Seventh Financial Mathematics Festival 25 — 26 February 2005 James J. Love Building Department of Mathematics The Florida State University

SCHEDULE OF EVENTS February 25—26

Friday, 25 February 2005: 3:30-6:00 p.m.

   3:00 p.m., 204 & 204B Love Building

Reception

Welcome, Phil Bowers, Associate Chair and Chair-Elect, Department of Mathematics

Message from, Donald Foss, Dean of the College of Arts and Sciences

Recognitions of FinMath and participating department faculty members; announcements.

Paul Beaumont introducing Steve Perfect

Don Nast introducing David Villa

Chris Tam introducing Jay Webb (PhD FSU Math 1993)

Mortgage-Backed Securities - Risks and Rewards

Jay Webb, Managing Director, Information Technology, UBS Investment Bank

From $100 billion notional outstanding in 1980 to over $5 trillion in 2003, the Mortgage Backed Securities (MBS) market has experienced explosive growth over the past few decades. Though many of these securities come with little or no credit risk, they can offer significant spreads over Treasuries. The catch is that investors are exposed to uncertainty in the timeliness of principal payback. In this talk, we will introduce MBS, review the players, discuss cash-flow dynamics and describe the risks inherent in MBS and structured Mortgage-backed products. Additionally, the quantitative techniques used to measure these risks will be reviewed.

Saturday, 26 February 2005    9:00 a.m., 204 & 204B Love Building

Coffee, juice, muffins (204&204B LOV; talks in 101 LOV)

Quants: Making the Transition from Theory to Practice

Steve Perfect, Director of Quantitative Analysis, FPL Energy Power Marketing, Inc.

Filling the role of Quantitative Analyst requires a number of skills. While many of these skills can be picked up from coursework and books, the transition from theory to practice has its own perils. Collected stories and advice from several quants that have made the journey are compiled here in an attempt to ease the burden on those about to enter the fray. Topics include preparing for the real world, dealing with the quantitatively challenged, avoiding communication breakdowns and assorted quick tips.

Short Break

One Investment Professional's Recollection of Capital Market Shocks

David Villa, Chief Investment Officer, Florida State Board of Administration

From time to time, an author will warn investors about an overheated market segment or chronicle a painful market correction. Irrational Exuberance by Robert J. Shiller raised the alarm towards the end of the tech, telecom and media mania. Extraordinary Popular Delusions & The Madness of Crowds by Charles Mackay was published in 1841. Mackay describes three of the classic investment bubbles - the Mississippi Scheme, The South-Sea Bubble and Tulip Mania. Three of the ten financial shocks that took place over the past twenty five years will be reviewed in this presentation. The objective will be to provide an appreciation for the frequency of shocks that are likely to be encountered over a career in the financial arena.

Jobs!

Information for students about jobs in the sector. Q/A.

Dr. Webb and Dr. Perfect will be joined on the panel by

Richard Farr, Senior Analyst, Bell Trading

Karen Matthews and Jack Madden, Florida State Board of Administration

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).