Bloomberg Quant (BBQ) Seminar – October 2025 – Virtual Only
In this seminar chaired by Bruno Dupire, Julien Guyon, ENPC, Institut Polytechnique de Paris & NYU Tandon, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote: Julien Guyon
ENPC, Institut Polytechnique de Paris & NYU Tandon
Reconciling P- and Q-Calibration: The Discrete-Time 4-Factor Path-Dependent Volatility Model
Model calibration under P and under Q are often regarded as two separate branches of finance. P refers to a backward-looking real-world probability measure under which the observed historical price path of a financial asset is viewed as a realization of a stochastic process, while Q denotes a forward-looking risk-neutral measure inferred from the prices of options written on this underlying asset. Accordingly, model estimation based on past prices of the underlying asset is referred to as estimation “under P”, while estimation from option prices is known as calibration “under Q”. One may question whether such a strict separation is justified or whether it rather reflects the lack of models able to capture the joint dynamics of prices and implied volatilities. Path-dependent volatility models are uniquely positioned to reconcile P- and Q-calibration, since they precisely relate past asset returns to volatility, thus to option prices. In this talk, we introduce the discrete-time 4- (or 3-)factor path-dependent volatility model and we show that combining the path-dependency of volatility that we uncovered in the article Volatility Is (Mostly) Path-Dependent (Guyon and Lekeufack, 2023) with fat-tailed random innovations allows us to reconcile model calibration under P and under Q, which further supports the hypothesis of high endogeneity of volatility. We also propose a new estimation approach that combines P- and Q-information to enhance calibration robustness, and we benchmark its effectiveness against classical methods. This is joint work with Léo Parent.
6:30 PM
Lightning Talks
Natascha Hey | Columbia Business School
Price Manipulation Constraints: From Regulated Markets to DeFi
Alireza Yazdani | Bloomberg
Monetizing Volatility in Portfolio Optimization
Siqiao Zhao | Independent Researcher
One-X or more? From Stochastic Orders to Volatility Surfaces: Revisiting the One-X Property
Amine Aboussalah | NYU Tandon School of Engineering
Make Data, Keep Truth: A Principled Framework for Generative Data Augmentation
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
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.
Julien Guyon
ENPC
Institut Polytechnique de Paris & NYU Tandon
Julien Guyon is a Professor of Applied Mathematics at École nationale des ponts et chaussées, Institut Polytechnique de Paris, where he holds the BNP Paribas Chair Futures of Quantitative Finance, a Visiting Associate Professor in the Department of Finance and Risk Engineering at NYU Tandon, and an adjunct professor in the Department of Mathematics at Columbia University. Julien worked in the financial industry for 16 years, first in the Global Markets Quantitative Research team at Societe Generale in Paris, then as a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. Julien received the 2025 Quant of the Year award by Risk, and is a Louis Bachelier Fellow. He is best known for designing the particle method for smile calibration (with Pierre Henry-Labordère), the Bergomi-Guyon expansion, and his works on path-dependent volatility (in particular the so-called Guyon-Lekeufack model) and on the joint calibration of S&P 500 and VIX smiles. He serves as an Associate Editor for 4 academic journals, co-authored the book Nonlinear Option Pricing, has extensively published in peer-reviewed journals, and is a regular speaker at international conferences, both academic and professional. 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 País. Some of his suggestions have been adopted by FIFA and UEFA, including a fairer draw method for the FIFA World Cup since 2018 and a fairer format for the 2026 FIFA World Cup.