Sixth Financial Mathematics Festival 13 — 14 February 2004 Department of Mathematics The Florida State University

Friday, 13 February 2003:

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

30 Years at the Fed

Lyne Carter (PhD, FSU Math), Federal Reserve Bank of Dallas, Vice President

Reviewing 10 projects, assignments, and areas of work at the Federal Reserve Bank of Dallas in which the author has been personally involved: Projects ranged from statistical studies in the Cash Department and construction of a model simulating check processing operations, to efforts involved in the initial pricing of Federal Reserve services, to management of a Systemwide effort to standardize personal computer hardware and software. The intent is to give the audience an appreciation of the range and diversity of areas to which an individual at the Fed may be exposed.

Reception

Software Quality and the Bottom Line

Carol Brennan (MS, FSU Math), Telcordia Technologies, Corporate Vice President (ret)

In 1999, Telcordia Technologies became the largest organization to achieve elite, Level 5 status on the software Capability Maturity Model of the Software Engineering Institute. This talk will highlight some of the key factors in their successful quality journey, including the importance of tying the definition and implementation of a strong quality management system to both top-line growth and bottom-line profitability.

Saturday, 14 February 2003 (Happy Valentines Day!)      

   9:30 a.m., 204 Love Building

Bagels and Coffee

Event Driven Strategies

Mike Sukhadwala (ABD, FSU Econ), Clinton Group, Senior Analyst

Overview of two core event driven strategies — merger (risk) arbitrage and capital structure arbitrage. The presentation will provide a general introduction to understanding arbitrage opportunities that arise as a result of corporate events like mergers, acquisitions, and financial distress.

Managing Compensation and Shareholder Expectations

Raffael Clerici (MS, FSU FinMath), H.B. Fuller Zurich, Compensation and Benefits Manager

The management of HR-risk and shareholder expectation can be influenced by the choice of incentive compensation funding formula in a business portfolio. A Monte-Carlo simulation is used to explore various incentive funding metrics and the resulting expected funding shortfall, which translates into HR risk, and the impact of the incentive scheme on expected shareholder return and volatility.

Jobs!

Panel Discussion and Audience Questions

Cooperating Departments/Programs outside Mathematics are: Computer Science, Economics, Finance, MBA, Risk Management, and Statistics.

The first term students, along with their theoretical mathematical finance and statistics courses, cross campus to the Finance Department and take their Investments course with the MBA students. The program is regularly updated to meet academic and industry needs, with continued cooperation from the FSU faculty members from six departments in three colleges who developed and guide this interdisciplinary masters degree option in the Department of Mathematics of the College of Arts and Sciencs. Graduate study in Financial Mathematics and a complete listing of participating faculty is described in the Guide to Financial Mathematics at Florida State University at Florida State University.

Faculty. Doctoral directive mathematics faculty include Professors Case (Director), Kercheval, Kopriva, Nichols and Nolder. Professors Case and Paris work with actuarial concentration students. The Graduate Advisors for Financial Mathematics from the outside programs and departments are Professors Hawkes, Beaumont, Nast, Maroney, Carson and Huffer.

Financial Sector Advisors. Larry Abele (Deutsche Asset Management), Greg Anderson (Barra, Inc.), 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), Dan Waggoner (Federal Reserve Bank, Atlanta), Jay Webb (UBS Warburg Energy), and Anjun Zhou (State Street Global Advisors).