AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:09:39

Associate secretaries:
William A Harris, Jr, AMS wharris@math.usc.edu

Saturday April 19, 1997, 8:30 a.m.-10:45 a.m.
Special Session on Actuarial and Financial Mathematics, I
Room 100, Social Science Building
Organizers:
Donald Jones, Oregon State University donjones@math.orst.edu
Enrique A. Thomann, Oregon State University thomann@math.orst.edu
Edward C. Waymire, Oregon State University waymire@math.orst.edu
- 8:30 a.m.
  Quasi-Monte Carlo Computations in Finance
  Russel E. Caflisch*, UCLA
  (921-90-36)
- 9:05 a.m.
  Semi-Analytic Approximation of Asian Options and Options on a Stock with Constant Continuous Dividend Payout.
  Yuri Y Boykov*, Carnegie Mellon University
  (921-90-151)
- 9:40 a.m.
  Catastrophe Risk Bonds
  Hal Warren Pedersen*, Georgia State University
  (921-90-159)
- 10:15 a.m.
  Applications of Actuarial Risk Theory in the Investment World
  Tony Zeppetella*, Phoenix Home Life Mutual Insurance Company
  (921-90-175)

Saturday April 19, 1997, 3:00 p.m.-5:15 p.m.
Special Session on Actuarial and Financial Mathematics, II
Room 100, Social Science Building
Organizers:
Donald Jones, Oregon State University donjones@math.orst.edu
Enrique A. Thomann, Oregon State University thomann@math.orst.edu
Edward C. Waymire, Oregon State University waymire@math.orst.edu
- 3:00 p.m.
  Generation and Simulation of Interest Rate Term Structures
  William J. Morokoff*, UCLA and C.ATS Software
  (921-65-97)
- 3:35 p.m.
  Volatility Modeling and Estimation of High-frequency Data withGaussian Noise
  Yue Fang*, University of Oregon
  (921-62-99)
- 4:10 p.m.
  Pricing perpetual American options with the geometric shifted Poisson process
  Frederic Michaud*, Universite Laval
  (921-99-71)
- 4:45 p.m.
  Calibration of Interest Rate Models
  Eduard Harabetian*, University of Michigan
  (921-90-163)

Inquiries: meet@ams.org