Sunday, August 29, 2010

Summer School in Paris

After a month of relative peace and quiet, I attended my first official scientific activity in Paris, the Third SMAI European Summer School in Financial Mathematics, organized by the good folks at Ecole Polytechnique. The format consisted of senior speakers giving a series of lectures each, interlaced with contributed talks by some of the junior participants.

The general theme of the school was stochastic volatility and its many asymptotics. The main speakers were Huyen Pham, who gave an inspiring, albeit technically demanding, overview of large deviations and applications to finance (notably stochastic volatility in short maturity, but also importance sampling and risk management), Roger Lee, the discoverer of the eponymous moment formula, and Jean-Pierre Fouque, whose lectures were based on a completely new version of his famous book on fast mean-reversion asymptotics.