RiO 2011

Forget the Thanksgiving Parade. The real tradition this time of the year is to attend the Research in Options conference in Rio. I already wrote about the origins and general features of this regular meeting, so it suffices to say that this year's event is a contender for the best one ever.

And I suspect that financial markets know that too, since the Bovespa index was up all through the conference. At least this is as good an explanation as any other for how markets are moving these days.

I'll post a few more pictures from the conference when they become available, but here is a small taste of the kind of trouble we were getting ourselves into:

Alex Lipton and Peter Carr in Toronto

We packed a lot of star power in the last instalment of the Quantitative Finance Seminars Series at Fields last week with Alex Lipton and Peter Carr speaking back-to-back, fresh from their appearances at the Global Derivatives Conference in Chicago.

As I always say, the only thing better than paying thousands of dollars to stay at fancy hotels and listen to some of the best quant minds worldwide is to bring them to your own city !

A week to remember

It took me an entire week to recover from the last one:

- from Tuesday to Friday we had Raghu Varadhan giving the Britton Lectures at McMaster. He spoke about large deviations, which sent me down memory lane, as this was the subject of the first research seminars I gave as a PhD student. One of these days I should read his notes on PDE for Finance.

- on Wednesday night I had the honour to speak at the Quantitative Finance Seminar Series at Fields alongside Bill Janeway, from whom I always learn a great deal.

- on Friday I attended the first day of a Risk Forum at Fields. Apart from the interesting talks and discussions I had a chance to meet the CEO of the new Global Risk Institute in Toronto, which looks like a promising venue for exploring out-of-the-box research ideas in financial mathematics.

It was good to relax for the past few days after that.

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:

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.

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 !