AMS Sectional Meeting Program by Special Session

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

Program | Deadlines | Inquiries: meet@ams.org

Associate secretaries:
Lesley M Sibner, AMS lsibner@duke.poly.edu

Saturday April 13, 1996, 8:30 a.m.-10:20 a.m.
Special Session on Stochastic Models in Mathematical Finance, I
Room 109, Warren Weaver Hall
Organizers:
Thaleia Zariphopoulou, University of Wisconsin, Madison
- 8:30 a.m.
  Efficient trees for option valuation.
  David C. Heath*, Cornell University
  (910-35-16)
- 9:00 a.m.
  Optimal investment processes for utility maximization problems with restricted information.
  Peter Lakner*, Courant Institute of Mathematical Sciences, New York University
  (910-35-08)
- 9:30 a.m.
  Optimal consumption and investment when investment opportunities are better for the rich than for the poor.
  Hyeng Keun Koo*, University of Wisconsin, Madison
  Thaleia Zariphopoulou, University of Wisconsin, Madison
  (910-60-43)
- 10:00 a.m.
  Some probabilistic approaches to pricing and hedging multi-assets and path-dependent options.
  Helyette E. Geman*, ESSEC Finance Department, Cergy-Pontoise, France
  (910-60-46)

Saturday April 13, 1996, 2:30 p.m.-4:20 p.m.
Special Session on Stochastic Models in Mathematical Finance, II
Room 109, Warren Weaver Hall
Organizers:
Thaleia Zariphopoulou, University of Wisconsin, Madison
- 2:30 p.m.
  Backward stochastic differential equations, finance and optimization.
  Nicole El Karoui*, University of Paris VI, France
  Shinge Peng, Shandong University, People's Republic of China
  Marie Claire Quenez, University de Marne la Vallee, France
  (910-60-89)
- 3:00 p.m.
  A compactness principle for bounded sequences of martingales with applications to mathematical finance.
  F. Delbaen, Vrije University of Brussels, Belgium
  W. Schachermayer*, Vienna University, Austria
  (910-35-07)
- 3:30 p.m.
  Modeling and computation of international general financial equilibrium in the presence of transaction costs and price policy interventions: A variational inequality approach.
  Anna B. Nagurney*, University of Massachusetts, Amherst
  Stavros Siokos, University of Massachusetts, Amherst
  (910-90-44)
- 4:00 p.m.
  A new approach to analytic valuation in the Black Scholes Model.
  Peter P. Carr*, Cornell University
  (910-60-42)

Sunday April 14, 1996, 8:30 a.m.-10:20 a.m.
Special Session on Stochastic Models in Mathematical Finance, III
Room 109, Warren Weaver Hall
Organizers:
Thaleia Zariphopoulou, University of Wisconsin, Madison
- 8:30 a.m.
  Managing market risk and volatility risk: A new approach using dynamic programming and portfolio optimization.
  Marco M. Avellaneda*, Courant Institute of Mathematical Sciences, New York University
  (910-35-11)
- 9:00 a.m.
  General properties of option prices.
  Bruce Grundy*, University of Pennsylvania
  (910-90-45)
- 9:30 a.m.
  Optimization models with stochastic volatility.
  Mohsen Mazaheri*, University of Wisconsin, Madison
  Thaleia Zariphopoulou, University of Wisconsin, Madison
  (910-60-40)
- 10:00 a.m.
  Using nonstandard analysis methods to analyze non-standard asset price models.
  Walter Willinger*, Bellcore, Morristown, New Jersey
  (910-60-13)

Sunday April 14, 1996, 2:30 p.m.-3:50 p.m.
Special Session on Stochastic Models in Mathematical Finance, IV
Room 109, Warren Weaver Hall
Organizers:
Thaleia Zariphopoulou, University of Wisconsin, Madison
- 2:30 p.m.
  Option pricing in the presence of transaction costs.
  H. Mete Soner*, Carnegie Mellon University
  (910-60-12)
- 3:00 p.m.
  Monotone numerical schemes for nonlinear partial differential equations arising in mathematical finance.
  Agnes Tourin*, University of Paris-Dauphine, France
  (910-35-06)
- 3:30 p.m.
  Imperfect competition among informed traders.
  Kerry Back*, Washington University
  H. Henry Cao, University of California, Berkeley
  Gregory A. Willard, Washington University
  (910-90-41)

Inquiries: meet@ams.org