FSUMATH

18th Annual Financial Mathematics Quant Symposium 2016


Eighteenth Annual Financial Mathematics Quant Symposium

(Formerly: Financial Math Festival)

February 19-20, 2016

Schedule of Events

Friday, 19 February 2016

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

Reception

3:45 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 Brian Ewald, Coordinator of the Financial Math MS Program

4:00 p.m., 101 Love Building

Introductions

Alec Kercheval, Department of Mathematics, introducing Paul Beaumont
Brian Ewald, Department of Mathematics, introducing David Chenyao

4:10 p.m., 101 Love Building

The Changing Role and Practices of Model Risk Management due to the Impact and Evolution of Regulatory Requirements

Dr. David Chenyao

Director, Tampa Model Risk Management, Capital Asset Portfolio Risk Management, Citi

This talk will provide an overview of Model Risk Management at a top financial institution and the evolution of regulatory requirements (especially around Basel I, II, III) and how the ever changing requirements, and additional demands of regulators, continues to change the demands and needs of the industry.

5:20 p.m., New Chemistry Building Lobby

Reception


Saturday, 20 February 2016

9:30 a.m., 204B Love Building

Bagels & Coffee

10:00 a.m., 101 Love Building

Challenges to the Application of Asset Pricing Theory

Prof. Paul Beaumont

Department of Economics, FSU

10:45 a.m., 204B Love Building

Short Break

11:00 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

Panel: Lori McKnight (Independent Consultant, CFA Society Jacksonville), and the Speakers

11:30 a.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

  • 51 current students, with graduates placed throughout the financial sector and in academia.
  • 34 PhD graduates in Financial Mathematics since 2004, with 11 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 for Quantitative Finance.

Acknowledgements

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.