Happy bloguiversary !

This week marks one year since I started this blog. The original intent was to report on the several activities that took place during the thematic program we had at the Fields Institute during the first half of 2010.

When the program ended in July, the people in charge of the communications strategy at Fields asked me to continue the blog by posting about topics related to the program, such as conferences or other important developments in the area. The hope was to create a focal point for people who participated in the program, both for historical purposes and to generate discussions and commentary.

Inevitably, I restricted my posts to activities that I attended, which gave the blog more of a personal flavor than I would have liked. That is why I keep encouraging my colleagues to become regular contributors too. So far I got many promises and no actual posts, but I'm keeping my expectations high.

In the mean time I'll keep writing, acutely aware of the advice in Ecclesiastes 12:12:

"Of making many books there is no end; and much study is a weariness of the flesh."

The value of being a leader - ETH edition

I gave a talk at ETH on what I call the priority option this week. This was my first visit to both ETH and Zurich and I was throughly impressed by the city, the school, and the math department. For example, here is a sample of what was going on in just one afternoon:



















Their Financial and Insurance Mathematics group is of course well known to anyone working in the area. In fact, I would be hard pressed to find a higher concentration of talent dedicated to mathematical finance under the same roof anywhere else in the world. And speaking about roofs, they also have gigantically high ceilings:

ps: just in case you wonder, this was not the room where I gave my talk :)

Nobel week in Stockholm

I'm visiting Tomas Bjork in Stockholm for a few days this week, where I gave a talk about chaos models for interest rates at KTH (paper is available here).

It has been a truly remarkable visit for many reasons: having a traditional Swedish Christmas dinner, meeting the mathematician Lars Svensson (the other Lars Svensson is an economist who also works on interest rate theory - and I thought Martino and I had a problem with common names), see the famous Vaza warship, etc.

But it is hard to top the excitement of being in Stockholm during a week full of Nobel lectures, leading up to the prize ceremony on Nobel day, December 10th.

Research in Options Conference

Financial mathematicians around the world know that Rio de Janeiro is the place to be around this time of the year, when IMPA, the premier math institute in Brazil, hosts the aptly named Research in Options conference. To be entirely accurate, the first conference in this series, which took place in 2006, was generically called Mathematics and Finance: from Theory to Practice, but thanks to Bruno Dupire's creative genius, the subsequent events are simply known as RiO 2007, 2008, 2009 and now 2010.

The core program is a mixture of high caliber invited speakers, contributed talks with a lot of local flavor, and short courses aimed at graduate students and practitioners. Apart from that, the warm atmosphere of the conference provides an ideal venue for informal (and sometimes heated) discussions on the abundance of important practical and theoretical problems that flooded our research area in these turbulent times. I like to think of it as the Brazilian response to Davos, with much better views and drinks, complete with our own chair lifts, which clearly put the Swiss's to shame.

Here is a partial visual record of the event: