15th Annual Financial Mathematics Festival 2013
Fifteenth Annual Financial Mathematics Festival
March 1-2, 2013
Schedule of Events
Friday, 1 March 2013
3:00 p.m., 204 & 204B Love Building
3:35 p.m., 101 Love Building
Welcome, Announcements and Recognitions
Welcome, by Xiaoming Wang, Chair, Department of Mathematics
Message from Associate Dean Lois Hawkes, College of Arts and Sciences
Announcements and Recognitions, by Alec Kercheval, Director of Financial Mathematics
3:50 p.m., 101 Love Building
David Kopriva, Department of Mathematics, introducing Wuming Zhu
Giray Okten, Department of Mathematics, introducing Steven Perfect
Alec Kercheval, Department of Mathematics, introducing Lisa Goldberg
4:00 p.m., 101 Love Building
In Search of a Statistically Valid Volatility Risk Factor
Director of Research, Coleman Fung Risk Management Research Center, and Adjunct Professor of Statistics
University of California, Berkeley
Theory predicts that aggregate volatility ought to be a priced risk factor. In an influential study with more than 1000 citations on Google Scholar, Ang, Hodrick, Xing and Zhang (Journal of Finance, 2006) propose an ex post factor, FVIX, intended as a proxy for aggregate volatility risk. Their test validating FVIX is an OLS regression of portfolio excess returns on FVIX and other independent variables over the data period February 1986--January 2001.
October 1987 is an outlier, in which the independent variable FVIX exhibits a 26 sigma deviation. The inclusion of this outlier results in a spurious reduction of the regression standard error by more than a factor of two, creating the appearance of statistical significance when none is present. We explain how standard statistics can be used to assess the suitability of a dataset for OLS regression.
Saturday, 2 March 2013
9:00 a.m., 204B Love Building
Bagels & Coffee
9:30 a.m., 101 Love Building
Options in Energy Markets
Senior Analyst of Business Management
NextEra Energy Resources, LLC, Juno Beach, FL
Options are important in energy markets, including electricity, natural gas and oil. They are not only explicitly traded in exchanges and OTC markets, but they are also implicitly embedded in many structured deals. In this talk, we discuss various types of option products traded in energy markets, identify hidden optionality in some structured power deals, and review their basic risk management.
10:10 a.m., 204B Love Building
10:25 a.m., 101 Love Building
Getting (and Keeping) a Quantitative Analyst Position
Department of Finance, FSU, and formerly Senior Director, Option Trading and Quantitative Analysis, NextEra Energy, Juno Beach, FL
While the job of a Quantitative Analyst differs from company to company and department to department, certain rules can be followed to help both in landing a quantitative job and being successful at it. In this talk, I will discuss some of the realities of recruiting and interviewing. Real-world examples and suggestions for interview preparation will be included. I will then provide some insight on the types of situations quants may find themselves in and describe the associated analytic, communication and political skills that may be required.
11:25 a.m., 204B Love Building
11:45 a.m., 101 Love Building
Jobs! Q and A
Information for students about jobs in the sector.
Panel: the Speakers.
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
- 47 current students, with graduates placed throughout the financial sector and in academia.
- 20 PhD graduates in Financial Mathematics to date, with 20 current students advanced to PhD candidacy.
- Doctoral students complete the professional master’s degree as part of their PhD studies.
- Listed by the International Association of Financial Engineers.
- 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 (UC Berkeley), Wenbo Hu (Bell Trading), Benoit Montin (C12 Capital Management US LP), Steven Perfect (FSU), 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 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.