FSUMATH

12th Annual Financial Mathematics Festival 2010


Twelfth Annual Financial Mathematics Festival
February 26 - 27, 2010
Schedule of Events

Friday, 26 Feb 2010

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

Reception

3:35 p.m., 101 Love Building

Welcome, Announcements and Recognitions

Welcome, by Phil Bowers, Chair, Department of Mathematics
Message from Sam Huckaba, Senior Associate Dean, College of Arts and Sciences
Announcements and Recognitions, by Giray Ökten, Department of Mathematics

3:50 p.m., 101 Love Building

Introductions

Alec Kercheval, Department of Mathematics, introducing Greg Anderson
Kyounghee Kim, Department of Mathematics, introducing Seunghwan Lee
Bettye Anne Case, Department of Mathematics, introducing Eric Yu

4:00 p.m., 101 Love Building

Notes from the Field, part 5: the Calibration Equation

Greg Anderson
Director, Bank of America Merrill Lynch

We will discuss in general terms some of the pragmatic aspects of using mathematical models for pricing financial instruments. Typically it is a business requirement that the model exactly reproduce the observed market values of a specified set of highly liquid instruments. Fixing up the model parameters to accomplish this is known as calibration, and depending on the implementation can be a computationally intensive process. Since derivatives of the pricing with respect to market inputs are required for hedging, a naive approach can rapidly become intractable for practical use.


Saturday, 27 February 2010

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

Bagels & Coffee

9:30 a.m., 101 Love Building

Hedge Funds and Statistical Arbitrage

Seunghwan Lee
Senior Research Associate, WorldQuant

This presentation will first discuss the role of quantitative hedge funds for efficient rational markets. Statistical arbitrage is the main area of quantitative research in hedge funds. In comparison to Avellaneda and Lee's recent description of "statarb" models, the characteristics and direction of this research will be summarized.

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

Short Break

10:25 a.m., 101 Love Building

Risk Management of an Independent Power Generating Company

Eric Yu
Senior Lead Analyst - Risk Management
Enexus Energy Corp (Entergy Nuclear Power Marketing LLC)

This presentation introduces the risk management strategy in Enexus Energy Corporation, a non-utility nuclear power generating company. Presentation starts with an overview of power market in northeast United States. Secondly, it introduces Enexus's nuclear power generating and power marketing business. In this section, presentation goes over benefits of nuclear power generation and business hedging strategies. Then presentation continues to introduce company's risk management strategies, this part reviews practices of market risk management, credit risk management, and operational risk management.

11:05 a.m., 204B Love Building

Short Break

11:30 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

Moderator: Ökten
Panel: the Speakers, with Peggy Prophet, Florida State Board of Administration



Cooperating Departments are: Computer Science, Economics, Finance, Mathematics, Risk Management, 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

  • 48 current students, with graduates placed throughout the financial sector and in academia.
  • 12 PhD graduates in Financial Mathematics to date, with seven students currently advanced to PhD candidacy.
  • Doctoral students complete the professional master’s degree as part of their PhD requirements, forming a broad basis for research and future work in the financial sector or academia.
  • Listed by the International Association of Financial Engineers; classified as graduate education and research by the Society of Actuaries; and offering the Professional Science Masters degree.

Acknowledgements

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 (MSCI Barra), Wenbo Hu (Bell Trading), 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).

Special thanks to faculty and staff for planning and execution, and to the Department of Mathematics and Dean Joseph Travis of the College of Arts and Sciences for financial support to make this event possible.