AMS Sectional Meeting Program by Special Session

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

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

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