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17th Annual Financial Mathematics Festival 2015

Seventeenth Annual Financial Mathematics Festival
February 20-21, 2015
Schedule of Events

Friday, 20 February 2015

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


3:40 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

3:55 p.m., 101 Love Building


Jerry Magnan, Department of Mathematics, introducing Shangzuo Gao
David Kopriva, Department of Mathematics, introducing Ahmed Islim
Alec Kercheval, Department of Mathematics, introducing Vasilios Papathanakos

4:05 p.m., 101 Love Building

Mathematical structures in U.S. equities

Vassilios Papathanakos

(Princeton PhD 2006) Executive Vice President, Deputy Chief Investment Officer, INTECH LLC

Despite the strong interference of emotion and beliefs in setting the prices of equities, it is a well-documented fact that regular and stable mathematical structures emerge over the long term. Stock price returns are behaving approximately as random walks with drift, but they also largely preserve awareness of their relative place in the market. We will survey some of the more interesting applications of mathematics in modeling and understanding the emergence of these structures.

Saturday, 21 February 2015

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

Bagels & Coffee

9:30 a.m., 101 Love Building

Operational Risk Quantification Using the Loss Distribution Approach

Shangzuo Gao

(FSU Applied Math PhD 1996) Managing Director, BNY Mellon

Operational risk is the risk of financial loss resulting from inadequate or failed internal processes, people and systems or from external events. Examples include fraud, rogue trading, litigations, natural disasters, terrorism, system failures, and human errors. Like market risk and credit risk, operational risk is one of the main categories of financial risk. Under the Basel II regulations, internationally active banks are required to collect data on operational losses and use this data to help model operational risk and calculate a capital reserve against future operational losses, to help ensure the safety and soundness of the institution. Operational risk modeling is a relatively new and challenging discipline, without a best practice or industry standard yet. I will discuss how to quantify operational risk using the Loss Distribution Approach (LDA), an Advanced Measurement Approach (AMA) under the Basel II framework.

10:15 a.m., 204B Love Building

Short Break

10:30 a.m., 101 Love Building

Pricing credit linked notes using a one factor Gaussian copula model

Ahmed Islim

(FSU FinMath PhD 2014) Associate Quantitative Finance Analyst, Bank of America Merrill Lynch, NYC

Credit linked notes (CLNs) are financial derivatives that give investors a synthetic exposure to the credit risk of certain reference entities in exchange for higher yield. The note coupon and par payments are contingent on the default times of the issuing and the reference entities. We illustrate how to correlate the default times of the entities involved in the CLN using a one factor Gaussian copula model.

11:15 a.m., 204B Love Building

Short Break

11:25 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

Panel: David Phillippi, Managing Director BNY Mellon, and the Speakers

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

  • 46 current students, with graduates placed throughout the financial sector and in academia.
  • 30 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: Greg Anderson (Bank of America Merrill Lynch), E. Robert Fernholz (former Chief Investment Officer INTECH), Lisa Goldberg (UC Berkeley), Wenbo Hu (Bell Trading), Benoit Montin (Barclay's Capital), Steven Perfect (FSU), Edward Qian (PanAgora), Dan Waggoner (Federal Reserve Bank Atlanta).

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.