Please join us for March’s installment of the Bloomberg Quant (BBQ) Seminar Series – in-person at Bloomberg’s 731 Lexington Avenue office in New York City.

In this seminar chaired by Bruno DupireJulien 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.

Seating is limited and no walk-ins will be allowed. Please register early to reserve your seat.


5:00 PM


5:30 PM

Keynote: Julien Guyon

Professor of Applied Mathematics at Ecole des Ponts ParisTech

Volatility Is (Mostly) Path-Dependent

We learn from data that volatility is mostly path-dependent: up to 90% of the variance of the implied volatility of equity indexes is explained endogenously by past index returns, and up to 65% for (noisy estimates of) future daily realized volatility. The path-dependency that we uncover is remarkably simple: a linear combination of a weighted sum of past daily returns and the square root of a weighted sum of past daily squared returns with different time-shifted power-law weights capturing both short and long memory. This simple model, which is homogeneous in volatility, is shown to consistently outperform existing models across equity indexes and train/test sets for both implied and realized volatility. It suggests a simple continuous-time path-dependent volatility (PDV) model that may be fed historical or risk-neutral parameters. The weights can be approximated by superpositions of exponential kernels to produce Markovian models. In particular, we propose a 4-factor Markovian PDV model which captures all the important stylized facts of volatility, produces very realistic price and volatility paths, and jointly fits SPX and VIX smiles remarkably well. We thus show that a continuous-time Markovian parametric stochastic volatility (actually, PDV) model can practically solve the joint SPX/VIX smile calibration problem. This is joint work with Jordan Lekeufack.

6:30 PM

Lightning Talks

        • Tom Marshall | Bloomberg
          Quantum Mechanics in a Nutshell
        • Leon Tatevossian | NYU Tandon School of Engineering
          Behavior of the Variance of the Average in a Lognormal World
        • Achintya Gopal | Bloomberg
          Normalizing Flows, Part 1
        • Amal Moussa | Goldman Sachs
          Exotics Flows Driven Spot Vol Dynamics
7:00 PM

Reception: Specialty Cocktail, Wine, Beer & Mexican Cuisine


Photo of Bruno Dupire <!--Color -->

Bruno Dupire

Head of Quantitative Research, CTO Office

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.

Photo of Julien Guyon

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.

When & Where

Wednesday, March 29, 2023
5:00 PM – 8:00 PM ET

731 Lexington Avenue
28 MPR
New York, NY 10022




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