Yann Renoux yann.renoux@nyu. edu
26 Vandam St - Apt 5RW
New York, NY 10013
Tel: (347) 217-8488
~ Mini blog - updates regularly ~
Sun 26th Nov 06
Announcement
I have less than 4 weeks left in NYC. I'm sad to leave, but it is for better professional skies. I'll have leaving parties
and dinners until I leave (this week is actually really busy...). I'll try to enjoy every bit of what's left and we'll see...
So long New York, London here I come.
Sat 18th Nov 06
Not much activity anymore
Had Alice, then my parents coming around. Kept on the good restaurants (man, my list is really large, includes Bernardin...).
Unfortunately too, between the part time job at BNP, the TA, the squash with Joseph, I became lazy on blogging...
Thanksgiving coming soon, at Pierre as last year. I'm cooking lobsters (who had guessed ?), but changed the recipe, and it will
only be an apetizers. Pierre will deal with the meat (no turkey this year!)
Sat 30th Sep 06
SKY DIVING !!!!!
Aaaaaawwwweeeeeeessssoooommmmmeeeee !! It had been years I wanted to do it, and things accelerated as Pierre and Matt were
motivated. I also had to do it now...
Two jumps on a day, freefall from 13,500 to 6,000 feet, and then flying the canopy back on site. Though that was thrilling,
I must admit most people can do it, as long as it is with professionnals who give you self confidence. I'd like to thank Batman
(no, it's not a joke) for being so cool and letting me do my stuff while flying. Go to
http://www.skydivetheranch.com !!
Sun 24th Sep 06
P.S. 1
... stands for Private School # 1. 1st stop on the E train out of Manhattan, this MoMA-"bis" is anything but just a "bis".
Contemporary art to which you do not bring your children, it ranges from anything to everything. Shoking at it is, it is worth seeing.
Sat 16th Sep 06
Back in the apple
I had a wonderful time in Europe, seeing my cousins and their children (am I the next one?). Went on a cruise on the "Canal du midi" with my family,
got the chance to spent 5 wonderful days at the sea...
But hey, I'm back for more adventures here ! And I got 2 weeks behind to catch up with the classes, a part time job and a TA... Lovely lovely
Fri 18th Aug 06
Off for a month
Gotta get some holidays (pretty damn long I agree). Let's see you in a month NYC !
Sat 12th-Sun 13th Aug 06
White Water Rafting
10 of us (including Dan, James and Matt), went on a week end trip on the Hudson river spring, in the Adirondacks Park.
5 hours drive, for a day of rafting under the sun, in full virgin nature...
Tue 18th Jul 06
French Tuesday or Yankees ??
So, we were supposed to go the The Tavern on the Green for the FT's. But Matthias calls me at 4 pm and tells me he has free
tickets for the game (baseball, for those who might have lived in another galaxy than New York :D) against Seattle. After running for the score (1-3) right at the first innings,
the Yankees managed to tie 4-4 in the 9th, when the came was delayed because of the heavy rain, which had been looming for a few days at 40 celsius...
An then... Melky Cabrera who followed up the Yanks' ninth-inning rally with a walk-off homer in the 11th inning, to win 5-4 and sink the Mariners.
Mon 17th Jul 06
Restaurant week - Le Colonial
The food is actually quite good, with a broad range of sweet to spicy dishes. ++
Sun 16th Jul 06
Scanner darkly
It had been a while Thomas (who's now on holiday so everyone hates him :D) and I had been discussing this movie, so we went.
Recommended, absolutely not like Matrix as I've heard here and there, it's a movie of and on its own, the story's great and you actually understand things in the end...
Sat 15th Jul 06
Shabbat
Joseph invited me to spend a part of the day with his friends as he was cooking cholent. I won't comment too much here, except that I really had a wonderful time.
Once again, thanks Jo and thanks to the others.
Fri 14th Jul 06
Restaurant week - Sushi Samba
I skipped the Bastille day non-celebrations to go to Sushi Samba with Christelle and sisters (the "3-H"). I DO NOT recommend.
You are ripped on the fish (almost not-existing in your plate). The only good thing was the chocolate-banana fudge cake, which is a pity
for a sushi restaurant.
Thu 13th Jul 06
Random bar ended up at the Italian Thursdays
So, Laetitia (with whom I was in Djibouti for the record) asks me if I want to go to
a bar on the Hudson, so I had to say yes of course. On pier 63 (@ 23rd st and 12th avenue), go to the very end of the pier, at the last bar.
There is a terrace on the roof, the drinks are cheap compared to any other bar in the village, and the view is amazing. Nothing prevents you from admiring
New Jersey, Staten Island, the Statue of Liberty... Everything there you see 180 degrees. And at 10 pm, fireworks
Wed 12th Jul 06
Restaurant week - Vong
35 dollars prix fixe menu from July 10th to July 19th, Vong was the first one we did. Food was good, wine was .. expensive :D
Tue 4th Jul 06
Independance Day
New York is dead, well, the shops are closed early, which is really rare around here. Downtown is like an anthill, it took us like 15 minutes to get out from Fulton St
subway station, as we were welcomed by Arielle to watch the fireworks on the rooftop. To be honnest, the fireworks was not really that great, but you know how this is,
you spend an evening with friends, and you're all set...
Sun 9th Jul 06
B-Day party
Turned 25 last week, had to have a bbq on our rooftop ! People came, and we stayed til 5am, gosh, Sunday morning is difficult...
Sun 9th Jul 06
Errr... Vive Zidane ?
Alright, nice headbutt on which I won't comment. Trezeguet, not your fault. The game was ok, no one really deserved it more than the others,
and PK's are random, so let's forget that. Ah yes, bravo Alessandra, I had to say...
As the French party at Washington Square park was canceled, we went to see "Pirates of the Carribean...". Scenario is a bit too complex and lacks surprises. Who goes see this kind of movie as if the scenario was from Agatha Christie ???
Sat 1st Jul 06
Vive la France !
Critized and scorned, they are now back to be the kings for 60 millions of Frenchmen. The Champs Elysees were full again.
Whether or not we beat Portugal, defeating Brazil once more (the 3 games against Brazil in the WC we won, which no other team has done).
Let's see how Wednesday game goes, and for now, viva Germany (I hate the Italian way of playing, sorry Alessandra) !
Mon 29 May 06
Beach in Coney Island
Crowded, sunny, cold water... and sunburnt ! Played frisbee with Arnaud, while Simon was being cooked alive. See the pics !
Thu 25 May 06
Momix - Lunar Sea
Waouh is the only thing to say. Modern balet, playing with light and greatly designed costumes. Imagine a tight outfit half white and
black, so that when the dancers are on the left profile you see them, and on the other side you don't. Have them combine their body shapes,
and you end up with and amazing show that sticks you to your seat for 2 hours...
See http://www.joyce.org/momix06.html
Thu 18 May 06
Dirty rotten scoundrels
I wanted to see this show ever since I read reviews about it when I was in London. After a random discussion with Matthias, Joseph and Pierre,
we ended up scheduling this within a week, and there we go. It is amazingly funny and well written, this little comedy about con men. Set in Beaumont sur Mer (yes, in France!)
Jonathan Pryce plays an old (but still seductive according to him) con artist that for his misfortune meets the young soon-to-be a master character played by Norbert Leo Butz (who I must
admit delivers us a performance that is worth seeing !).
See http://www.dirtyrottenscoundrelsthemusical.com/
Tue 9 May 06
French Tuesdays at Bed !!!
Welcome to the greatest club I've been to in New York. Bed New York is litterally full of
beds. After a weird way up to the 6th floor in apparently dodgy stairs, you end up in a neat and cosy place where salsa, rai and house music mix together
while you enjoy your drink on huge (I really mean huge) beds and pillows. The 7th floor is a terrace with an awesome view on the Empire State Building.
Definitely a must see !!
Tue 9 May 06
Last Exam
After Continuous Time finance and SABR model solving (back bones...), after an Interest Rates and Credit Models one mostly about credit and measure theory,
after a take home in PDE for Finance with stochastic volatility European Options SDE resolution with 3 infinitesimal generators ... IT WAS TIME
to finish with this semester and Risk Management. Lots of essay type questions though, reminds you of our history classes in high school...!
Mon 1st May 06
Started working
BNP Paribas, statistical arbitrage. Take an idea based on a conjecture on the market, and try to test if it is really a fact or just chance.
Factor the possibility of making money out of it, mix a few stats and some good sense, and you might end up with a strategy ... or not !
Fri 28 Apr 06
Movies bis, music once
"Kinky boots" is based on a true story of the unlikely fate of a family shoe factory in Northampton, UK. After inheriting of the
factory, Charlie Price has to make a choice whether he lays off his father's employees one by one or reinvents shoemaking...
"Nous non plus" at "Sin-e: "hoaky, kitchy, but it's good". And even better than good.
check out their blog at http://nousnonplus.blogspot.com
Sun 23 Apr 06
Jazzzz Alex Kontorovich at the Kintting factory. PhD student in pure maths at Columbia, he composes jazz.
Simon met him at a party and he told us to go listen to him. What an amazing time and great music (both composed and played...)
Sat 22 Apr 06
Movies recommanded
"Thank you for smoking" (by Jason Reitman, Ivan Reitman's son-Ghostbusters). Great movie about the art of rhetorics in a way !
"Lucky Number Slevin" (Josh Hartnett, Bruce Willis, Morgan Freeman, Lucy Liu...). Seat, watch, enjoy and be surprised !
Sun 16 Apr 06
Awesome sunny spring day in NYC ! Picnic with Charlie, Vincent, Pierre, Simon, Ivana and Marisa in Central park, next to Strawberry Fields.
Wine, cheese ... and cherry tomatoes! Afterwards, we went to the Guggenheim Museum to see the David Smith exhibition, while finishing with and (Easter)
chocolate Fondue and a walk around in the park... Spring is back, hope it'll last. See the new pictures !
Sat 15 Apr 06
Poker proba live computation Alright, new subject discovered last week, and got bitten by the bug. A bit close to trading some
would say, as you have personnal information (your pocket cards), each player (market participant) has his own, and you share timely disclosed information
(the community cards: 3 at the flop, 1 river, 1 turn). Playing a bit of money online now, I decided to compute the proba to win with your pocket cards without knowing anything.
Of course I used Monte Carlo, for the set of 169 sorted pocket card hands (suit is either same or different, as they are symetric). That was simple. But when you know at least the flop,
then there can be 3 or 4 colors, it gets complex and testing ex ante is like all the lotto numbers. Instead I coded in Java a MC that does the live computation of the probability to win knowing
your two personal pocket cards, and that the other players (number of which makes the difference) share the flop, river and turn with you. And it does give relatively intuitive results, and works.
But hey, it's only probas that are to be trusted with the law of large number, and one should always decide whether or not to use them to decide if he has
to fold, check, call or raise at each single decision point. Am I using it ? Yes, sometimes. But Google a bit and read poker players comments.
A good poker player should know the odds, but also play with guts. Today I had a pocket pair of Kings, the flop was Ace, Queen, Jack, I called. River-turn two aces. I folded.
Then poket pair of Aces, i did not bet until the flop, and people folded... I made 2 bucks. A good hand does not always makes you win. Bayesian inference maybe!
Fri 7 Apr 06
First Poker night How on earth would I claim to be a trader and never risk my own money? Of course, I've been on the floor and bet a few quids (british sterling pounds) on
everything but anything (golf, tennis, push-ups...), but this is different as there is a binary result and you cannot influence it. While with poker, both your hand, the community cards,
and the way others play are relevant. I won't get into details, but we played 0.25-0.50 No Limit Hold'Em with 20 buy-in. After 3 hours and several extra buy-ins from others, I ended
up with presumably a beginners luck with $96, which makes a $76 benefit. Next time we play, we'll almost surely move to 0.1-0.2 with 10 buy in, and we'll see if I was lucky!
Sat 25 Mar 06
Teachers Courant cSplash, a voluntary one day session of classes for undergrads on applied maths is taking place. Simon and I are doing a 2 hours class
as an introduction to financial maths, organizing a trading game and talking about derivatives.
See http://www.cims.nyu.edu/~csplash/index.php
Tue 21 Mar 06
Finance seminar with Bob Almgren (BoA) Back to reality, and what reality! Talk about algorithmic trading and optimal execution, remember Pr. Lee Maclin class in Fall about this
paper on optimal execution, Almgren-Chriss ? Well, this is it ! A great talk it was...!
Fri 17 Mar 06
St Patrick Parade Every Irish "group" in any police/firestation/army/school all dressed up and playing music. Awesome but freezing on 5th avenue... See pics.
Thu 16 Mar 06
Empire State Building 16 bucks to get to the 86th floor with a 20-miles-around view of NYC, nice time. See pics.
Wed 15 Mar 06
Home cooked lobsters 1) Buy 3 lobsters alive in Chinatown - 2) Boil some water with thyme and olive oil - 3) Cook the 3 for 20 minutes - 4) Enjoy ! ... See the pics section "Food".
Mon 13 Mar 06
Another one ? This week's zagat test was L'ecole (French Culinary School), Broadway and Green. Cheap deal for great food. If you are French, ask to
visite the cuisines after your meal ... See the pics section "Food".
Fri 3 Mar 06
Another restaurant... This week's zagat test was Aquagrill, Spring and 6th. I was almost late, it's one block south from my place ! Pierre
book the best (I quote) "ovoidal" table for the 8 of us. After a nice plateau with oysters, mussels, lobster, winkles, I had a nice bouillabaisse.
See the pics section "Food".
Sat-Sun 12-13 Feb 06
Snow Blizzard On our usual Saturday night out, we encountered what was scheduled as to be a huge snow storm. Believe me,
for once, they were right... I never saw snow persisting on the ground as fast as this. By 1am we had 10 centimeters on the ground.
I'm heading bed now, in the hope of nice pics in the Park tomorrow noon. To be continued... !
It's Sunday noon and it still snows a lot. Central Park pics will be postponed a bit...
Guess what, I went to Washington Square Park for my first series of pics and ... my battery died !!! Could not take anymore pics. Bye Central Park!
But you can still watch the WSP pics.
Fri 11 Feb 06
Cheese and wine restaurant We went with Prudence, Pierre, Guillaume and Vincent at L'Artisanal, on 32nd and Madison. Expensive wine, worldwide cheeses and
charcuterie, but that was worth it...
Sun 5 Feb 06
Superbowl
Dan said: come to my place, we've got beer, so bring up the typical superbowl food, greezy, fat... Chicken wings and pizzas were our
food. Pittsburgh Steelers won 21-10 against Seattle Seahawks. See the pics section...
Sat 4 Feb 06
Snowboarding week end Trip to Hunter Mountain, organised by James (thanks again!). Though the snow was artificial, Simon
and I enjoyed the smoothness of the trails compared to Europe: if you saw 2 missiles, that was us.
Thu 2 Feb 06
Interviews Time Amidst seminars, office hours (I'm a T.A. now!) and classes, interviews are daily these days. I guess I will find
one bank that wants me !
Wed 25 Jan 06
Back on track Winter break was great (what a poet...). Back to NYC, I finally got a chance to put online the pics from MSG and RFC. See the pictures.
First classes with Steve Allen, Peter Carr, it's good to be here to see how and where our theoretical ideas apply in practise.
Mon 5 Dec 05
Madison Square garden NYC Rangers vs Wilds of Minnesota. It was Ice Hockey for those who are still asking, and NYC won 3-1.
Sat to Sun night, 4 Dec 05
It snowed !! Not just a few flakes which disappeared, a real 1st snow fall! See the pictures.
27 Nov 05
Cultural Day. Museum of Modern Arts (thank you JPMorgan and Pierre for the free entrance), and had lunch at
of Le Parker Meridien ... ok, only the INSIDE
burger joint...
Then we went to watch Avenue Q on Broadway, went to a French brasserie for a coffee, and a pizza at John's to finish with.
No need to mention I get no money on recommending these places, so feel go, all these are great. Pictures will follow soon (ok, I promise tomorrow I'll do it <- Dec, 3rd).
24 Nov 05
Thanksgiving. Had a traditionnal turkey, and toppings with friends. Thanks (Suzanna, Gin and Pierre for the cooking; the others for the great time)!
18 Nov 05
It is freezing outside !!! Sunny, but 3 degrees (yes celsius, am not yet used to farenheit) and windy. Winter coat, scarf and cap are back.
Early Nov 05
The project is doing good, at least we hope ! In C++, with a broad range of methods, financial products... it is a great but time-consuming
challenge. Some nights will be spent on this one for sure!
21/22 Oct - WDC
How could I be in NYC and not go to see DC ? A very geometric city in which each monument offers you a view on another one. In addition
the National Gallery gathers master pieces of all the famous and less famous artists in the world. Whether you like modern art or
impresionism, go there, spend a day wandering in front of Matisse, Renoir, Van Gogh, Vermeer, as well as Picasso, Dufy and others.
Oct 05
Getting used to the homework system, part of the time during the day is dedicated to this. Week-ends in Central park to play frisbee.
Central park is an oasis of calm in the mist of a noisy city ["whity noisy city" to quote Pr Avellaneda]. I encourage all the visitors to NYC
to go and spend some time there.
As for the rest, Soho/Noho is our base camp at night, lots of bars with radically different ambiance, an eclectic melting pot of cultures
gathered in there...
04 Oct 05
First official Speaker in Steve Allen weekly seminars. Dan and myself on the case. Peter
Muller is the former head of prop trading at Morgan Stanley, a great poker player ... and a musician! With such an unusual career, it
was a pleasure to lead the discussion - too bad it was only an hour !
30 Sep 05
Getting back on track, I've (at last) started using the amazing infracstrucutre for sports at NYU this morning. Tennis with Nick this morning,
Monday with Alice
29 Sep 05
Students homepages activated : check Aloke's
27 Sep 05
It is my turn next week to introduce someone : Peter Muller - After years in finance, he partially quitted to become a jazz musician !
13 Sep 05
Steeve Allen's first weekly seminar - many different speakers from Wall St are going to come, that might be interesting
11 Sep 05
A day to say that America stands still. One can say anything pro or against this, but trust me, being there last Sunday was emotionnaly overwhelming
Check the pictures page.
09 Sep 05
1st week is over, courses were not that bad, and assignments are going to blow my spare time away ... viva NYU !!
6 Sep 05
There it is, just began today ! Off we went for a Stoch Calc lecture with Prof Avellaneda. Hang out at China town then for Dinner... hmm!
Getting all the stuff ready to prepare assignments for Comp in Finance and forward thing for Stoch Calc ... it is going to be a long year !
Sun 26th Nov 06
Announcement
USA