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AMS Sectional Meeting Program by Special Session

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


Program  |  Deadlines  |  Registration/Housing/Etc.  |  Inquiries:  meet@ams.org

1999 Fall Central Sectional Meeting
Austin, TX, October 8-10, 1999
Meeting #948

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

Special Session on Mathematical and Computational Finance

  • 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