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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 Eastern Sectional Meeting
New York, NY, April 13-14, 1996
Meeting #910

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

Special Session on Stochastic Models in Mathematical Finance

  • 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