AMS Sectional Meeting Program by Special Session

Current as of Monday, October 30, 2006 00:36:37

2006 Fall Central Section Meeting
Cincinnati, OH, October 21-22, 2006 (Saturday - Sunday)
Meeting #1020

• Saturday October 21, 2006, 8:30 a.m.-11:25 a.m.
  Special Session on Financial and Actuarial Mathematics, I
  Room 820, Swift Hall
  Organizers:
  Srdjan D. Stojanovic, University of Cincinnati srdjan.stojanovic@uc.edu
  Ning Zhong, University of Cincinnati ning.zhong@uc.edu
  

  • 8:30 a.m.
    Backward Stochastic Volterra Integral Equations and Dynamic Time-Inconsistent Coherent Risk Measures.
    Jiongmin Yong*, University of Central Florida
    (1020-60-29)
  • 9:00 a.m.
    On Stochastic Models for Stock Price Movements which Employ the Power-Variance Family.
    Vladimir Vinogradov*, Ohio University
    (1020-60-07)
  • 9:30 a.m.
    The dynamics of trader motivations in asset bubbles.
    Gunduz Caginalp*, University of Pittsburgh
    Vladimira Ilieva, Dreman Foundation
    (1020-34-34)
  • 10:00 a.m.
    Selection of an Optimal Portfolio with Stochastic Volatility and Discrete Observations.
    Frederi G Viens*, Purdue University, Department of Statistics
    Natalia V Batalova, Bank of America Securities, London, UK
    Vassili Maroussov, Purdue University, Department of Physics
    (1020-91-196)
  • 10:30 a.m.
    Risk-Minimizing Hedge for a Partially-Observed Micromovement Model of Asset Price.
    Kiseop Lee*, Department of Mathematics, University of Louisville
    Yong Zeng, Department of Mathematics and Statistics, University of Missouri at Kansas City
    (1020-60-36)
  • 11:00 a.m.
    Optimal Pension Funding: A Case Study of MOSERS.
    J. Tao*, Central Missouri State University
    (1020-90-77)
• Saturday October 21, 2006, 3:00 p.m.-5:25 p.m.
  Special Session on Financial and Actuarial Mathematics, II
  Room 820, Swift Hall
  Organizers:
  Srdjan D. Stojanovic, University of Cincinnati srdjan.stojanovic@uc.edu
  Ning Zhong, University of Cincinnati ning.zhong@uc.edu
  

  • 3:00 p.m.
    Whether to Sell or Hold a Stock.
    Raymond Rishel*, University of Kentucky
    (1020-91-10)
  • 3:30 p.m.
    Optimal Barrier Policy for Dividend Optimization.
    G. Yin*, Wayne State University
    Q.S. Song, University of Souther California
    H.-L. Yang, University of Hong Kong
    (1020-60-48)
  • 4:00 p.m.
    One-Factor Term Structure without Forward Rates.
    Victor Goodman*, Indiana University, Bloomington
    Kyounghee Kim, Florida State University
    (1020-91-66)
  • 4:30 p.m.
    Valuing Guaranteed Unit-Linked Life Insurance Under Regime-Switching Model.
    Ruihua Liu*, University of Dayton
    (1020-60-169)
  • 5:00 p.m.
    Double barrier hitting time distributions for irregular Gaussian processes and applications.
    Vilen Abramov, Kent State University
    Kazim Khan, Kent State University
    Oana Mocioalca*, Kent State University
    (1020-60-262)
• Sunday October 22, 2006, 8:30 a.m.-11:25 a.m.
  Special Session on Financial and Actuarial Mathematics, III
  Room 820, Swift Hall
  Organizers:
  Srdjan D. Stojanovic, University of Cincinnati srdjan.stojanovic@uc.edu
  Ning Zhong, University of Cincinnati ning.zhong@uc.edu
  

  • 8:30 a.m.
    A bivariate Levy process with negative binomial and gamma marginals.
    Tomasz J. Kozubowski*, University of Nevada at Reno
    Anna K. Panorska, University of Nevada at Reno
    Krzysztof Podgorski, Indiana University-Purdue University at Indianapolis
    (1020-62-30)
  • 9:00 a.m.
    Deviation Model for Financial Overreaction.
    A. Duran*, University of Michigan - Ann Arbor, MI, USA
    G. Caginalp, University of Pittsburgh
    (1020-90-18)
  • 9:30 a.m.
    Statistical Analysis of the Filtering Model with Marked Point Process Observations: Application to Ultra-High Frequency Data.
    Yong Zeng*, Dept. of Math and Stat, University of Missouri at Kansas City
    (1020-60-101)
  • 10:00 a.m.
    A Stochastic Risk Model and its Applications to Actuarial Funding.
    Guangwei Fan*, Maryville University – St. Louis
    (1020-60-113)
  • 10:30 a.m.
    Pricing and Trading Credit Default Swaps.
    Tomasz R Bielecki*, Applied Mathematics Department, Illinois Institute of Technology
    Monique Jeanblanc, Mathematics Department, Evry University
    Marek Rutkowski, School of Mathematics and Statistics, University of New South Wales
    (1020-60-276)
  • 11:00 a.m.
    Neutral derivative pricing and hedging under multi-dimensional risks in incomplete markets: theory and applications.
    Srdjan D Stojanovic*, University of Cincinnati
    (1020-90-165)