This is the end, my only friend, the end

So after 6 months, 4 workshops, 5 industrial-academic forums, 3 public lecture series, 4 graduate courses, 2 seminar series, and 2 international conferences, our thematic program is coming to an end today.

I counted around 180 invited talks during the program, not including the talks at IME and Bachelier, which although part of the program took place outside Fields. The slides and audio for the majority of the talks can be found here.

Throughout the program, I experimented with posting comments on this blog and had great fun along the way. At the request of Fields, I will keep the blog up and report on any further developments that might arise in connection with the activities that took place here in the past 6 months. I plan to write about future meetings, papers, sites and people directly or inderectly connected with the program. Hopefully other participants will also become regular contributors to this blog (just send me a message and I'll add you as an author).

In any case, this is your blogger extraordinaire signing off for now, until I find something else to write about. In the mean time, let me thank you all for reading and please keep in touch !

Most exciting Bachelier Congress ever

The 6th World Congress of the Bachelier Finance Society ended yesterday in Toronto, featuring excellent plenary and contributed talks, more than 500 enthusiastic participants, and an abundance of interesting discussions all around. What with the World Cup, the G20 summit and even an earthquake to boot, there was certainly no shortage of excitement during the Congress.

These are a few pictures I took from different vantage points at the Hilton, showing some of the protesters  and the tight security around the hotel. What a week !

Last Industrial-Academic Forum

The forum on Financial Engineering and Insurance Mathematics took place today at Fields, bringing to conclusion the series of Industrial-Academic Forums that we had during the thematic program.

This was also the last program activity hosted at the Fields building, since the Bachelier Congress that starts tomorrow will take place at the Hilton. I was walking around the downtown core near the hotel and snapped these pictures of the ridiculous fence built up as part of the G20 security:

Welcome to Toronto !!

The end is nigh

Not trying to be alarmist or anything - just observing that these are going to be the last two weeks in thematic program, culminating with the IME Congress from Thursday to Saturday, the Forum on Financial Engineering and Insurance Mathematics next Monday, and the Bachelier Congress from Tuesday to Saturday next week.

Time flies !

Fourth and final graduate course

Dan Rosen delivered an intense graduate course on risk management this week, concluding the series of courses offered during the thematic program. Such courses are a key difference between the program at Fields and similar activities at other places, as they provide an element of continuity for students, postdocs and long term participants, besides being a great resource for content and information about important aspects of the program.

Stochastic control fest ends

Nizar Touzi concluded his graduate course today. For the past 6 weeks he delivered an intense and comprehensive exposition of stochastic control, dynamic programming, HJB equations, viscosity solutions, BSDEs, and their applications to finance, complete with guest lectures by Bruno Bouchard, Agnes Tourin and Mete Soner.

Several admin distractions (including a trip to Paris) prevented me from attending the lectures, but I look forward to the monograph that Fields will publish based on his lecture notes.

ps: we also had a celebratory barbecue for all thematic program participants, successfully put together by the Social Activities Committee - Walid Mnif and Arash Fahim. Thank you guys.

Quantitative Finance Seminar - Season finale

The 2009-10 season for the Quantitative Finance Seminar Series came to a glorious end this week with two heavy weight talks by Freddy Delbaen and Mete Soner, both from ETH (Zurich).

Freddy gave an insider account of convex risk measures (he is a co-author of the paper that started it all), with a particular emphasis on the requirement of time-consistency, which in the Brownian setting leads to a natural connection with BSDEs and the associated semi-linear PDEs.

Mete then explored yet another application of BSDEs (this time related with fully nonlinear PDEs) in the context of (super) hedging a claim on markets with uncertain volatility, which provides the motivation to consider probability measures that are not necessarily absolutely continuous with respect to one another.

I did warn it was heavy weight, didn't I ?

Diffusive visitors seminars

We had two talks in the visitors seminar yesterday, both related to diffusions. Pavel Gapeev from LSE spoke about how to construct Levy driven processes by applying an invertible state space transformation to a solvable diffusion (say a CIR process), whereas Jean Francois Renaud from Waterloo described a simple yet far reaching method for discretizing a positive diffusion (say a CIR process). It is nice when back-to-back talks have a commonality like that, so the mind doesn't have to be jogged from one place to another.