Dupire articles are contained in:
The book includes:
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Other links:
- Busca, Jérôme (2002): Implied volatility smiles. Slides from Mathematical Finance Seminar, New York, February 2002.
- The lecacy of Dupire