AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:21:41

Associate secretaries:
Michel L Lapidus, AMS lapidus@math.ucr.edu, lapidus@mathserv.ucr.edu

Saturday April 3, 2004, 8:30 a.m.-10:50 a.m.
Special Session on Financial Mathematics, I
Room 213, Mark Taper Hall of Humanities
Organizers:
Jaksa Cvitanic, University of Southern California cvitanic@math.usc.edu
Janfeng Zhang, University of Southern California jfzhang@math.umn.edu
- 8:30 a.m.
  A Riemann approach to financial calculus.
  P Muldowney*, University of Ulster
  (996-60-93)
- 9:00 a.m.
  On the pricing of defaultable bonds and derivatives.
  George C Papanicolaou*, Stanford University
  (996-60-201)
- 10:00 a.m.
  Fast Swaption Pricing under LIBOR Market Model with Stochastic Volatility.
  Lixin Wu*, Claremont Graduate University
  Fan Zhang, Claremont Graduate University
  (996-60-115)
- 10:30 a.m.
  Robust Replication of Volatility Derivatives.
  Roger Lee*, Stanford University
  (996-90-203)

Saturday April 3, 2004, 3:00 p.m.-5:50 p.m.
Special Session on Financial Mathematics, II
Room 213, Mark Taper Hall of Humanities
Organizers:
Jaksa Cvitanic, University of Southern California cvitanic@math.usc.edu
Janfeng Zhang, University of Southern California jfzhang@math.umn.edu
- 3:00 p.m.
  Pricing Take or Pay Swing Options.
  Sheldon M Ross*, UC Berkeley
  (996-90-97)
- 4:00 p.m.
  Debt Policy, Corporate Taxes, and Discount Rates.
  Mark Grinblatt, UCLA
  Jun Liu*, UCLA
  (996-90-44)
- 5:00 p.m.
  On Optimal Investment in the Long Run: Rank Dependent Expected Utility as a ``Bridge'' between the Maximum-Expected-Log and Maximum- Expected-Utility Criteria.
  Vladimir I Rotar*, San Diego State University
  (996-90-40)
- 5:30 p.m.
  MLE of Parameters in the Drifted Brownian Motion and Its Error.
  Weian Zheng*, UC Irvine
  Lemee Nakamura, UC Irvine
  (996-60-95)

Sunday April 4, 2004, 8:30 a.m.-10:50 a.m.
Special Session on Financial Mathematics, III
Room 213, Mark Taper Hall of Humanities
Organizers:
Jaksa Cvitanic, University of Southern California cvitanic@math.usc.edu
Janfeng Zhang, University of Southern California jfzhang@math.umn.edu
- 8:30 a.m.
  Constructing the Portfolio Which Most Closely Matches the Investor's Desired Risk-Versus-Return Trade-Off Schedule.
  Rod Freed*, California State University at Dominguez Hills
  Senem Alkan, Universita' Bocconi
  (996-60-64)
- 9:00 a.m.
  Quasi-Monte Carlo Simulation for American Options.
  Russel Caflisch*, UCLA
  Suneal Chaudhary, UCLA
  (996-90-102)
- 10:00 a.m.
  Optimal portfolio allocation and consumption for mean-reverting returns and complete markets.
  Florence J. Lin*, University of Southern California
  (996-90-156)
- 10:30 a.m.
  Two-sided barrier problems with jump-diffusions.
  Alan L. Lewis*, Newport Beach, Ca
  (996-60-147)

Inquiries: meet@ams.org