AMS Sectional Meeting Program by Special Session

Current as of Saturday, October 25, 2008 00:42:28

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

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

Saturday October 18, 2008, 9:30 a.m.-11:20 a.m.
Special Session on Mathematical Finance, I
Room 1330, Schneider Hall
Organizers:
Qiji J. Zhu, Western Michigan University zhu@wmich.edu
George Yin, Wayne State University gyin@math.wayne.edu
- 9:30 a.m.
  Volatility Models of the Yield Curve.
  Victor Goodman*, Indiana University
  (1043-90-21)
- 10:00 a.m.
  Term structure of risk premium, risk aversion, and humped yield curves.
  Srdjan Stojanovic*, University of Cincinnati
  (1043-60-129)
- 10:30 a.m.
  Measurements of Risk for Hedging with Short-Term Futures.
  Chaoqun Ma, Hunan University
  Fei Wang, Valuation Group, International Fund Services
  Zhijian Wu*, The University of Alabama
  (1043-91-134)
- 11:00 a.m.
  A Risk-Averse Utility-Function Framework for Rebalancing a Portfolio (Preliminary Report).
  Stanley L. Sclove*, University of Illinois at Chicago
  (1043-62-167)

Saturday October 18, 2008, 3:00 p.m.-4:50 p.m.
Special Session on Mathematical Finance, II
Room 1330, Schneider Hall
Organizers:
Qiji J. Zhu, Western Michigan University zhu@wmich.edu
George Yin, Wayne State University gyin@math.wayne.edu
- 3:00 p.m.
  An Optimal Stopping Problem for SDEs with Random Coefficients.
  Jiongmin Yong*, University of Central Florida
  (1043-49-43)
- 3:30 p.m.
  Regime-Switching Recombining Tree for Option Pricing.
  Ruihua Liu*, University of Dayton
  (1043-60-135)
- 4:00 p.m.
  Pricing Asian Options for Jump Diffusions.
  Erhan Bayraktar, University of Michigan
  Hao Xing*, University of Michigan
  (1043-60-206)
- 4:30 p.m.
  Implementing a Robust Option Replacement Strategy.
  Anirban Dutta*, Western Michigan University
  Qiji J. Zhu, Western Michigan University
  (1043-91-104)

Inquiries: meet@ams.org