
AMS Sectional Meeting Program by AMS Special Session
Current as of Saturday, April 3, 2010 00:25:08
2010 Spring Southeastern Sectional Meeting
Lexington, KY, March 27-28, 2010 (Saturday - Sunday)
Meeting #1057
Associate secretaries: Matthew Miller, AMS miller@math.sc.edu
Special Session on Financial Mathematics and Statistics
-
Saturday March 27, 2010, 9:00 a.m.-10:50 a.m.
Special Session on Financial Mathematics and Statistics, I
Room 207, White Hall
Organizers:
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu
Jose Figueroa-Lopez, Department of Statistics, Purdue University
-
9:00 a.m.
Approximation and Application of the Musiela Stochastic PDE in Forward Rate Models.
Jungmin Choi*, Florida State University
Max Gunzburger, Florida State University
(1057-91-291) -
9:30 a.m.
American Options and Sub-optimal Exercise Policies.
Arunachalam Chockalingam*, Purdue University
Haolin Feng, Sun-Yat Sen University
Kumar Muthuraman, University of Texas at Austin
(1057-49-205) -
10:00 a.m.
Dynamic Acceptability Indices.
Tomasz R Bielecki, Department of Applied Mathematics, Illinois Institute of Technology
Igor Cialenco*, Department of Applied Mathematics, Illinois Institute of Technology
Zhao Zhang, Department of Applied Mathematics, Illinois Institute of Technology
(1057-60-202) -
10:30 a.m.
A stochastic volatility model for Levy process and Bayesian analysis with MCMC method.
Yanhui Mi*, Purdue University
(1057-62-197)
-
9:00 a.m.
-
Saturday March 27, 2010, 2:30 p.m.-4:50 p.m.
Special Session on Financial Mathematics and Statistics, II
Room 207, White Hall
Organizers:
Kiseop Lee, University of Louisville kiseop.lee@louisville.edu
Jose Figueroa-Lopez, Department of Statistics, Purdue University
-
2:30 p.m.
Portfolio Optimization with Discrete Proportional Transaction Costs under Stochastic Volatility.
Ha-Young Kim*, Purdue University
Frederi G. Viens, Purdue University
(1057-60-182) -
3:00 p.m.
Asymptotics of implied volatility in local volatility models and stochastic volatility models.
Jim Gatheral, Merrill Lynch and Courant Institute of Mathematical Sciences
Elton P Hsu, Northwestern University
Peter Laurence, Universita di Roma 1 and Courant Institute of Mathematics
Cheng Ouyang*, Purdue University
Tai-Ho Wang, Baruch College, CUNY
(1057-60-234) -
3:30 p.m.
Statistical analysis of EIV regression models.
Ali Al-Sharadqah*, University of Alabama at Birmingham
Nikolai Chernov, University of Alabama at Birmingham
(1057-62-269) -
4:00 p.m.
Nonparametric estimation for a time-changed Lévy model.
Jose E. Figueroa-Lopez*, Purdue University
(1057-60-272) -
4:30 p.m.
Parameter Estimation from Multinomial Trees to Jump Diffusions with K Means Clustering.
Kiseop Lee*, University of Louisville
Mingxin Xu, University of North Carolina at Charlotte
(1057-60-267)
-
2:30 p.m.