Letter from South Africa, Part I (The Business)

Last week I gave a course on Advanced C++ for Derivatives in Johannesburg, South Africa. The course took place in Sandton, which is one of the main financial centres in the country. This was a four-day course in this case and on my free day (Friday, 16 June which incidentally was a national holiday) I was able to go to the safari park (I shall tell more about this and the close encounter with the 5-ton elephant in Part II to follow).

There is quite a lot of interest in advanced numerical methods for Heston, SABR and other pricing models. It seems that Soviet Splitting FDM is an accurate and robust method for these problems. It was also nice to meet Dr. Graeme West in person and thanks for all your hospitality. And of course the hospitality of all the other people involved.

Some pieces of information: cars drive on the left-hand side of the road and this is very comforting because it feels more intuitive than driving on the right. Smoking is prohibited in all public places and this does make a difference.

It is winter in Jo'Burg now and the sun sets around 18.00. There are no leaves on the trees, so it took a few days to realise that when it's dark it does not mean that it is time for bed!

In the next part I will show some photos of the safari...

Question: what happens when you meet a bull elephant face-to-face? Answer: show great respect and don't beep the horn of your vehicle! (hint: neither weightlifting nor judo help in this case :))