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AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:09:29


Program  |  Deadlines  |  Inquiries:  meet@ams.org

1996 Spring Central Sectional Meeting
Iowa City, IA, March 22-23, 1996
Meeting #909

Associate secretaries:
Andy R Magid, AMS amagid@ou.edu

Special Session on Derivatives and Financial Mathematics

  • Friday March 22, 1996, 2:45 p.m.-5:50 p.m.
    Special Session on Derivatives and Financial Mathematics, I

    Room 337, Iowa Memorial Union/Iowa House
    Organizers:
    John F. Price, Maharishi International University

    • 2:45 p.m.
      Option pricing theory: From partial differential equations to fractals.
      John F. Price*, Maharishi International University
      (909-90-71)
    • 3:30 p.m.
      Insurance derivatives.
      Thomas V. O'Brien*, Bowling Green State University
      (909-90-70)
    • 4:00 p.m.
      Lattice methods for exotic options.
      Robert Benhenni*, First National Bank of Chicago, Chicago, Illinois
      Anlong Li, First National Bank of Chicago, Chicago, Illinois
      (909-90-75)
    • 4:30 p.m.
      Using stock price as numeraire in lattice-based option pricing models.
      Anlong Li*, First National Bank of Chicago, Chicago, Illinois
      (909-90-73)
    • 5:00 p.m.
      Pricing perpetual American options on two stocks.
      Hans U. Gerber, University of Lausanne, Switzerland
      Elias S. Shiu*, University of Iowa
      (909-90-72)
    • 5:30 p.m.
      Emerging opportunities to combine studies in mathematics and finance.
      Anand M. Vijh*, University of Iowa
      (909-98-36)
  • Saturday March 23, 1996, 8:30 a.m.-10:50 a.m.
    Special Session on Derivatives and Financial Mathematics, II

    Room 337, Iowa Memorial Union/Iowa House
    Organizers:
    John F. Price, Maharishi International University

    • 8:30 a.m.
      On an interior-point column-generation algorithm for stochastic financial optimization.
      Yinyu Ye*, University of Iowa
      (909-90-74)
    • 9:00 a.m.
      Pricing options when asset return follows a ``colored'' Brownian process.
      Steven H. Zhu*, First National Bank of Chicago, Chicago, Illinois
      (909-90-76)
    • 9:30 a.m.
      Path structure of the bond price process in the Heath, Jarrow, and Morton model.
      Valery Alexandrovich Kholodnyi, Integrated Energy Services, Fairfield, Iowa
      Milan N. Lukic*, University of Wisconsin, Milwaukee
      (909-60-211)
    • 10:00 a.m.
      Testing the Heath, Jarrow and Morton model for interest rates.
      Mukarram Attari*, University of Iowa
      (909-90-78)
    • 10:30 a.m.
      Problem session
Inquiries:  meet@ams.org