Allyson Blizman - Mathematical Sciences Research Institute
“Allyson Blizman was one of 18 students nationwide chosen to attend the Mathematical Sciences Research Institute (MSRI)'s 2011 summer program in mathematical finance at the University of California Berkeley. Allyson received a stipend and room, board, and transportation were provided. MSRI is one of the world's preeminent centers for research in the mathematical sciences and has been advancing mathematical research through workshops and conferences since its founding as an independent institute in 1982.
The program lasted from June 11 through July 24. The first two weeks were classroom-based to learn the basic tools and models of mathematical finance. During the remaining six weeks, participants were divided into groups of three to work on research projects. Allyson was paired with one student from the University of San Francisco and another from Kansas University. Their project was "Conditioning the Capital Asset Pricing Model with Volatility." Allyson's group expanded on the Capital Asset Pricing model and the French and Fama three-factor model to try to develop a model that accurately predicts expected returns of various assets. They found that their models that included volatility predicted returns closest to actual returns during times of economic growth; however, the base models still predicted asset returns closest to actual returns during times of economic recession. Allyson and her group will present their research at the annual SACNAS conference from October 25 – October 29 in San Jose, CA.
Aside from research, Allyson had the opportunity to go several field trips with the group during their six-week stay in Berkeley. They went to the Santa Cruz boardwalk where they got to swim in the cold pacific-ocean, and they rode the 5th oldest roller coaster in the United States – The Giant Dipper. This coaster has been featured in many commercials and movies. The group also took a trolley tour of San Francisco and saw its famous sights: The Golden Gate Bridge, Chinatown, Lombard Street (the "Crookedest Street"), Sausalito, Fisherman’s Wharf, Pier 39, and Ghiradelli Square. The group also took the time to explore Alcatraz island and walked through the famous Alcatraz jailhouse. The group also saw the Monteray Bay Aquarium, went to an Oakland A's game on the 4th of July, and went kayaking in the bay. Not only did the group go on exciting outings, they had the chance to meet guest speakers every Friday. Allyson's two favorite speakers were Dr. Myron Scholes and Joe Teran. Scholes won the nobel prize in 1997 for his work in economics, and Teran has worked with Disney and Pixar, using math to animate movies like Pirates of the Caribbean: The Black Pearl, Tangled, and Bolt.”