AMS Sectional Meeting Program by Special Session

Current as of Saturday, April 5, 2008 00:24:35

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

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2008 Spring Southeastern Meeting
Baton Rouge, LA, March 28-30, 2008 (Friday - Sunday)
Meeting #1037

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

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Special Session on Current Challenges in Financial Mathematics

• Saturday March 29, 2008, 8:00 a.m.-10:50 a.m.
  Special Session on Current Challenges in Financial Mathematics, I
  Room 200, Tureaud Building
  Organizers:
  Arkadev Chatterjea, Kenan-Flagler Business School, The University of North Carolina at Chapel Hill
  Ambar Sengupta, Louisiana State University sengupta@math.lsu.edu
  

  • 8:00 a.m.
    Optimal Non-self-financing Hedging in a Discrete Time Incomplete Market.
    Victoria R Steblovskaya*, Bentley College
    (1037-91-338)
  • 8:30 a.m.
    The Wiener-Hopf factorization as a general method for pricing American options in L\'evy models with stochastic interest rate and/or volatility.
    Svetlana Boyarchenko, The University of Texas at Austin
    Sergei Levendorski\v{i}*, The University of Texas at Austin
    (1037-91-196)
  • 9:00 a.m.
    Housing Market Microstructure.
    Yildiray Yildirim*, Syracuse University
    Hazer Inaltekin, Princeton University
    Mehmet Saglam, Columbia University
    (1037-60-378)
  • 9:30 a.m.
    Discussion.
  • 10:00 a.m.
    Credit Default Correlation.
    John Chaddam*, University of Pittsburgh
    (1037-60-267)
  • 10:30 a.m.
    Correlation in Pricing CDOs.
    Chao Meng*, Louisiana State University
    (1037-60-198)
• Saturday March 29, 2008, 3:00 p.m.-5:50 p.m.
  Special Session on Current Challenges in Financial Mathematics, II
  Room 200, Tureaud Building
  Organizers:
  Arkadev Chatterjea, Kenan-Flagler Business School, The University of North Carolina at Chapel Hill
  Ambar Sengupta, Louisiana State University sengupta@math.lsu.edu
  

  • 3:00 p.m.
    Principal Component Analysis of Forward Interest Rates.
    Victor Goodman*, Indiana University
    (1037-91-118)
  • 3:30 p.m.
    When risk is not risky: Idiosyncratic volatility and portfolio formation.
    John Hund*, Tulane University
    (1037-60-352)
  • 4:00 p.m.
    Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Time Series of Daily Realized Volatility.
    Eric Hillebrand*, Louisiana State University, Department of Economics
    Marcelo Medeiros, Pontifical Catholic University, Rio de Janeiro, Brazil
    (1037-91-125)
  • 4:30 p.m.
    Discussion.
  • 5:00 p.m.
    Long correlations and Normalized Truncated Levy models applied to the study of high frequency data, financial indices and agricultural indices.
    Emmanuel Ncheuguim*, New Mexico State University
    Maria C. Mariani, New Mexico State University
    Delia J. Valles, New Mexico State University
    Maria P. Beccar Varela, New Mexico State University
    James Libbin, New Mexico State University
    Chistopher Erickson, New Mexico State University
    (1037-60-199)
  • 5:30 p.m.
    Usage, Spreads and Funding of Revolver Loans.
    Vikrant Tyagi*, Deutsche Bank
    (1037-60-380)

Inquiries:  meet@ams.org

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