I never mentioned in this blog my expertise in Monte Carlo method and the title of my thesis; "A probabilistic numerical method for fully nonlinear parabolic partial differential equations". If you are confused with the title, just read it as "Monte Carlo method for some nonlinear partial differential equations". The fact that these equations appears in Merton model for dynamic portfolio selection, relates my work to finance.
The pioneer of Monte Carlo methods in finance is Phelim Boyle which is now at the same university as mine, but in the business school not mathematics. It would be a pity if I never met him. But, fortunately I met him today and we agreed on regular visits.We are going to have launch together and it may bring me some new research opportunities.
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