13th Annual Financial Mathematics Festival 2011

Friday, 25 Feb 2011

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

Reception

3:35 p.m., 101 Love Building

Welcome, Announcements and Recognitions

Welcome, by Phil Bowers, Chair, Department of Mathematics
Message from the Dean, College of Arts and Sciences
Announcements and Recognitions, by Giray Ökten, Director of Financial Mathematics

3:50 p.m., 101 Love Building

Introductions

Giray Ökten, Department of Mathematics, introducing Henry Schellhorn
Alec Kercheval, Department of Mathematics, introducing Yevgeny Goncharov
Bettye Anne Case, Department of Mathematics, introducing Bibhuti Dash

4:00 p.m., 101 Love Building

An Algorithm for the Pricing of Path-Dependent American Options Using Malliavin Calculus

Henry Schellhorn
Co-Director, Financial Engineering Program, Claremont Graduate University

We propose a recursive scheme to calculate backward the values of conditional expectations of functions of path values of Brownian motion. This scheme is based on the Clark-Ocone formula in discrete time. We construct an algorithm based on our scheme to efficiently calculate the price of American options on securities with path-dependent payoffs. Our algorithm can be combined with regression-based Monte Carlo methods, like the Tsitsiklis-Van Roy algorithm. In this case, our algorithm remedies the decrease of performance experienced by regression-based methods when the number of basis functions, or regressands, needs to be quite large, because of path-dependence.

Saturday, 26 February 2011

9:00 a.m., 204B Love Building

Bagels & Coffee

9:30 a.m., 101 Love Building

Dealing with Mispricing

Yevgeny Goncharov
Research Analyst, Quantitative Risk Management

There are no "perfect" models in finance. By "extending" a model to match market prices better/exactly, practitioners risk over-fitting the model. A good example of such extension is Derman's local volatility extension of the classical Black-Scholes model. While the local volatility model can achieve a perfect fit to a set of option prices, it fails to provide any improvement to hedging performance over the "naive" constant volatility assumption of the Black-Scholes model. This talk discusses and reviews practitioners' out-of-model approaches to improve pricing and hedging performance of their financial models.

10:10 a.m., 204B Love Building

Short Break

10:25 a.m., 101 Love Building

Capital IQ's ClariFI - Market Leading Alpha Research and Portfolio Management Platform

Bibhuti Dash
Quant Consultant, Capital IQ -- Standard and Poor's

Capital IQ's ClariFI is an advanced alpha research and portfolio management platform built from the ground up to address the challenges of investment managers. The world's leading investment management firms, hedge funds of all sizes, and proprietary trading desks at sell-side firms are using ClariFI to quickly and easily research, test, and implement strategies that outperform the market. From screening and backtesting to portfolio construction and return attribution, ClariFI provides comprehensive functionality in a single integrated solution that is controlled end-to-end through an intuitive user interface.

11:25 a.m., 204B Love Building

Short Break

11:45 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

Moderator: Ökten
Panel: the Speakers, with Peggy Prophet, Florida State Board of Administration and Ken Hill, Senior Portfolio Manager, FSBA

12:15 p.m., 2nd Floor, Love Building

Student Poster Session

Students defend their work in the poster prize competition. Click here for a sample of winning posters.

Cooperating Departments are: Computer Science, Economics, Finance, Mathematics, Risk Management, and Statistics. For more information on graduate study in Financial Mathematics and a list of participating faculty, see the homepage for Financial Mathematics at Florida State University.

News and Highlights

51 current students, with graduates placed throughout the financial sector and in academia.
14 PhD graduates in Financial Mathematics to date, with nine students currently advanced to PhD candidacy.
Doctoral students complete the professional master’s degree as part of their PhD requirements, forming a broad basis for research and future work in the financial sector or academia.
Listed by the International Association of Financial Engineers; classified as graduate education and research by the Society of Actuaries.
The MS program is recognized by the Council of Graduate Schools as a Professional Science Master's program.

Acknowledgements

Thanks for advice and support to our Financial Sector Advisors: Larry Abele (Auriel Capital), Greg Anderson (Bank of America Merrill Lynch), David Barge (El Paso Energy), Nolia Brandt (President Brandt Information Services Inc.), E. Robert Fernholz (Chief Investment Officer INTECH), Raffael Clerici (H.B.Fuller), Lisa Goldberg (MSCI Barra), Wenbo Hu (Bell Trading), Benoit Montin (Barclays Capital), Steven Perfect (Florida Power and Light), Edward Qian (PanAgora), Ray Song (Branch Banking and Trust), David Villa (CIO State of Wisconsin Investment Board), Dan Waggoner (Federal Reserve Bank Atlanta), Jay Webb (UBS), and Anjun Zhou (State Street Global Advisors).

Special thanks to faculty and staff for planning and execution, and to the Department of Mathematics and Dean Joseph Travis of the College of Arts and Sciences for financial support to make this event possible.