I'll be the third witness (out of the five of us that stopped him), and was no less surprised than Aaron or Collector. If you asked me at noon yesterday to lost a million possible things that could have happened to me that afternoon, running into Nassim would not have come to mind to put on that list, but I not to consider such out-of-mind events as having been excluded from my probablility distribution using an "active exclusion" epistemology.Thanks again for the great talk!

Hmmmm.... it's about time somebody brought this thread to the top already...

Does that mean you have a suggestion for a specific time and place?

Hmmm...It's hot and nasty today, so I thought of Ulysses - last time I went there was on the day of the blackout. How about Wednesday 6/22?

I know it's last minute, but now that summer's over, anyone up for something after this?Speakers: Bruno Dupire, Bloomberg, New YorkTitle: Skew ModelingDate: Monday, September 12, 2005Time: 6:00-7:30pmLocation: Location: Davis Auditorium, 412 Shapiro CEPSR Morningside Campus (Enter through campus at 116th Street and then walk north).Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus:http://www.columbia.edu/about_columbia/ ... act:Equity markets have a volatility strike structure dominated by a strong skew. The two mechanisms that can create skews, leverage and jumps, produce markedly different evolutions of the implied volatility surface. We explore ways to disentangle these two mechanisms and investigate methods to compute a whole implied volatility surface from the mere price history. In the absence of jumps, we show what the short term skew imposes in terms of:- Component of stochastic volatility correlated to price- Average behavior of ATM implied volatilities when price moves- Optimal hedge ratio of vanillas and show the arbitrageability of Sticky Strike and Sticky Delta assumptionsBios:After having headed derivatives research teams at Société Générale, Paribas and Nikko FP, Bruno Dupire has joined Bloomberg in New York in January 2004 to develop advanced analytics. He is best known for his work on volatility modelling. He is a Fellow and Adjunct Professor at NYU. He was included in December 2002 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives.

I missed this, I would have like to have come. For some reason, I don't think I got my Fall schedule for Columbia. Or maybe I overlooked it. Anyway, I sent away for another copy and we should definitely plan a drinks night around one of these or one of the Courant talks.Graciela Chichilnisky who is speaking at Courant on October 20 taught my first course in general equilibrium.

Anyone going to the Cream concert 24-26 October Madison square?

The Columbia schedule: http://www.ieor.columbia.edu/fe_seminars05.html...and the NYU schedule: http://www.math.nyu.edu/seminars/math_f ... r.htmlThey do start a bit early, but for the sake of the thread title, that also means they end relatively early.

QuoteOriginally posted by: exotiqThe Columbia schedule: http://www.ieor.columbia.edu/fe_seminars05.html...and the NYU schedule: http://www.math.nyu.edu/seminars/math_f ... r.htmlThey do start a bit early, but for the sake of the thread title, that also means they end relatively early.Does London have such seminars - LBS, LSE, Imperial etc.?

Anyone want to meet for drinks after the Courant seminar next Thursday? I like d.b.a. at:41 First AveNew York, NY 10003 (212) 475-5097Cross Street: Between 2nd Street and 3rd StreetMathematical Finance Seminar October 6, 2005, 5:30 PM to 7:00 PM Sasha Stoikov, Courant Institute, NYU Pricing options from the point of view of a trader -------------------------------------------------------------------------------What is the fair price of an option, in a market where the volatility is stochastic? We answer this question by introducing a concept that we call the "relative indifference price". This is the price at which a trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the appropriate volatility risk premium depends on the trader's risk aversion and his portfolio position before selling or buying the additional option. This approach provides a tool for traders to (i) integrate option pricing with risk management and (ii) quote competitive prices that depend on their aggregate risk exposure.

Aaron, could you sign me up for that? Just like to say hi to you guys.

You're in. It's a tough club to join, but you've made the cut. The qualifications are:(1) Show up.(2) Find us (optional, and often neglected).(3) Drink (optional, but seldom neglected).

Thanks Aaron. At least I can easily find you with no prob. Does anybody go there also?

We usually get a pretty good turnout, but you never know.

QuoteOriginally posted by: AaronWe usually get a pretty good turnout, but you never know.I will do my best to blend into the crowd, and spy on all of you unawares.