10th Annual Financial Mathematics Festival 2008
Tenth Financial Mathematics Festival
February 29 - March 1, 2008
Schedule of Events
Friday, 29 Feb 2008
3:00 p.m., 204 & 204B Love Building
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
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
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.
Saturday, 1 March 2008
9:00 a.m., 204B Love Building
Bagels & Coffee
9:30 a.m., 101 Love Building
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
10:25 a.m., 101 Love Building
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
11:30 a.m., 101 Love Building
Jobs! Q and A
Information for students about jobs in the sector.
Panel: Waggoner, Qian, Petrauskas, Lembo
Cooperating Departments are: Computer Science, Economics, Finance, Mathematics, Risk Management, and Statistics. Graduate study in Financial Mathematics and a listing of participating faculty is described in the homepage of Financial Mathematics at Florida State University
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.), 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.
Thanks for planning cooperation to 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.