AMS Sectional Meeting Program by Special Session

Current as of Saturday, April 8, 2006 00:38:35

Associate secretaries:
Matthew Miller, AMS miller@math.sc.edu

Saturday April 1, 2006, 8:30 a.m.-10:50 a.m.
Special Session on Financial Mathematics, I
Room 274, Graham Center
Organizers:
Alec N. Kercheval, Florida State University kercheva@mail.math.fsu.edu
Craig A. Nolder, Florida State University
- 8:30 a.m.
  Large Deviations in Financial Models.
  Marco Avellaneda*, Courant Institute, New York University
  (1015-60-246)
- 9:30 a.m.
  Extreme events in financial markets.
  Maria Cristina Mariani*, New Mexico State University
  (1015-90-28)
- 10:00 a.m.
  Are option-pricing and utility-maximization problems well-posed?
  Gordan Zitkovic*, University of Texas at Austin
  (1015-60-51)
- 10:30 a.m.
  High dimensional simulation in derivative pricing.
  Giray Okten*, Florida State University
  (1015-60-174)

Saturday April 1, 2006, 2:30 p.m.-4:50 p.m.
Special Session on Financial Mathematics, II
Room 274, Graham Center
Organizers:
Alec N. Kercheval, Florida State University kercheva@mail.math.fsu.edu
Craig A. Nolder, Florida State University
- 2:30 p.m.
  Evolutionary Finance.
  Klaus R Schenk-Hopp{\'e}*, Leeds University Business School and School of Mathematics, University of Leeds
  (1015-91-208)
- 3:30 p.m.
  On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets.
  D Kramkov, Carnegie Mellon University
  M Sirbu*, Columbia University
  (1015-90-197)
- 4:00 p.m.
  Risk measure pricing and hedging in incomplete markets.
  Mingxin Xu*, University of North Carolina at Charlotte
  (1015-60-154)
- 4:30 p.m.
  Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor formula.
  Xin Guo, School of OR & IE, Cornell University
  Yan Zeng*, Florida State University
  (1015-60-63)

Sunday April 2, 2006, 8:30 a.m.-10:50 a.m.
Special Session on Financial Mathematics, III
Room 274, Graham Center
Organizers:
Alec N. Kercheval, Florida State University kercheva@mail.math.fsu.edu
Craig A. Nolder, Florida State University
- 8:30 a.m.
  Finite difference scheme for pricing American options under L\'evy processes.
  Sergei Levendorski\v{i}*, The University of Texas at Austin
  Oleg Kudryavtsev, Russian Customs Academy Rostov Branch
  Vadim Zherder, Rostov University of Economics
  (1015-90-64)
- 9:00 a.m.
  Portfolio Optimization Based On Generalized Hyperbolic Distributions.
  Wenbo Hu*, Bell Trading
  Alec Kercheval, Florida State University
  (1015-62-139)
- 9:30 a.m.
  An Option-Based Aproach to Mortgage Modeling with Sequential Refinancing.
  Yevgeny Goncharov*, Florida State University
  (1015-91-117)
- 10:00 a.m.
  Effects of Stochastic Volatility in Drawdowns and Maximum Drawdowns.
  Luis J. Roman*, Worcester Polytechnic Institute
  Shankar Subramaniam, Concepts-NREC
  (1015-60-168)
- 10:30 a.m.
  Option Pricing in a Regime Switching Model Using the Fast Fourier Transform.
  Ruihua Liu*, University of Dayton
  Qing Zhang, University of Georgia
  George Yin, Wayne State University
  (1015-60-273)

Inquiries: meet@ams.org