Department of Mathematics

The financial math quant symposium at the Florida State University is a twenty five years old tradition to provide our students with guidance on the new trends in the quantitative finance and the success stories from some senior quants and including some of our alumni. Although the main goal of the quant symposium is to serve our own students, we welcome all interested students to attend.

Program

Friday, 1 December 2023

Reception

2:30pm-3:00pm, 204B Love Building

Welcome and Announcements

3:05pm-3:15pm, 101 Love Building

Sam Huckaba, Dean of the College of Arts and Sciences
Washington Mio, Chair of the Department of Mathematics

Friday Talk

3:15pm-3:45pm, 101 Love Building

Arun Polala, Wells Fargo, New York (PhD FSU 2020)

Title: Parametric Differential Machine Learning for Pricing and Calibration

Abstract: We developed a Parametric Differential Machine Learning methodology to learn Deep Neural Network parametric pricers for varying model and contract parameters, with adaptive parametric sampling. We demonstrated these parametric pricers and used them for calibration for the example of Cheyette models for interest rate caplets. We used the inherent randomness of the process to optimize over several random replications and thus robustify the calibration. Models and instruments are given in low-code close to mathematical notation and then translated to efficient differentiable simulation and computation in TensorFlow. This is a joint work with Bernhard Hientzsch, paper can be found here.

Reception

5:30pm, 204B Love Building

Saturday, 2 December 2023

Breakfast

9:00am-9:30am, 101 Love Building

Introduction of Saturday Speakers

9:30am, 101 Love Building

Saturday Talks

9:30am-10:15am, 101 Love Building

Dan Pirjol, Stevens Institute of Technology

Title: W-shaped smiles and mixture models

Abstract: Equity option markets show the appearance of distorted implied volatility curves, especially around events such as corporate earnings, pandemic news, or Fed rate announcements. Instead of the usual U-shaped smile, the implied volatility may become concave at-the-money, or even W-shaped. The talk describes work connecting the shape of the implied volatility curves with features of the risk-neutral distribution, through bounds on the number of level crossings of the implied volatility with a constant level. We give lower and upper bounds on the number of crossings. These bounds constrain the shape of the smile, and can be used to obtain a classification of the allowed smile shapes in the Gaussian mixture model. Talk based on work with Paul Glasserman.

10:15am-11:00am, 101 Love Building

Andrew Fan, Citi, Tampa (MS FSU, 2013)

Title: Introduction to Fundamental Review of the Trading Book (FRTB)

Abstract: This seminar provides an overview of the FRTB timeline across various regulatory frameworks and outlines the fundamental structure of FRTB. The presentation delves into two critical model eligibility tests, namely backtesting and P&L attribution, and explores risk factor eligibility tests (RFET) along with charges associated with non-modeling risk factors (NMRF). Additionally, the discussion entails a comparative analysis of various risk measures, including VaR and expected shortfall.

Break

11:00am-11:15am, 101 Love Building

Job Panel

11:15am-12:00pm, 101 Love Building

Lunch

12:00pm-1:00pm, 204B Love Building

Acknowledgement:

Department of Mathematics, Florida State University

College of Arts and Sciences, Florida State University