14th Annual Financial Mathematics Festival 2012

Fourteenth Annual Financial Mathematics Festival
February 24 - 25, 2012
Schedule of Events

Friday, 24 Feb 2012

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 Alec Kercheval, Co-Director of Financial Mathematics

3:50 p.m., 101 Love Building


Yavor Kovachev, Department of Mathematics, introducing Daniel Simeonov
Giray Ökten, Department of Mathematics, introducing Gonul Colak
Paul Beaumont, Department of Economics, introducing Andrew Culham

4:00 p.m., 101 Love Building

Pricing and Risk Management in Electricity Markets: A Bottom-Up Approach

Andrew Culham
Senior Quantitative Analyst, Exelon Power Team, Kennett Square, PA

Electricity trading presents many risks not observed in traditional stock and commodities markets. As a result, traditional pricing models are typically inadequate at quantifying the risks involved in power transactions. Since temperature is the single most significant determinant of electricity demand, we turn to weather-based Monte-Carlo simulations. Simulated weather can be used to determine system demand which in turn gives rise to market clearing prices.

Saturday, 25 February 2012

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

Bagels & Coffee

9:30 a.m., 101 Love Building

The Predictive Power of Some Market Liquidity Risk Measures: An Empirical Approach

Daniel Simeonov
Chairman, DCH LLC, Sevlievo, Bulgaria

The recent global financial crises and Euroarea Sovereign Debt Crisis have been characterized by liquidity failures of certain markets which have reinvigorated discussion about the importance of measurement and management of liquidity risk. We focus on market liquidity (trading) risk - i.e. the risk of trading into illiquid market - in the attempt to quantify and apply the formalism of liquidity policy.

We look into a comprehensive approach to market liquidity risk through modeling versatility (shiftability) of assets - the cost for shifting them to cash equivalent - that allows setting of explicit liquidity risk tolerance levels. The latter approach is proposed by Manchev, Simeonov, Ivanov, and Hausmann in a working paper due to be published in Bulgarian National Bank Discussion Papers.

The new liquidity measures developed, namely systemic and idiosyncratic illiquidity, indicate ensuing elevated levels of market volatility and possible market failure. The algorithm utilizes a Market Microstructure approach and assesses Marginal Supply-Demand Curves through effective bid-ask spreads. It is applied in the LARC software of DCH LLC, which demonstrates good predictive power when studying the euro-denominated Bond Market in the period Jan 2007-Nov 2009.

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

Short Break

10:25 a.m., 101 Love Building

What do we know about the inner functioning of hedge funds and private equity firms?

Gonul Colak
Department of Finance, Florida State University

Hedge funds and private equity firms play an ever increasing role in the financial markets, and have come to dominate the trading volume in these markets. However, our knowledge of the inner functioning of these firms is limited. How are they organized, how do they operate, and what is their compensation structure? How do compensation structures affect the chosen trading strategies and vice a versa? Analyzing several specific examples of such trading firms and their strategies will provide a perspective on important issues dominating finance and politics these days.

11:25 a.m., 204B Love Building

Short Break

11:45 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

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

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, 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

  • 61 current students, with graduates placed throughout the financial sector and in academia.
  • 17 PhD graduates in Financial Mathematics to date, with 15 current students 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.
  • The MS program is recognized by the Council of Graduate Schools as a Professional Science Master's program.


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), 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, to Phil Bowers of the Department of Mathematics and Interim Dean Sam Huckaba of the College of Arts and Sciences for financial support to make this event possible.