AMS Sectional Meeting Program by Special Session

Current as of Saturday, November 10, 2007 00:30:01

Associate secretaries:
Matthew Miller, AMS miller@math.sc.edu

Sunday November 4, 2007, 8:00 a.m.-10:50 a.m.
Special Session on Financial Mathematics
Room S277, Business and Aerospace Building
Organizers:
Abdul Khaliq, Middle Tennessee State University akhaliq@mtsu.edu
- 8:30 a.m.
  Fast Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model.
  Jari Toivanen*, Stanford University
  (1033-65-253)
- 9:00 a.m.
  High Order Compact Finite Difference Scheme for Solving Nonlinear Black-Scholes equation with Transaction Costs.
  Wenyuan Liao*, Department of Mathematics and Statistics, University of Calgary
  Abdul Q. M. Khaliq, Department of Mathematical Sciences, Middle Tennessee State University
  (1033-65-174)
- 9:30 a.m.
  The Valuation of Guaranteed Equity-Linked Life Insurance with Option of Early Surrender.
  Ruihua Liu*, University of Dayton
  (1033-60-153)
- 10:00 a.m.
  Long correlations and Normalized Truncated Levy Models applied to the study of Financial Indices, Agricultural Indices and Farm Portfolios.
  Vijay Kumar Mani*, New Mexico State University
  Maria C. Mariani, New Mexico State University
  James Libbin, New Mexico State University
  Christopher Erickson, New Mexico State University
  Delia J. Valles Rosales, New Mexico State University
  Maria P. Beccar Varela, New Mexico State University
  (1033-91-125)
- 10:30 a.m.
  An iterative semi-analytic procedure for pricing American options.
  Max Melnikov*, Cumberland University
  (1033-90-26)

Inquiries: meet@ams.org