AMS Sectional Meeting Program by Special Session

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

Program | Deadlines | Registration/Housing/Etc. | Inquiries: meet@ams.org

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

Associate secretaries:
Susan J Friedlander, AMS susan@math.northwestern.edu

Special Session on Financial and Actuarial Mathematics

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)

Inquiries: meet@ams.org