AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:10:41

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

Saturday March 2, 2002, 9:30 a.m.-11:20 a.m.
Special Session on Stochastic Modeling in Financial Mathematics, I
Room 1068, East Hall
Organizers:
Ronnie Sircar, Princeton University sircar@princeton.edu
- 9:30 a.m.
  Stochastic Volatility Asymptotics.
  Jean-Pierre Fouque*, North Carolina State University
  (974-60-188)
- 10:00 a.m.
  Analysis of Dependent Defaults via Intensity BasedApproach, with Applications to Valuation of BasketCredit Derivatives.
  Tomasz R Bielecki*, Northeastern Illinois University
  Marek Rutkowski, Warsaw Institute of Technology
  (974-60-197)
- 10:30 a.m.
  Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy.
  Monique Jeanblanc, Universite d'Evry
  Peter Lakner*, New York University
  (974-60-99)
- 11:00 a.m.
  A new algorithm for hedging large portfolios of derivative securities.
  Stathis Tompaidis*, University of Texas at Austin
  (974-91-252)

Saturday March 2, 2002, 3:00 p.m.-4:50 p.m.
Special Session on Stochastic Modeling in Financial Mathematics, II
Room 1068, East Hall
Organizers:
Ronnie Sircar, Princeton University sircar@princeton.edu
- 3:00 p.m.
  Optimal execution with nonlinear cost functions and trading-enhanced risk.
  Robert F Almgren*, University of Toronto
  (974-49-135)
- 3:30 p.m.
  Option pricing with stochastic volatility.
  Knut Solna*, University of California at Irvine
  (974-60-145)
- 4:00 p.m.
  On the Convergence from Discrete to Continuous Time in an Optimal Stopping Problem.
  Paul Dupuis, Brown University
  Hui Wang*, Brown University
  (974-60-204)
- 4:30 p.m.
  Financial price fluctuations in a stock market model with many interacting agents.
  Ulrich Horst*, Princeton University
  (974-60-133)

Sunday March 3, 2002, 10:00 a.m.-11:50 a.m.
Special Session on Stochastic Modeling in Financial Mathematics, III
Room 1068, East Hall
Organizers:
Ronnie Sircar, Princeton University sircar@princeton.edu
- 10:00 a.m.
  Option pricing in the presence of large agents.
  Mattias Jonsson*, University of Michigan
  Jussi Keppo, University of Michigan
  (974-60-174)
- 10:30 a.m.
  Are companies ready to hire?
  Xin Guo*, IBM T. J. Watson Research Center
  (974-60-191)
- 11:00 a.m.
  Optimality in the Presence of Durable Good.
  Jussi S Keppo*, University of Michigan
  (974-91-182)
- 11:30 a.m.
  Stochastic Optimization Algorithms for Stock Liquidation.
  G. Yin*, Wayne State University
  Q. Zhang, University of Georgia
  R.H. Liu, University of Georgia
  (974-60-203)

Inquiries: meet@ams.org