AMS Sectional Meeting Program by Special Session

Current as of Sunday, October 21, 2007 00:26:11

2007 Fall Western Section Meeting
Albuquerque, NM, October 13-14, 2007 (Saturday - Sunday)
Meeting #1032

• Saturday October 13, 2007, 9:00 a.m.-10:40 a.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, I
  Room 325, Dane Smith Hall
  Organizers:
  Cristina Mariani, New Mexico State University mmariani@nmsu.edu
  Kenneth Martin, New Mexico State University kjmartin@nmsu.edu
  

  • 9:00 a.m.
    Asymptotic Analysis of a Cox-Ingersoll-Ross Type Diffusion.
    Robert G Smits*, New Mexico State University
    (1032-60-07)
  • 9:30 a.m.
    The best 2-CUSUM rules for quickest detection of two-sided alternatives in a Brownian motion model.
    Olympia Hadjiliadis*, C.U.N.Y.
    (1032-60-65)
  • 10:00 a.m.
    Stochastic volatility: option pricing using a multinomial recombining tree.
    Frederi G Viens*, Department of Statistics, Purdue University
    Ionut Florescu, Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken NJ
    (1032-60-142)
• Saturday October 13, 2007, 3:00 p.m.-5:40 p.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, II
  Room 325, Dane Smith Hall
  Organizers:
  Cristina Mariani, New Mexico State University mmariani@nmsu.edu
  Kenneth Martin, New Mexico State University kjmartin@nmsu.edu
  

  • 3:00 p.m.
    Asset price dynamics with heterogeneous, limited-information agents.
    Alec N Kercheval*, Florida State University
    Paul M. Beaumont, Florida State University
    Andrew J. Culham, Florida Power and Light, Jupiter, FL
    (1032-90-126)
  • 4:00 p.m.
    On Coarse Data Modeling in Some Economic Problems.
    Hung T. Nguyen*, Department of Mathematical Sciences, New Mexico State University
    (1032-62-36)
  • 5:00 p.m.
    A Model for the Money Supply.
    Jerry L. Bona*, University of Illinois at Chicago
    Jenny X. Li, The Pennsylvania State University
    (1032-91-175)
• Sunday October 14, 2007, 9:00 a.m.-10:50 a.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, III
  Room 325, Dane Smith Hall
  Organizers:
  Cristina Mariani, New Mexico State University mmariani@nmsu.edu
  Kenneth Martin, New Mexico State University kjmartin@nmsu.edu
  

  • 9:00 a.m.
    Stochastic Volatility models: Leverage effect in continuous time.
    Ionut Florescu*, Department of Mathematical Sciences / Stevens Institute of Technology
    (1032-60-84)
  • 9:30 a.m.
    Consistent long-memory parameter estimation in a LARCH time series model and its connection to the Hurst parameter of the fractional Brownian motion.
    Michael Levine*, Department of Statistics, Purdue University
    Soledad Torres, Depto de Estadistica, Universidad de Valparaiso
    Frederi Viens, Dep-t of Statistics, Purdue University
    (1032-62-106)
  • 10:00 a.m.
    Development of numerical methods and simulations to forecast and optimize New Mexico red chile harvest.
    Delia Julieta Valles Rosales*, New Mexico State University
    Christopher Erickson, New Mexico State University
    James Libbin, New Mexico State University
    Mariani C Mariani, New Mexico State University
    Maria P. Beccar Varela, New Mexico State University
    Donovan Fuqua, New Mexico State University
    (1032-65-71)
  • 10:30 a.m.
    Analyzing Financial Indices with Machine Learning Techniques.
    Inna V. Pivkina*, Department of Computer Science, NMSU
    Maria Christina Mariani, Department of Mathematical Sciences, NMSU
    (1032-90-45)
• Sunday October 14, 2007, 3:00 p.m.-4:50 p.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, IV
  Room 325, Dane Smith Hall
  Organizers:
  Cristina Mariani, New Mexico State University mmariani@nmsu.edu
  Kenneth Martin, New Mexico State University kjmartin@nmsu.edu
  

  • 3:00 p.m.
    Perpetual real put options and art market efficiency.
    Carlos A. Ulibarri*, New Mexico Tech
    Peter C. Anselmo, New Mexico Tech
    K. S. Hovespian, New Mexico Tech
    (1032-91-74)
  • 3:30 p.m.
    Distribution-Valued Weak Solutions to a Parabolic Differential Equation that Arises in Financial Mathematics.
    Michael S Eydenberg*, New Mexico State University
    Maria C. Mariani, New Mexico State University
    (1032-35-70)
  • 4:00 p.m.
    Normalized Truncated Levy Models and Detrended Fluctuation Analysis applied to the study of the behavior of financial and agricultural indices and farm portfolios.
    Vijay Kumar Mani*, New Mexico State University
    Maria Pia Beccar Varela, New Mexico State University
    James D. Libbin, New Mexico State University
    Maria Christina Mariani, New Mexico State University
    Christopher A. Erickson, New Mexico State University
    Delia J. Valles-Rosales, New Mexico State University
    (1032-60-55)
  • 4:30 p.m.
    Estimating the Risk Versus Return Trade Off.
    Rod A Freed*, University of California Irvine
    (1032-60-16)