Fifth Financial Mathematics Festival 21 — 22 February 2003 Dirac Science Library, 4th Floor Department of Mathematics The Florida State University

Friday, 21 February 2003: 3:30-6:00 p.m.

   3:00 p.m., Dirac Science Library, 4th Floor

Forecasting with Structural Bayesian Economic Models

Daniel F. Waggoner, Research Economist and Assistant Policy Advisor, Federal Reserve Bank of Atlanta

In order to conduct monetary policy a central bank must have forecasts of the path of the economy. ˆùComplicating these forecasting models is the need to be able to perform counterfactual “what if” experiments. ˆùBecause of this, the models used by a central bank need to structural, as opposed to reduced form in nature. ˆùWe will consider how structural, Bayesian vector autoregression models can be used to explore the effects of different short run monetary policies. We will also point out some of the difficulties in formulating and implementing this class of models.

Reception

The Challenge of Emerging Market Investing

Charles H. Wang, Senior Portfolio Manager and Co-Director of Research Acadian Asset Management

Emerging market investing is full of opportunities and risks. With the large degree of market inefficiencies in emerging markets and the divergence of economic fundamentals across countries, with high economic growth and scarcity of capital, the return potential is high and active portfolio management can add more value than in developed markets. However, the risk is also high, as we have witnessed during a number of financial crises in the past decades. In this presentation, I will explain the investment process and models in Acadian's emerging market strategies. I will explain why diversification and value investing are able to reduce risk significantly. I will also address the commonly asked question about data quality and the usefulness of quantitative research in emerging markets.

Saturday, 22 February 2003      

   10:00 a.m., Dirac Science Library, 4th Floor

Bagels and Coffee

The Energy Industry and the Job Market, a Graduate's Perspective

David A. Barge, Energy Trader, Florida Power and Light

[Barge was a member in 2000 of the first graduating class of the FSU Financial Mathematics master's degree program. We are proud to welcome him back as this year's “Jobs!” lead speaker.]

     The energy industry has presented me with various opportunities and problems to resolve. I will discuss my current and previous job responsibilities, and problems that the analyst sees in the energy industry. Further, I will relate observations from both sides of the interview table. Finally, I will discuss the prospects for actually finding a job in my industry and beyond. The mission statement of my work group is:

     Energy Market Trading was established to fully and effectively execute a well disciplined and independently controlled procurement, hedging and market strategy to achieve the goals of:

1. Cost minimization for FPL's customers
2. Volatility minimization in the FCR filing
3. Optimal asset utilization

     The energy strategy is based on simplicity with the aim of mitigating price increases and reducing price volatility in the FCR filing, while maintaining the opportunity to benefit from price decreases in the marketplace for FPL's customers.

Jobs!

Panel Discussion and Audience Questions

Moderated by Mr. Barge, with Dr. Waggoner and Dr. Wang

Cooperating Departments are: Computer Science, Economics, Finance, Mathematics, Risk Management and Statistics. FSU faculty members from six departments in three colleges developed this program and guide the students. A group of FSU graduates and others who work in the financial industry also advise the program which is resident in the Department of Mathematics of the College of Arts and Sciences. Graduate study in Financial Mathematics and a listing of participating faculty is described in the Guide to Financial Mathematics at Florida State University

The Steering Committee is composed of Professors Ted Baker, Bettye Anne Case (Chair), Jim Cobbe, Myles Hollander, David Kopriva, Patrick Maroney, Don Nast, and Craig Nolder. Financial Sector Advisors are Larry Abele (Deutsche Asset Management), David Barge (Florida Power and Light), Lisa Goldberg (Barra, Inc.), Steven Perfect (Florida Power and Light), Edward Qian (Putnam Investments), Ray Song (Branch Banking and Trust), Jay Webb (UBS Warburg Energy), and Anjun Zhou (State Street Global Advisors).