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AMS Sectional Meeting Program by Special Session

Current as of Saturday, April 12, 2008 00:23:32

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

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2008 Spring Central Section Meeting
Bloomington, IN, April 5-6, 2008 (Saturday - Sunday)
Meeting #1038

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

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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 Multi-start Approach for Parameter Optimization of Asset Flow Differential Equations.
    Ahmet Duran*, Department of Mathematics, University of Michigan-Ann Arbor
    Gunduz Caginalp, Department of Mathematics, University of Pittsburgh
    (1038-91-247)
  • 9:30 a.m.
    Existence criteria for solutions of linear stochastic differential equations with skew-symmetric differential operator and additive fractional Brownian noise.
    Boris P Belinskiy, University of Tennessee at Chattanooga
    Peter Caithamer*, Indiana University Northwest
    (1038-60-92)
  • 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
    (1038-60-234)
  • 10:30 a.m.
    A Bottom-Up Intensity Based Jump Model for Pricing CDOs.
    Jesus F Rodriguez*, Rutgers University
    (1038-60-326)
• 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
    (1038-60-115)
  • 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
    (1038-60-229)
  • 3:30 p.m.
    State-dependent utility maximization in markets driven by additive Levy processes.
    Jose E. Figueroa-Lopez*, Purdue University
    (1038-60-211)
  • 4:00 p.m.
    Portfolio optimization under stochastic volatility and discrete observations.
    Andrew B Vizcarra*, Purdue University
    (1038-60-183)
  • 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
    (1038-91-117)
  • 5:00 p.m.
    Pricing Caps When Bond Prices Follow Jump-diffusion Processes and Have Log Price Volatility.
    Siyu Zhang*, Indiana University Bloomington
    (1038-60-266)
  • 5:30 p.m.
    Tradeable Measures of Risk.
    Libor Pospisil, Columbia University
    Jan Vecer, Columbia University
    Mingxin Xu*, University of North Carolina at Charlotte
    (1038-60-46)
• 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 Regime-Switching Black-Scholes Market.
    Richard H. Stockbridge*, University of Wisconsin Milwaukee
    Katharina Zaglauer, University of Wisconsin Milwaukee
    (1038-60-257)
  • 9:30 a.m.
    Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed 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
    (1038-90-264)
  • 10:00 a.m.
    Partial hedging in financial markets with a large agent.
    Jungmin Choi*, Postdoctoral Felow, Florida State University
    (1038-90-102)
  • 10:30 a.m.
    Derivatives of Asian Call option prices.
    Kyounghee Kim*, Florida State University
    Jungmin Choi, Florida State University
    (1038-60-159)
• 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
    (1038-60-178)
  • 3:00 p.m.
    A Mathematical Model for Power Derivatives.
    Chunfeng She*, Indiana University
    (1038-60-228)
  • 3:30 p.m.
    The Additive-Interactive Nonlinear Arch Model and its Estimation.
    Michael Levine*, Department of Statistics, Purdue University
    Tony Li, Purdue University
    (1038-62-241)
  • 4:00 p.m.
    Principal Component Analysis of Forward Interest Rates.
    Victor Goodman*, Indiana University
    (1038-91-71)
  • 4:30 p.m.
    Estimation of Liquidity Cost.
    Kiseop Lee*, Department of Mathematics, University of Louisville
    (1038-60-44)

Inquiries:  meet@ams.org

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