AMS Sectional Meeting Program by AMS Special Session

Current as of Saturday, April 3, 2010 00:25:08

Program | Deadlines | Registration/Housing/Etc. | Special Event or Lecture | Inquiries: meet@ams.org

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

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)

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)

Inquiries: meet@ams.org