AMS Sectional Meeting Program by Special Session
Current as of Tuesday, April 12, 2005 15:21:45
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2004 Fall Eastern Section Meeting
Pittsburgh, PA, November 67, 2004
Meeting #1002
Associate secretaries:
Lesley M Sibner, AMS
lsibner@duke.poly.edu
Special Session on Mathematical Finance

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

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
(100260225)

3:30 p.m.
Inverse of FirstCrossing Boundary Problem.
Lan Cheng*, University of Pittsburgh
Xinfu Chen, University of Pittsburgh
John Chadam, University of Pittsburgh
David Saunders, University of Pittsburgh
(100235207)

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
(100291224)

4:30 p.m.
On the twotimes differentiability of the value functions in the problem of optimal investment in incomplete markets.
Dmitry Kramkov*, Carnegie Mellon University
(10026083)

5:00 p.m.
RiskTolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices.
Dmitry Kramkov, Carnegie Mellon University
Mihai Sirbu*, Columbia University
(100290123)
Inquiries: meet@ams.org