AMS Sectional Meeting Program by Special Session
Current as of Tuesday, April 12, 2005 15:21:41
Program 
Deadlines 
Registration/Housing/Etc. 
Inquiries: meet@ams.org
2004 Spring Western Section Meeting
Los Angeles, CA, April 34, 2004
Meeting #996
Associate secretaries:
Michel L Lapidus, AMS
lapidus@math.ucr.edu,
lapidus@mathserv.ucr.edu
Special Session on Financial Mathematics

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
(9966093)

9:00 a.m.
On the pricing of defaultable bonds and derivatives.
George C Papanicolaou*, Stanford University
(99660201)

10:00 a.m.
Fast Swaption Pricing under LIBOR Market Model with Stochastic Volatility.
Lixin Wu*, Claremont Graduate University
Fan Zhang, Claremont Graduate University
(99660115)

10:30 a.m.
Robust Replication of Volatility Derivatives.
Roger Lee*, Stanford University
(99690203)

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
(9969097)

4:00 p.m.
Debt Policy, Corporate Taxes, and Discount Rates.
Mark Grinblatt, UCLA
Jun Liu*, UCLA
(9969044)

5:00 p.m.
On Optimal Investment in the Long Run: Rank Dependent Expected Utility as a ``Bridge'' between the MaximumExpectedLog and Maximum ExpectedUtility Criteria.
Vladimir I Rotar*, San Diego State University
(9969040)

5:30 p.m.
MLE of Parameters in the Drifted Brownian Motion and Its Error.
Weian Zheng*, UC Irvine
Lemee Nakamura, UC Irvine
(9966095)

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 RiskVersusReturn TradeOff Schedule.
Rod Freed*, California State University at Dominguez Hills
Senem Alkan, Universita' Bocconi
(9966064)

9:00 a.m.
QuasiMonte Carlo Simulation for American Options.
Russel Caflisch*, UCLA
Suneal Chaudhary, UCLA
(99690102)

10:00 a.m.
Optimal portfolio allocation and consumption for meanreverting returns and complete markets.
Florence J. Lin*, University of Southern California
(99690156)

10:30 a.m.
Twosided barrier problems with jumpdiffusions.
Alan L. Lewis*, Newport Beach, Ca
(99660147)
Inquiries: meet@ams.org