16th Annual Financial Mathematics Festival 2014
Sixteenth Annual Financial Mathematics Festival
February 21-22, 2014
Schedule of Events
Friday, 21 February 2014
3:00 p.m., 204 & 204B Love Building
3:35 p.m., 101 Love Building
Welcome, Announcements and Recognitions
Welcome, by Xiaoming Wang, Chair, Department of Mathematics
Message from the Dean, College of Arts and Sciences
Announcements and Recognitions, by Alec Kercheval, Director of Financial Mathematics
3:50 p.m., 101 Love Building
Giray Ökten, Department of Mathematics, introducing Dervis Bayazit
David Kopriva, Department of Mathematics, introducing Motoi Namihira
Alec Kercheval, Department of Mathematics, introducing Irene Aldridge
4:00 p.m., 101 Love Building
The Costs of Latency
Managing Partner at ABLE Alpha Trading, Ltd, NY, and Director at Big Data Finance Institute
We derive the economic costs of latency induced by computer technology in trading. We show that the costs of latency are negligible in their expected value, but instead manifest themselves in increased risk to investors. We further derive Nash equilibrium conditions under which low-latency traders do and do not possess material advantage over high-latency practitioners. We then show that theoretical proposals of alternative market models, specifically, the frequent batch auctions, are flawed by design. Finally, we show that our theoretical predictions firmly hold on market data.
Saturday, 22 February 2014
9:00 a.m., 204B Love Building
Bagels & Coffee
9:30 a.m., 101 Love Building
A new era for Quants: Regulations, Rules and Their Quantitative Implications
(FSU FinMath PhD 2010) Assistant Vice President and Assistant Manager of Financial Risk Modeling, Federal Home Loan Bank of Atlanta
After the recent financial crisis, "the era of pure quant is over". The new regulations that are brought to the financial arena require quants to understand not only the dynamics of valuation but also the underlying systemic risks. Banks with large portfolios of different asset classes are regulated to measure the impact of systemic risk under the Dodd-Frank Act. We will discuss the related regulations/rules and their quantitative implications, and modeling challenges from the perspective of fixed income based portfolio risk management.
10:10 a.m., 204B Love Building
10:25 a.m., 101 Love Building
Accounting for Parametric Uncertainty
(FSU FinMath PhD 2013) Senior Quantitative Risk Analyst, Southern Company, Atlanta
The world of quantitative finance relies heavily on mathematical models, with applications ranging from pricing derivatives to computing VaR bounds. While there is considerable attention paid to producing "better" models, regardless of how "good" a model is, its output is meaningless if the parameters upon which it depends are incorrect. Unfortunately this for the most part will always be the case. In this talk we will explore the inherent parametric uncertainty present in mathematical models and consider ways of accounting for it.
11:25 a.m., 204B Love Building
11:45 a.m., 101 Love Building
Jobs! Q and A
Information for students about jobs in the sector.
Panel: the Speakers, and Peggy Prophet, Florida State Board of Administration
12:15 p.m., 2nd Floor, Love Building
Student Poster Session
Students defend their work in the poster prize competition.
Cooperating Departments are: Computer Science, Economics, Finance, Mathematics, Risk Management, Scientific Computing, 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
- 36 current students, with graduates placed throughout the financial sector and in academia.
- 27 PhD graduates in Financial Mathematics since 2004, with 15 current students advanced to PhD candidacy.
- Doctoral students complete the MS program as part of their PhD studies.
- The MS program is recognized by the Council of Graduate Schools as a Professional Science Master's program.
- The program is listed by the International Association of Financial Engineers.
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 (UC Berkeley), Wenbo Hu (Bell Trading), Benoit Montin (C12 Capital Management US LP), Steven Perfect (FSU), 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, to Xiaoming Wang of the Department of Mathematics and Dean Sam Huckaba of the College of Arts and Sciences for financial support to make this event possible.