AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:21:45

Associate secretaries:
Lesley M Sibner, AMS lsibner@duke.poly.edu

Saturday November 6, 2004, 9:00 a.m.-10:20 a.m.
Special Session on Mathematical Finance, I
Room 1220, Benedum Hall
Organizers:
David Saunders, University of Pittsburgh saunders@math.pitt.edu
John Chadam, University of Pittsburgh chadam@pitt.edu
- 9:00 a.m.
  Pricing Default Correlation Products within a structural framework.
  Marcos Escobar, University of Toronto
  Luis A Seco*, University of Toronto
  (1002-60-237)
- 9:30 a.m.
  Valuation of Basket Default Swaps.
  Ian Iscoe, Algorithmics Inc.
  Alexander Kreinin*, Algorithmics Inc.
  (1002-60-101)
- 10:00 a.m.
  On a Representation for a Class of Self-financing Portfolios of Securities which Contain Equities Driven by Certain Geometric L\'evy Processes.
  Vladimir Vinogradov*, Ohio University
  (1002-60-96)

Saturday November 6, 2004, 3:00 p.m.-5:20 p.m.
Special Session on Mathematical Finance, II
Room 1220, Benedum Hall
Organizers:
David Saunders, University of Pittsburgh saunders@math.pitt.edu
John Chadam, University of Pittsburgh chadam@pitt.edu
- 3:00 p.m.
  Interest Rate Explosions in HJM Bond Models.
  Victor W. Goodman*, Indiana University
  (1002-60-225)
- 3:30 p.m.
  Inverse of First-Crossing Boundary Problem.
  Lan Cheng*, University of Pittsburgh
  Xinfu Chen, University of Pittsburgh
  John Chadam, University of Pittsburgh
  David Saunders, University of Pittsburgh
  (1002-35-207)
- 4:00 p.m.
  Games with Exhaustible Resources.
  Chris Harris, Department of Economics, University of Cambridge
  Sam Howison, Mathematical Institute, Oxford University
  Ronnie Sircar*, Department of Operations Research & Financial Engineering, Princeton University
  (1002-91-224)
- 4:30 p.m.
  On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets.
  Dmitry Kramkov*, Carnegie Mellon University
  (1002-60-83)
- 5:00 p.m.
  Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices.
  Dmitry Kramkov, Carnegie Mellon University
  Mihai Sirbu*, Columbia University
  (1002-90-123)

Inquiries: meet@ams.org