AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:21:44

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

Saturday October 16, 2004, 8:00 a.m.-10:40 a.m.
Special Session on Financial Mathematics: The Mathematics of Derivative Securities, I
Room 224, Dane Smith Hall
Organizers:
Maria Cristina Mariani, New Mexico State University mmariani@nmsu.edu
Osvaldo Mendez, University of Texas at El Paso mendez@math.utep.edu
- 8:00 a.m.
  The method of upper and lower solutions for a generalized Black and Scholes equation.
  Pablo Amster*, Universidad de Buenos Aires
  (1000-35-27)
- 9:00 a.m.
  Extending the Universality of the Heath-Jarrow-Morton Model.
  Dwight Grant, University of New Mexico
  Gautam Vora*, University of New Mexico
  (1000-91-115)
- 10:00 a.m.
  Conjugate Duality in Pricing, Hedging, and Portfolio Optimization.
  Jeremy Staum*, Northwestern University
  (1000-90-101)

Saturday October 16, 2004, 3:00 p.m.-5:40 p.m.
Special Session on Financial Mathematics: The Mathematics of Derivative Securities, II
Room 224, Dane Smith Hall
Organizers:
Maria Cristina Mariani, New Mexico State University mmariani@nmsu.edu
Osvaldo Mendez, University of Texas at El Paso mendez@math.utep.edu
- 3:00 p.m.
  On the Controversy over Tailweight of Distributions.
  C C Heyde, Australia National University and Columbia University
  S G Kou*, Columbia University
  (1000-90-08)
- 4:00 p.m.
  Multiscale Parameter Variation in Pricing of Derivatives.
  Knut Solna*, UC Irvine
  (1000-00-125)
- 5:00 p.m.
  A Model for Monetary Shocks.
  Jerry L. Bona*, University of Illinois at Chicago
  Jenny X. Li, The Pennsylvania State University
  (1000-90-09)

Sunday October 17, 2004, 8:00 a.m.-10:40 a.m.
Special Session on Financial Mathematics: The Mathematics of Derivative Securities, III
Room 224, Dane Smith Hall
Organizers:
Maria Cristina Mariani, New Mexico State University mmariani@nmsu.edu
Osvaldo Mendez, University of Texas at El Paso mendez@math.utep.edu
- 8:00 a.m.
  Pricing Functionals and Pricing Measures.
  Ambar Niel Sengupta*, Louisiana State University
  (1000-91-06)
- 9:00 a.m.
  Asymptotic option pricing under a pure jump process.
  Seongjoo Song*, Purdue University
  (1000-60-143)
- 10:00 a.m.
  Consistent aggregation of risk factor models.
  Greg Anderson, Florida State University
  Lisa Goldberg, Florida State University
  Alec Kercheval*, Florida State University
  Guy Miller, Florida State University
  Kathy Sorge, Florida State University
  (1000-90-173)

Sunday October 17, 2004, 3:00 p.m.-4:40 p.m.
Special Session on Financial Mathematics: The Mathematics of Derivative Securities, IV
Room 224, Dane Smith Hall
Organizers:
Maria Cristina Mariani, New Mexico State University mmariani@nmsu.edu
Osvaldo Mendez, University of Texas at El Paso mendez@math.utep.edu
- 3:00 p.m.
  Origin of Crashes in 3 US stock markets: Shocks and Bubbles.
  Anders Johansen*, Humlebaek, Denmark
  (1000-90-15)
- 4:00 p.m.
  American options: the EPV pricing model.
  Svetlana Boyarchenko, Department of Economics, The University of Texas at Austin
  Sergei Levendorskii*, Department of Economics, The University of Texas at Austin
  (1000-90-19)

Inquiries: meet@ams.org