20th Annual Financial Mathematics Quant Symposium 2018

Friday, 16 February 2018

2:00 p.m., 2nd Floor, Love Building

Student Poster Session

Students defend their work in the poster prize competition.

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

Reception

3:30 p.m., 101 Love Building

Welcome, Announcements and Recognitions

Welcome, by Phil Bowers, 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

3:45 p.m., 101 Love Building

Introductions

Giray Okten introducing Tim Lewkow
Alec Kercheval introducing Ahmed Islim
Giray Okten introducing Manan Shah
Chris Tam introducing Jay Webb

3:55 p.m., 101 Love Building

The US Natural Gas Market

Jay Webb (PhD FSU 1993)

Director of Application Development, Copperwood Energy Fund

In this talk, we will consider the production, processing and transportation of natural gas, along with the extraordinarily important role of natural gas storage. We will also discuss components of natural gas demand. As we review these features of S&D, we will discuss the relevant trading implications.

4:35 pm short break

4:45 p.m., 101 Love Building

A Random Walk from Finance to Content Marketing Analytics

Manan Shah (PhD FSU 2008)

Director of Data Science, Simple Reach

What do quantitative careers in Finance, Gaming, and Content Marketing Analytics have in common? In this talk, we'll survey some existing challenges in these industries and some approaches to finding solutions.

5:25 p.m., Reception, New Chemistry Building Lobby

Saturday, 17 February 2018

**Schedule revised 2/13/18**

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

Bagels & Coffee

9:30 a.m., 101 Love Building

Ripple : The World's First Global Decentralized Exchange

Tim Lewkow (M.S. FSU 2013)

Co-founder and Portfolio Manager, Fractal : Virtual Currency Investments

After Bitcoin introduced a decentralized payment network in 2009, a decentralized exchange called Ripple was created to apply offers submitted by anyone in the world. Ripple Labs facilitates continued development of the Ripple exchange network, and is now using the technology to facilitate faster, cheaper, and more transparent settlement transactions between international banks. As of 2018, there are 100 banks signed up to use the Ripple settlement network, and the token native to the exchange trades over $1B in global volume per day.

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

Short Break

10:25 a.m., 101 Love Building

Funding Valuation Adjustment - Fundamentals and risk Management

Ahmed Islim (PhD FSU 2014)

Vice President; Trader, Counterparty Portfolio Management, Bank of America Merrill Lynch

Funding valuation adjustment (FVA) is an integral part of derivatives pricing nowadays especially after traditional funding channels became expensive on the back of the recent financial crisis. In this talk, we define FVA through the concept of "cheapest to deliver" for collateral posting, and discuss FVA's pricing and risk management in general.

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

Short Break

11:10 a.m., 101 Love Building

Jobs! Q and A

Information for students about jobs in the sector.

Panel: the Speakers

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

33 current students, with graduates placed throughout the financial sector and in academia.
43 PhD graduates in Financial Mathematics since 2004, with 8 current students advanced to PhD candidacy.
The MS program is recognized by the Council of Graduate Schools as a Professional Science Master's program.
The program is listed by the International Association for Quantitative Finance.

Acknowledgements

Thanks for advice and support to our 2017-18 Advisory Board: Greg Anderson (Bank of America Merrill Lynch), Bettye Anne Case (FSU), E. Robert Fernholz (former Chief Investment Officer INTECH), Lisa Goldberg (UC Berkeley), Wenbo Hu (Bell Trading), Benoit Montin (Barclay's Capital), Vassilios Papathanakos (Deputy CIO, INTECH), Steven Perfect (FSU), Edward Qian (PanAgora), Dan Waggoner (Federal Reserve Bank Atlanta). Jay Webb (Copperwood Energy Partners).

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