
AMS Sectional Meeting Program by Special Session
Current as of Saturday, April 12, 2008 00:23:32
Program 
Deadlines 
Registration/Housing/Etc. 
Inquiries: meet@ams.org
2008 Spring Central Section Meeting
Bloomington, IN, April 56, 2008 (Saturday  Sunday)
Meeting #1038
Associate secretaries: Susan J Friedlander, AMS susan@math.northwestern.edu
Special Session on Financial Mathematics

Saturday April 5, 2008, 9:00 a.m.10:50 a.m.
Special Session on Financial Mathematics, I
Room 345, Ballantine Hall Organizers: Victor Goodman, Indiana University goodmanv@indiana.edu
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu

9:00 a.m.
A Multistart Approach for Parameter Optimization of Asset Flow Differential Equations.
Ahmet Duran*, Department of Mathematics, University of MichiganAnn Arbor
Gunduz Caginalp, Department of Mathematics, University of Pittsburgh
(103891247)

9:30 a.m.
Existence criteria for solutions of linear stochastic differential equations with skewsymmetric differential operator and additive fractional Brownian noise.
Boris P Belinskiy, University of Tennessee at Chattanooga
Peter Caithamer*, Indiana University Northwest
(10386092)

10:00 a.m.
Large Deviations in Multifactor Portfolio Credit Risk.
Wanmo Kang*, Korea Advanced Institute of Science and Technology
Paul Glasserman, Columbia University
Perwez Shahabuddin, Columbia University
(103860234)

10:30 a.m.
A BottomUp Intensity Based Jump Model for Pricing CDOs.
Jesus F Rodriguez*, Rutgers University
(103860326)

Saturday April 5, 2008, 2:30 p.m.5:50 p.m.
Special Session on Financial Mathematics, II
Room 345, Ballantine Hall Organizers: Victor Goodman, Indiana University goodmanv@indiana.edu
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu

2:30 p.m.
Foreign exchange rates and foreign exchange derivatives: an optimal portfolio based theory.
Srdjan Stojanovic*, University of Cincinnati
(103860115)

3:00 p.m.
Trading the line strategy using fractional Brownian motion.
Oana Mocioalca*, Department of Mathematical Sciences, Kent State University
Vilen Abramov, Cleveland, Ohio
Kazim Khan, Department of Mathematical Sciences, Kent State University
(103860229)

3:30 p.m.
Statedependent utility maximization in markets driven by additive Levy processes.
Jose E. FigueroaLopez*, Purdue University
(103860211)

4:00 p.m.
Portfolio optimization under stochastic volatility and discrete observations.
Andrew B Vizcarra*, Purdue University
(103860183)

4:30 p.m.
Disequilibrium asset price dynamics with heterogeneous agents.
Alec N Kercheval*, Florida State University
Paul Beaumont, Florida State University
Andrew Culham, FPL Energy, Juno Beach, FL
(103891117)

5:00 p.m.
Pricing Caps When Bond Prices Follow Jumpdiffusion Processes and Have Log Price Volatility.
Siyu Zhang*, Indiana University Bloomington
(103860266)

5:30 p.m.
Tradeable Measures of Risk.
Libor Pospisil, Columbia University
Jan Vecer, Columbia University
Mingxin Xu*, University of North Carolina at Charlotte
(10386046)

Sunday April 6, 2008, 9:00 a.m.10:50 a.m.
Special Session on Financial Mathematics, III
Room 345, Ballantine Hall Organizers: Victor Goodman, Indiana University goodmanv@indiana.edu
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu

9:00 a.m.
Option Pricing in a RegimeSwitching BlackScholes Market.
Richard H. Stockbridge*, University of Wisconsin Milwaukee
Katharina Zaglauer, University of Wisconsin Milwaukee
(103860257)

9:30 a.m.
Convergence Studies on Monte Carlo Methods for Pricing MortgageBacked Securities.
Tao Pang*, Department of Mathematics, North Carolina State University
Yipeng Yang, Operations Research Program, North Carolina State University
Dai Zhao, ZM Financial Systems, Inc
(103890264)

10:00 a.m.
Partial hedging in financial markets with a large agent.
Jungmin Choi*, Postdoctoral Felow, Florida State University
(103890102)

10:30 a.m.
Derivatives of Asian Call option prices.
Kyounghee Kim*, Florida State University
Jungmin Choi, Florida State University
(103860159)

Sunday April 6, 2008, 2:30 p.m.4:50 p.m.
Special Session on Financial Mathematics, IV
Room 345, Ballantine Hall Organizers: Victor Goodman, Indiana University goodmanv@indiana.edu
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu

2:30 p.m.
Arbitrage Free Models In Markets With Transaction Costs.
Hasanjan Sayit*, Assistant professor, Mathematics Department, Worcester Polytechnic Institute.
Erhan Bayraktar, Assistant professor, University of Michigan
(103860178)

3:00 p.m.
A Mathematical Model for Power Derivatives.
Chunfeng She*, Indiana University
(103860228)

3:30 p.m.
The AdditiveInteractive Nonlinear Arch Model and its Estimation.
Michael Levine*, Department of Statistics, Purdue University
Tony Li, Purdue University
(103862241)

4:00 p.m.
Principal Component Analysis of Forward Interest Rates.
Victor Goodman*, Indiana University
(10389171)

4:30 p.m.
Estimation of Liquidity Cost.
Kiseop Lee*, Department of Mathematics, University of Louisville
(10386044)
Inquiries: meet@ams.org

