AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:21:40

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

Friday March 12, 2004, 9:00 a.m.-10:50 a.m.
Special Session on Financial Mathematics, I
Room 103, Rovetta Business Building
Organizers:
Alec N. Kercheval, Florida State University kercheva@math.fsu.edu
Warren D. Nichols, Florida State University nichols@math.fsu.edu
Craig A. Nolder, Florida State University nolder@math.fsu.edu
- 9:00 a.m.
  Continuous-Time Mean--Variance Portfolio Selection with Bankruptcy Prohibition.
  Tomasz R. Bielecki*, Illinois Institute
  Hanqing Jin, Department of Systems Engineering and Engineering, The Chinese University of Hong Kong
  Stanley R. Pliska, Department of Finance, University of Illinois at Chicago
  Xun-Yu Zhou, Department of Systems Engineering and Engineering, The Chinese University of Hong Kong
  (994-93-145)
- 9:30 a.m.
  Optimal portfolio choice in bond markets.
  Michael R. Tehranchi*, University of Texas at Austin
  (994-60-109)
- 10:00 a.m.
  Portfolio Optimization under Budget Constraints.
  Kiseop Lee*, University of Louisville
  Andrew E.B. Lim, University of California, Berkeley
  (994-60-19)
- 10:30 a.m.
  A Sample-Path Approach to Optimal Position Liquidation.
  Paul Krokhmal*, University of Florida
  Stan Uryasev, University of Florida
  (994-90-63)

Friday March 12, 2004, 2:30 p.m.-4:20 p.m.
Special Session on Financial Mathematics, II
Room 103, Rovetta Business Building
Organizers:
Alec N. Kercheval, Florida State University kercheva@math.fsu.edu
Warren D. Nichols, Florida State University nichols@math.fsu.edu
Craig A. Nolder, Florida State University nolder@math.fsu.edu
- 2:30 p.m.
  Derivative Pricing with Selfsimilar Additive Processes.
  Craig A. Nolder*, Florida State University
  Mack Galloway, Florida State University
  (994-60-158)
- 3:00 p.m.
  Pricing of Options in Stock Price Models driven by L\'{e}vy Processes.
  Frank Oertel*, Department T - Mathematics and Physics, Zurich University
  (994-60-49)
- 3:30 p.m.
  Nonparametric estimation of asset price models driven by pure-jump L\'evy processes.
  Jose E Figueroa-Lopez*, Georgia Institute of Technology
  (994-60-206)
- 4:00 p.m.
  The pricing of a Callable Call on a Forward price.
  Luis Hernandez*, Georgia Institute of Technology
  (994-65-194)

Saturday March 13, 2004, 9:00 a.m.-10:50 a.m.
Special Session on Financial Mathematics, III
Room 103, Rovetta Business Building
Organizers:
Alec N. Kercheval, Florida State University kercheva@math.fsu.edu
Warren D. Nichols, Florida State University nichols@math.fsu.edu
Craig A. Nolder, Florida State University nolder@math.fsu.edu
- 9:00 a.m.
  Multiscale Stochastic Volatility Models.
  Jean-Pierre M Fouque*, North Carolina State University
  (994-60-08)
- 9:30 a.m.
  Mathematical Models for European Options with Dividends and Stochastic Volatility.
  Osvaldo D. Mendez*, University of Texas El Paso
  (994-91-64)
- 10:00 a.m.
  The Market Price of Credit Risk.
  Kay Giesecke*, Cornell University
  Lisa Goldberg, Barra, Inc.
  (994-90-55)
- 10:30 a.m.
  Extreme events in financial markets: jumps and crashes.
  Maria Cristina Mariani*, New Mexico State University
  (994-90-58)

Saturday March 13, 2004, 2:30 p.m.-3:50 p.m.
Special Session on Financial Mathematics, IV
Room 103, Rovetta Business Building
Organizers:
Alec N. Kercheval, Florida State University kercheva@math.fsu.edu
Warren D. Nichols, Florida State University nichols@math.fsu.edu
Craig A. Nolder, Florida State University nolder@math.fsu.edu
- 2:30 p.m.
  An Agent Market Model Using Evolutionary Game Theory.
  Benoit S Montin*, Florida State University
  Craig A Nolder, Florida State University
  (994-91-41)
- 3:00 p.m.
  Completeness of Security Markets and Backward Stochastic Differential Equations with Unbounded Coefficients.
  Jiongmin Yong*, University of Central Florida
  (994-91-168)
- 3:30 p.m.
  Smoothing Defined Benefit Pension Plan Contributions.
  Steve Paris*, Florida State University
  (994-91-175)

Inquiries: meet@ams.org