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

• 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)