IIR & IBC Finance is part of the Knowledge and Networking Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

Informa

Lorenzo Bergomi

Head of Quantitative Research at Société Générale

Profile

Originally trained in electrical engineering and theoretical physics, Lorenzo Bergomi heads the quant team at Société Générale covering all asset classes. He is wel lknown for his contributions to smile modeling, which earned him the Quant ofthe Year prize by Risk Magazine in 2009. His recent book, Stochastic VolatilityModeling, provides a clear practitioner’s account of smile modeling and of modern techniques for addressing it. A wealth of modeling issues arising in ther isk-management of exotics are covered in the author’s trademark style – a blend of out-of-the-box thinking and constant focus on the practical consequences of modeling choices. Please visit his website: http://www.lorenzobergomi.com

Agenda Sessions