Thursday, October 28, 2010

Chaos at Imperial College

No, no, I don't mean that they run a particularly disorganized college. 

It is just that I presented the most recent version of my work on calibration of chaotic models for interest rates there yesterday. The slides for the talk can be found here, but I have not figured out a way to upload the movies to my website in a concise manner yet, so if you are interested you can write me an e-mail.

As I mentioned in the talk, presenting about chaotic models at Imperial College is a bit like giving a talk at the Sistine Chapel on recent advances in fresco technique. Most of the fundamental work on axiomatic positive interest rates was done by Lane Hughston and his collaborators, so it was a real treat to show them my modest contribution to the subject.

Many new and old friends were in attendance, including my phd supervisor Ray Streater, as well as my recent phd student Tsunehiro Tsujimoto, but somehow I missed the opportunity to register this tri-generation encounter with a picture.  

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