FSU Seal
Tenth Financial Mathematics Festival

29 February — 1 March 2008

James J. Love Building

1017 Academic Way
Department of Mathematics
The Florida State University
Tallahassee, Florida 32306-4510


SCHEDULE OF EVENTS 29 February — 1 March 2008


Friday, 29 February 2008

   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, Department of Mathematics

   3:50 p.m., 101 Love Building

Introductions

Warren Nichols, Department of Mathematics : Dan Waggoner

Bettye Anne Case, Department of Mathematics : Eddie Qian

Alec Kercheval, Department of Mathematics : Clare Lembo

   4:00 p.m., 101 Love Building

Extracting Information from the Markets: A Bayesian Approach

Dan Waggoner
Associate Policy Adviser and Research Economist, Federal Reserve Bank of Atlanta

Prices from financial markets are a rich source of information about many facets of the economy. It is essential that policy makers, both public and private, be able to extract information from financial markets. The Bayesian paradigm is one approach for obtaining this information that should be in everyone’s toolbox. We examine this approach in the context of determining market expectation of future interest rate paths using options on Fed Funds futures.

   6:30 p.m., Werkmeister Reading Room, Dodd Hall

Reception Dinner: Shane’s Rib Shack will be furnishing ribs and chicken.
     

Saturday, 1 March 2008 (“blue jeans day”)

   9:00 a.m., 204B Love Building

Bagels & Coffee
   9:30 a.m., 101 Love Building
Optimal Trading Strategy with Optimal Horizon

Eddie Qian
Chief Investment Officer, Head of Research, Macro Strategies
PanAgora Asset Management

Portfolio implementation is an essential part of active investment strategies. The trading horizon — the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this paper, we treat it as an endogenous factor and find the optimal trading horizon as a part of optimal trading strategy to further reduce trading costs. We derive analytical results for optimal trading strategy with optimal horizon and provide numerical examples for illustration.
   10:10 a.m., 204B Love Building
Short Break
   10:25 a.m., 101 Love Building
Supplying Power in a Deregulated Energy Market

Clare Lembo
Manager, Risk Analytics, FPL Energy Power Marketing

Supplying power in the deregulated energy market faces many challenges including regulatory risk and market risk. We will discuss how we price these risks as well as figure out the price of power based on forward curves, correlation structures within the markets, and how the markets clear.
   11:05 a.m., 204B Love Building
Short Break
   11:30 a.m., 101 Love Building
Jobs!

Information for students about jobs in the sector.

Question and Answer Buzz!

Moderator: Kercheval
Panel: Waggoner, Qian, Petrauskas and Lembo


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

 
There is a faculty Steering Committee from the participating departments and a graduate advisor from each of the departments who works with the program students and facilitates scheduling.

 
Financial Sector Advisors
Professionals in the field, including former Financial Mathematics Festival speakers, and FSU graduates who work in diverse areas — energy marketing to fund management — advise the program and visit the campus. The faculty and students appreciate their input. Larry Abele (Auriel Capital), Greg Anderson (Merrill Lynch), David Barge (El Paso Energy), Nolia Brandt (President Brandt Information Services Inc.), Jim Moran (Institute for Global Entrepreneurship FSU), E. Robert Fernholz (Chief Investment Officer INTECH), Raffael Clerici (H.B.Fuller), Lisa Goldberg (MSCI Barra), 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)

News and Highlights
  • A highly competitive program, with 44 current students; graduates are well placed throughout the financial sector.
  • Doctoral students complete the professional master’s degree as part of their PhD requirements, assuring a smooth transition and a strong basis for research and a future in the financial sector or academia.
  • Flexibility in some course choices of the master’s degree and a range of auxiliary professional development opportunities to sharpen practical skills and build on individual strengths.
  • So far, seven PhD graduates in Financial Mathematics, with eight students currently advanced to PhD candidacy.
  • Listed by the International Association of Financial Engineers (www.iafe.org); classified as graduate education and research by the Society of Actuaries.
The first term students, besides their theoretical mathematical finance and statistics courses, cross campus to the Finance Department and take their Investments course with the MBA students. Courses are 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 master’s degree option in the Department of Mathematics. The Graduate Advisors for Financial Mathematics from the outside programs and departments are Professors Baker, Beaumont, Carson, Christiansen, Huffer, Maroney, Whalley, Zuehlke. Doctoral directive mathematics faculty includes Professors Case, Goncharov, Kercheval, Kim, Kopriva, Magnan, Navon, Nichols, Nolder, and Ökten (Director).


The Graduate Advisors and the students appreciate the planning cooperation from faculty and staff, and financial support to make this event possible from the Department of Mathematics and Dean Joseph Travis of the College of Arts and Sciences.


Past Financial Mathematics Festivals, Mathematics Honors Days and Pi Mu Epsilon Inductions


This document is maintained by melïssa elaine smith / smith@math.fsu.edu
Last modified: 4 March 2008


Valid HTML 4.0!