Wednesday, December 30, 2009

Intent is nine tenths of the law

And so it was that on September 7th, 2005 we submitted a Letter of Intent (LOI) to the Fields Institute.  It was a short seven-pager outlining our views for the thematic program:

- Tom Hurd, Vicky Henderson, Marcel Rindisbacher and myself as the organizing committee

- about 20 names of leading international researchers who had already agreed to be part of the different scientific committees

- a brief description of the science involved, divided in the categories (A) Mathematical Foundations, (B) Quantitative Finance and (C) Emerging Applications

- the proposed structure of 4 week-long workshops and 4-6 two-day industry forums, plus the idea of submitting a bid to host the Bachelier Congress as the closing activity

- an additional list of about 40 likely senior participants.

In preparing the letter, we benefited immensely from constructive feedback by Barbara Keyfitz and Tom Salisbury - the Directorate of Fields at the time. The final product was then refereed by 5 external reviewers over the course of the following six months or so. By May, 2006 we heard back from Fields saying that they were inviting us to submit a full proposal based on the very positive reviews our letter received.

The reviewers were indeed enthusiastic, althoug one of them remarked that our list possible speakers was "mostly a who's who of the best people; many of them will not accept". Looking back at the list, I'm pleased to say that over nine tenths of them did accept and will be coming to Toronto.

Thursday, December 24, 2009

The Bachelier Congresses

Louis Bachelier is the undisputed father of mathematical finance, so it was only fitting that  the researchers who in 1996 formed a learned society to promote the discipline decided to call it the Bachelier Finance Society.

One of the main purposes of the society is to organize the Bachelier World Congresses, the premier international event in the area of mathematical finance. The congresses are held every second year and, by the time we started thinking about a thematic program at Fields, had already taken place in Paris (2000), Crete (2002) and Chicago (2004), with the next one already scheduled for Tokyo (2006). Since we thought it would be really neat to hold one in Toronto as part of the thematic program, we quickly decided that 2010 would be the most opportune date: 5 years from the last INI programme and with enough time to mount a succesful bid to the Bachelier Society, in case another group already had plans for 2008.

Tuesday, December 22, 2009

Quantitative Finance at Fields

Whereas the INI programmes are the predecessors for our thematic program in the international stage, quantitative finance has a long lineage at the Fields Institute itself. The Quantitative Finance Seminar Series was established in 1995 and runs two talks at the last Wednesday of each month in the academic year. Its list of previous speakers reads like a veritable who-is-who in mathematical finance in the past 15 years.

In addition, the Institute ran several mini-courses in the area, such as Quantitative Methods for Credit Risk Management and Probability Theory and Modern Finance, as well as
many related scientific meetings, such as the workshop on Probability in Finance, the New Directions in Financial Risk Management conference and the Quantitative Finance Conference on Credit Risk.

In time, financial mathematics became one of the pillars for the Commercial and Industrial Mathematics Program at Fields, an amalgamation of the different activities, courses, seminars and talks connecting the worlds of mathematics and business, including a number of start-up firms fostered by the Institute.

Giving this rich history, it was naturally expected that someone should propose a thematic program on quantitative finance at Fields, and that is what we set ourselves to do back in 2005.

Monday, December 21, 2009

The Isaac Newton Institute programmes

Because of their comparable scope, duration, organizers and participants, the direct academic predecessors for our thematic program are the Financial Mathematics and the Developments in Quantitative Finance programmes held at the Isaac Newton Institute in Cambridge in 1995 and 2005, respectively.

As far as organizing committes go, Chris Rogers provides the intersection between the two INI programmes, whereas Vicky Henderson is the intersection between the second INI programme and our program at Fields.

The intersection between the lists of participants in the three programs is too large to quote, but I would like to single out Stan Pliska, who participated extensively in the 1995 programme as the Prudential Distinguished Visiting Fellow, in the 2005 programme as the Rothschild Professor, and will participate regularly in our program 2010, including as a guest lecturer in one of the graduate course.

Monday, December 14, 2009

The Chronology of a Program

To practice for this blog, I decided to post a few entries about how we conceived and organized the Thematic Program. Maybe such historical account will be useful for people organizing similar programs in the future, who knows ? At the very least it should be  entertaining for those who were involved.

The way I remember, it all started when Tom Hurd and I were enjoying a pint near the river Cam back in 2005, when both of us were visiting the Isaac Newton Institute and convinced each other that we could run a program at the Fields Institute along the lines of the one we were just attending. For reasons that will become apparent in later postings, we settled on 2010 as our preferred year. Since five years would surely give us enough time to prepare everything, we returned to our pints with a certain sense of accomplishment.

Sunday, December 13, 2009


Welcome to this blog !

Starting today, I will be posting regular comments on all activities happening during the Fields Institute Thematic Program on Quantitative Finance: Foundations and Applications.

This way program participants can remain informed of all the action at Fields before, during and after their visits to Toronto.  

I hope you enjoy it. Thank you for reading !