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AMS Sectional Meeting Program by Special Session

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


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

2004 Spring Southeastern Section Meeting
Tallahassee, FL, March 12-13, 2004
Meeting #994

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

Special Session on Financial Mathematics

  • 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


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