11th Annual Financial Mathematics Festival 2009

Eleventh Financial Mathematics Festival

27 — 28 February 2009

101 (204B) James J. Love Building

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

SCHEDULE OF EVENTS 27 February — 28 February 2009

Friday, 27 February 2009

   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 , Joe Travis, College of Arts and Sciences
Announcements and recognitions, by Giray Ökten, Director of Financial Mathematics
   3:50 p.m., 101 Love Building
Alec Kercheval, Department of Mathematics : Wenbo Hu
Bettye Anne Case, Department of Mathematics : Chan “Sally” Chen
David Kopriva, Department of Mathematics : Jay Webb
   4:00 p.m., 101 Love Building

Credit Default Swaps
Jay Webb
Director of Applications Development, Centaurus Energy Advisors
Few financial instruments have seen their popularity grow as quickly, and then diminish as quickly as Credit Default Swaps. From less than 1 trillion dollars in outstanding notional value in 2000, to a peak of more than 60 trillion dollars in late 2008, the market experienced explosive growth and these instruments were hailed as miracles of modern finance. However, they have been criticized sharply for their role in the current financial crisis. In this talk, we will introduce these instruments, discuss their origins and commoditization, present the concerns that began to emerge as the market grew, and discuss some contrasting views regarding their exacerbation of the crisis. Finally, we will talk about the near future of the market.


Saturday, 28 February 2009 ("blue jeans day")

   9:00 a.m., 204B Love Building

Bagels & Coffee

   9:30 a.m., 101 Love Building

Quantitative High Frequency Trading
Wenbo Hu
Director of Quant Trading, Bell Trading
For successful electronic derivatives quantitative trading, trading strategies matter. We try to develop intraday high frequency trading strategies by analyzing tick level data. Methodology can include and not limited to statistical arbitrage, order flow analysis, market making, mean reverting, trend following, switch condition between mean revering and trending, momentum, reversal, correlation group, PCA, time series forecasting, regression etc. Once the idea is triggered from the tick level data, we implement it in the most suitable platform in shortest time. Bell Trading is: a Chicago-based proprietary trading firm focused on the electronic trading of financial and energy futures worldwide using best-in-class technology platforms.
   10:10 a.m., 204B Love Building
Short Break

   10:25 a.m., 101 Love Building

Insurance — the Risky Business

Sally Chen
Business Analyst, Distribution Management Reporting, Liberty Mutual Group
An introduction to the insurance industry on the current market environment, competitive environment, products, and career opportunities; with a focus on discussing skill sets that will help a mathematics student land a job with a top five insurance company.

   11:05 a.m., 204B Love Building

Short Break

   11:30 a.m., 101 Love Building


Information for students about jobs in the sector.

Question and Answer Buzz!

Moderator: Giray Ökten
Speakers: Jay Webb, Wenbo Hu, Sally Chen, Peggy Prophet and Bettye Anne Case

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 (Centaurus Energy Advisors), and Anjun Zhou (State Street Global Advisors)

News and Highlights

  • A highly competitive program, with forty-eight 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.
  • Twelve PhD graduates in Financial Mathematics, with seven 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 (www.soa.org).

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.

Thanks to the staff of the Department of Mathematics, and, for financial support, to the Department of Mathematics and Dean Joseph Travis of the College of Arts and Sciences.