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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 3-4, 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
      (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