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AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:10:45


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

2002 Fall Southeastern Section Meeting
Orlando, FL, November 9-10, 2002
Meeting #982

Associate secretaries:
John L Bryant, AMS bryant@math.fsu.edu

Special Session on Financial Mathematics

  • Saturday November 9, 2002, 9:00 a.m.-10:50 a.m.
    Special Session on Financial Mathematics, I

    Room 207, Business Administration
    Organizers:
    Craig A. Nolder, Florida State University nolder@math.fsu.edu
    Alec N. Kercheval, Florida State University kercheval@math.fsu.edu

    • 9:00 a.m.
      Utility Indifference Pricing of Derivatives under Stochastic Volatility.
      Ronnie Sircar*, Princeton University
      Thaleia Zariphopoulou, University of Texas at Austin
      (982-91-114)
    • 9:30 a.m.
      Efficient Computation of Hedging Parameters for American Options.
      Stathis Tompaidis*, University of Texas at Austin
      Alexander Zemlianov, University of Texas at Austin
      Ron Kaniel, University of Texas at Austin
      (982-90-87)
    • 10:00 a.m.
      Bond Option Valuation in a Markov Interest Rate Market.
      Rogemar S Mamon*, University of Waterloo
      (982-60-21)
    • 10:30 a.m.
      Liquidity Risk and Arbitrage Pricing Theory.
      Umut \c{C}etin*, Center for Applied Mathematics, Cornell University
      Robert A Jarrow, Johnson Graduate School of Business, Cornell University
      Philip Protter, School of Operations Research and Industrial Engineering, Cornell University
      (982-91-217)
  • Saturday November 9, 2002, 2:30 p.m.-5:20 p.m.
    Special Session on Financial Mathematics, II

    Room 207, Business Administration
    Organizers:
    Craig A. Nolder, Florida State University nolder@math.fsu.edu
    Alec N. Kercheval, Florida State University kercheval@math.fsu.edu

    • 2:30 p.m.
      Optimal Risk Model Aggregation.
      Alec Norton Kercheval*, Florida State University
      Greg Anderson, Barra, Inc.
      Lisa Goldberg, Barra, Inc.
      Guy Miller, Barra, Inc.
      Kathy Sorge, Barra, Inc.
      (982-91-221)
    • 3:00 p.m.
      Rolldown, Expectations Hypotheses, and Risk Neutrality.
      C. Greg Anderson*, Barra, Inc.
      (982-91-109)
    • 3:30 p.m.
      Risk Contribution of Investment Strategies.
      George Xiang*, Loomis Syales \& Company
      (982-91-222)
    • 4:00 p.m.
      Local Risk Minimization When the Price Process Has Jumps Depending on Its Past History.
      Kiseop Lee*, University of Louisville
      (982-60-65)
    • 4:30 p.m.
      Utility Maximization with Random Endowment in Incomplete Markets.
      Gordan {\v Z}itkovi{\' c}*, Department of Statistics, Columbia University
      Ioannis Karatzas, Columbia University
      (982-91-161)
    • 5:00 p.m.
      How to Beat a Stochastic Target.
      Jan Vecer*, Columbia University, NY, NY
      (982-91-258)
  • Sunday November 10, 2002, 9:00 a.m.-10:50 a.m.
    Special Session on Financial Mathematics, III

    Room 207, Business Administration
    Organizers:
    Craig A. Nolder, Florida State University nolder@math.fsu.edu
    Alec N. Kercheval, Florida State University kercheval@math.fsu.edu

    • 9:00 a.m.
      Conditional Value-at-Risk, Methodology and Applications: Overview.
      Stanislav P Uryasev*, University of Florida
      (982-90-120)
    • 9:30 a.m.
      Risk Management and Portfolio Optimization with Conditional Drawdown-at-Risk.
      Michael Zabarankin*, University of Florida
      (982-90-151)
    • 10:00 a.m.
      Optimal Security Liquidation Strategy: Sample-Path Approach.
      P. A. Krokhmal*, University of Florida, Department of Industrial and Systems Engineering
      (982-91-113)
    • 10:30 a.m.
      Modelling Stock Price Process as a Continuous Time Jump Process.
      Rituparna Sen*, University of Chicago
      Per A. Mykland, University of Chicago
      (982-62-189)
Inquiries:  meet@ams.org


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