On Friday the 25th of September I took myself along to King’s College to attend the London-Paris Bachelier Workshop on Mathematical Finance. It was a two day event designed to highlight the collaboration between London and Parisian universities in the maths and finance field. As a new graduate student of this field I thought it was a good opportunity to attend.
Whilst there were many interesting topics, the stand out talk for me was John Armstrong on stochastic filtering. By projecting a stochastic equation onto a manifold and choosing an appropriate metric, an approximate solution can be found. The exact details are a bit beyond my grasp and I hope that I haven’t misinterpreted the overall aim of the talk. I hope that in the future I can look back on this and re-write it with a better understanding!
Overall, the workshop was an excellent introduction to what to expect as a grad student and I look forward to attending more.