Saturday, October 15, 2011

Mathematics in Finance at Kruger Park

Academics in general, but especially financial mathematicians, are known for holding conferences in exotic places, such as beach paradises or mountain tops, but nothing I have attended so far beats the sheer exuberance of the Mathematics in Finance conferences at Kruger Park in South Africa.

Starting in 2002, these meetings happen every 3 years and bring a large number of international and local participants to the heart of the African wilderness. The high quality talks taking place at the Berg-en-Dal compound have to compete for attention with all sorts of impressive animals surrounding it. 

And to cap it all, while most conferences have boring banquets with unbearable speeches over food of debatable quality, this one treated us to a bush brae - an African style barbecue in the middle of the bushes, complete with a ring of fire and armed rangers protecting us from the observing leopards.

Here is photographic evidence:

Friday, October 14, 2011

Commodities and Energy Finance in Rio

Everyone knows that Brazil is a major player in the commodities and energy markets, mostly - but not exclusively - because of Petrobras, its giant oil company. It should, therefore, not come as a surprise that there is a very active academic community in Brazil dedicated to research in these areas, as demonstrated in the this small but highly informative workshop that took place at IMPA last August. 

Besides giving a mini-course on game theory and real options, I played a small role behind the scenes by strengthening the links between EDF and IMPA and by extension Petrobras. Having worked on consulting projects for both companies, I can vouch for the vibrancy of their R&D teams, which can only benefit from talking to each other.

Monday, October 10, 2011

Springer Briefs on Quantitative Finance

Springer is launching a new series on quantitative finance as part of Springer Briefs - their new publishing paradigm for sweet and short books on current hot topics in several different areas.

The editorial board for the series, consisting of Nizar Touzi, Jaksa Cvitanic, Lorenzo Bergomi, Ralph Korn and yours truly, met for the first time in Paris in July to define the scope and guidelines for publication. Our strategy for now is to solicit titles from a wish list of authors that we think will help us set the tone and level for the series, with the hope that these will attract a steady stream of submissions in the future.

So if you have written or are thinking of writing a concise, high-quality, high-octane book on quantitative finance, do let us know !

How I did not meet Chris Sims

When I was in Princeton giving a talk earlier this year I was told by my colleagues at ORFE that I should try to meet Chris Sims, because he was probably the best person in their Economics department to give me advice and feedback on my quest to mathematize the Minsky model for financial instability. My friends also mentioned that Chris was a perennial top contender for the Nobel prize.

Since I have always been clueless about my relative importance in the world, I promptly e-mail him asking if he would be available to meet (I also wrote a similar message to Paul Krugman - more evidence of how clueless I really am). Much to my surprise, Sims e-mailed me back the next morning suggesting a time and place for us to meet.

Alas, inexplicably my mail server was down that day and I only received the message several hours after the suggested time, together with a second message from Chris saying that it looked like "we did not make a connection".

I remember thinking to myself that day that if he was ever awarded the Nobel prize I would curse the McMaster mail server forever for robbing me the opportunity to meet him !

Saturday, October 8, 2011

Thank God for Thanksgiving

Apologies to the regular reader(s) who noticed the radio silence of the past few months. It turns out that coming back from a sabbatical is harder work than I thought ! But don't despair: I'll use the Thanksgiving long weekend to post about the following:

- the first meeting of the editorial board for a new series of books by Springer dedicated to quantitative finance;

- a very informative workshop on commodities and energy finance at IMPA (Rio de Janeiro) in August;

- a really nice conference in South Africa at the end of August;

- the start of a new season for the Fields Institute Quantitative Finance Seminar Series in September;

- a short and enjoyable workshop on optimization and risk management at Fields in October.

Stay tuned !