AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:10:01

Associate secretaries:
Susan J Friedlander, AMS susan@math.northwestern.edu

Friday October 8, 1999, 4:00 p.m.-6:50 p.m.
Special Session on Mathematical and Computational Finance, I
Room 7.104, Robert Lee Moore Hall
Organizers:
Stathis Tompaidis, University of Texas, Austin stathis@athena.bus.utexas.edu
- 4:00 p.m.
  Modeling Credit Risk.
  Alain Belanger*, Bank of Nova Scotia
  Steven E Shreve, Carnegie Mellon
  Dennis Wong, Scotia Capital Markets
  (948-91-322)
- 4:30 p.m.
  Modeling of Liquidity Risk.
  Robert Almgren*, University of Chicago
  (948-91-321)
- 5:00 p.m.
  Problems in Real Options.
  Murray Carlson*, University of Texas at Austin
  (948-91-323)
- 5:30 p.m.
  Pricing Lease Options in Dynamic Markets.
  Chris M Kenyon*, Schlumberger
  Stathis Tompaidis, University of Texas at Austin
  (948-90-144)
- 6:00 p.m.
  Agency Costs, Credit Constraints and Default Costs: the case of Commercial Mortgages.
  Sheridan Titman, University of Texas at Austin
  Stathis Tompaidis, University of Texas at Austin
  Sergey Tsyplakov*, University of Texas at Austin
  (948-91-336)
- 6:30 p.m.
  The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Stock, Bond, and International Markets.
  Ehud I Ronn, University of Texas at Austin
  Akin Sayrak*, University of Pittsburgh
  Stathis Tompaidis, University of Texas at Austin
  (948-91-333)

Saturday October 9, 1999, 9:00 a.m.-10:50 a.m.
Special Session on Mathematical and Computational Finance, II
Room 7.104, Robert Lee Moore Hall
Organizers:
Stathis Tompaidis, University of Texas, Austin stathis@athena.bus.utexas.edu
- 9:00 a.m.
  Hybrid Calibration of Interest Rate Models: Implied and Statistical.
  Raphael Douady*, CIBC New York
  (948-91-324)
- 9:30 a.m.
  Comparing Stochastic Discount Factors Through Their Implied Measures.
  Yan Jin*, Goldman, Sachs NY
  (948-91-325)
- 10:00 a.m.
  Stochastic Volatility Modeling, Asymptotics & Parameter Estimation.
  Jean-Pierre Fouque, North Carolina State University
  George Papanicolaou, Stanford University
  Ronnie Sircar*, University of Michigan
  (948-91-335)
- 10:30 a.m.
  Calibration of Financial Models.
  David Saunders*, University of Toronto
  (948-91-332)

Saturday October 9, 1999, 3:00 p.m.-5:45 p.m.
Special Session on Mathematical and Computational Financem, III
Room 7.104, Robert Lee Moore Hall
Organizers:
Stathis Tompaidis, University of Texas, Austin stathis@athena.bus.utexas.edu
- 3:00 p.m.
  New Ways to Price Options: Unleashing the Power of PDEs.
  Curt Randall*, SciComp, Inc.
  (948-91-331)
- 3:30 p.m.
  A new integral representation of the early exercise boundary for American Put Options.
  Chunli Hou, PriceWaterhouseCoopers
  Thomas D Little*, PriceWaterHouseCoopers
  Vijay Pant, PriceWaterHouseCoopers
  (948-91-329)
- 4:00 p.m.
  A PDE method for Computing Moments.
  Thomas D Little, PriceWaterHouseCoopers
  Vijay Pant*, PriceWaterHouseCoopers
  (948-91-330)
- 4:30 p.m.
  On the Robustness of Option Pricing.
  Thomas Schlumprecht*, Texas A&M University
  (948-60-256)
- 5:00 p.m.
  Options on a Traded Account.
  Steven E. Shreve*, Carnegie Mellon University
  Jan Vecer, Carnegie Mellon University
  (948-60-38)

Sunday October 10, 1999, 10:00 a.m.-12:20 p.m.
Special Session on Mathematical and Computational Finance, IV
Room 7.104, Robert Lee Moore Hall
Organizers:
Stathis Tompaidis, University of Texas, Austin stathis@athena.bus.utexas.edu
- 10:00 a.m.
  Risk Management in Non-gaussian markets.
  Luis Seco*, University of Toronto
  (948-91-334)
- 10:30 a.m.
  Stratified Sampling and Quasi Monte Carlo Methods to Measure Portfolio Risk.
  Alex Kreinin*, Algorithmics, Inc.
  Leonid Merkoulovitch, Algorithmics, Inc.
  Dan Rosen, Algorithmics, Inc.
  Michael Zerbs, Algorithmics, Inc.
  (948-91-326)
- 11:00 a.m.
  Affine stochastic models for energy prices.
  Mihaela Manoliu*, Caminus LLC/Zai*Net Analytics
  (948-90-229)
- 11:30 a.m.
  Uncertain Growth Prospects, Estimation Risk, and Asset Prices.
  Hong Yan*, University of Texas at Austin
  (948-91-345)
- 12:00 p.m.
  Equity options with Montecarlo methods: calibration and variance reduction.
  Claudio Albanese*, University of Toronto
  (948-91-337)

Inquiries: meet@ams.org