Hopf algebras, BSDEs, booms, crashes, and all that

I spent most of the week preparing for my trip to Europe today, so only kept an eye on what was going on in the thematic program at a distance, hence this all encompassing but not too detailed blog post.

Anke Wiese spoke on the visitors seminar on Tuesday about approximations of nonlinear systems of SDEs using more general schemes than the ones based on a stochastic Taylor expansion. She showed how a sinh-log series leads to truncation errors which are always better than a conventional Taylor series, as well as providing an opportunity to use Hopf algebras in finance, which is altogether very cool.

Nizar Touzi started his concentrated graduate course on stochastic control and BSDEs on Wednesday. He is going to teach for 6 hours every Wednesday for the next six weeks, so this promises to be one for the books (incidentally, he is typing his lectures notes, so it might even turn into a book...)

The April edition of the Quantitative Finance Seminar series had Jorge Sobehart from Citigroup talking about booms, crashes and market behavior. I had to miss it because of a faculty meeting at McMaster, which is a pity, since his talk fits right into my recent obsession with modeling bubbles in financial markets. But I guess that is where the audio recordings provided by Fields will come in handy.