STOCHASTIC VOLATILITY MODELING
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Lorenzo Bergomi
Quant
Squarepoint Capital
Paris, France
A quant for over 15 years, Lorenzo has spent most of his career in Société Générale's equity derivatives division. He has a long-standing interest in volatility modeling.
– Originally trained as an electrical engineer and with a PhD in theoretical physics, I was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance. I started in Société Générale's equity derivatives division, then moved on to head quantitative research for all asset classes.
I am mostly known for my contributions to smile modeling. Part of my work has appeared in the Smile Dynamics series of papers, published in Risk Magazine, for which I received the 2009 Quant of the Year award.
In the course of my career, I have been exposed to all sorts of modeling issues, ranging from designing models and algorithms for vanilla and exotics businesses, to assessing product risks, devising pricing methodologies and figuring out hedging schemes.
Late in 2010, I started a book project: an account of techniques for modeling the dynamics of the smile – all motivated by real-world trading issues – with the aim of conveying the experience and insights gained as a quant in an institution widely acknowledged as the leading equity derivatives house.
I finished it in the summer of 2015, before it finished me.
Education
Ph.D, Theoretical Physics, Université Paris XI, 1994
M.S. Electrical Engineering, ENST, 1989
An early project for the book cover, courtesy of Marco Zagha. Thanks Marco !
