AMS Sectional Meeting Program by AMS Special Session

Current as of Friday, April 23, 2010 00:25:48

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

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2010 Spring Western Section Meeting
Albuquerque, NM, April 17-18, 2010 (Saturday - Sunday)
Meeting #1059

Associate secretaries:
Michel L Lapidus, AMS lapidus@math.ucr.edu, lapidus@mathserv.ucr.edu

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Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures

• Saturday April 17, 2010, 8:30 a.m.-10:50 a.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, I
  Room 324, Dane Smith Hall
  Organizers:
  Maria Cristina Mariani, University of Texas at El Paso mcmariani@utep.edu
  Ionut Florescu, Stevens Institute of Technology Ionut.Florescu@stevens.edu
  Maria P. Beccar-Varela, University of Texas at El Paso mpvarela@utep.edu
  

  • 8:30 a.m.
    Calculating Risk of Cost in Civil Engineering Projects by Using Imprecise Probability and HPC Computing.
    Andrzej Marcin Pownuk*, The University of Texas at El Paso
    Michal Betkowski, Silesian University of Technology, Poland
    (1059-65-99)
  • 9:00 a.m.
    EGARCH analysis of 'naked' short-selling constraints.
    Carlos A. Ulibarri*, New Mexico Institute of Mining and Technology
    (1059-62-153)
  • 9:30 a.m.
    Correlated walks down the Babylonian markets.
    Natalia E. Romero*, Physics Department, Florida Atlantic University - Boca Raton, FL 33431 USA
    Qianli D.Y. Ma, Harvard Medical School and Division of Sleep Medicine, Brigham and Women's Hospital - Boston, MA 02115, USA
    Larry S. Liebovitch, Center for Complex Systems and Brain Sciences, Florida Atlantic University - Boca Raton, FL 33431 USA
    T. Brown Clifford, Anthropology Department, Florida Atlantic University - Boca Raton, FL 33431 USA
    Ch. Ivanov Plamen, Center for Polymer Studies and Department of Physics - Boston University, Boston, MA 02215 USA
    (1059-91-73)
  • 10:00 a.m.
    Solutions to an integro-differential parabolic problem arising on Financial Mathematics.
    Maria C. Mariani, University of Texas at El Paso
    Marc Salas*, New Mexico State University
    (1059-35-33)
  • 10:30 a.m.
    Cooperative games of investors with general deviation measures.
    Bogdan Grechuk, The University of Edinburgh
    Anton Molyboha*, Stevens Institute of Technology
    Michael Zabarankin, Stevens Institute of Technology
    (1059-91-131)
• Saturday April 17, 2010, 3:00 p.m.-5:40 p.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, II
  Room 324, Dane Smith Hall
  Organizers:
  Maria Cristina Mariani, University of Texas at El Paso mcmariani@utep.edu
  Ionut Florescu, Stevens Institute of Technology Ionut.Florescu@stevens.edu
  Maria P. Beccar-Varela, University of Texas at El Paso mpvarela@utep.edu
  

  • 3:00 p.m.
    Portfolio Optimization in Discrete Time with Proportional Transaction Costs under Stochastic Volatility.
    Frederi G Viens*, Dept. Statistics / Computational Finance Program, Purdue University
    Ha-Young Kim, Department of Mathematics, Purdue University
    (1059-90-159)
  • 4:00 p.m.
    Maximum Drawdown of a Jump-Diffusion Process and the Corresponding Partial Integro-Differential Equations.
    Libor Pospisil, Columbia University
    Jan Vecer*, Columbia University
    (1059-60-204)
  • 5:00 p.m.
    Equilibrium pricing in incomplete markets under translation invariant preferences.
    Patrick Cheridito*, Princeton University
    (1059-91-125)
• Sunday April 18, 2010, 8:30 a.m.-10:50 a.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, III
  Room 324, Dane Smith Hall
  Organizers:
  Maria Cristina Mariani, University of Texas at El Paso mcmariani@utep.edu
  Ionut Florescu, Stevens Institute of Technology Ionut.Florescu@stevens.edu
  Maria P. Beccar-Varela, University of Texas at El Paso mpvarela@utep.edu
  

  • 8:30 a.m.
    The Corridor Implied Volatility and the VIX during the financial crisis: October 2008 - April 2009.
    Torben G. Andersen, Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER)
    Oleg Bondarenko, University of Illinois at Chicago - Department of Finance
    Maria T. Gonzalez-Perez*, Northwestern University - Kellogg School of Management
    (1059-60-195)
  • 9:00 a.m.
    Black Litterman model: investors' expectations and social networks.
    Germán G Creamer*, Stevens Institute of Technology
    (1059-91-241)
  • 9:30 a.m.
    Solution to a Nonlinear Black-Scholes Equation.
    Maria C. Mariani, University of Texas at El Paso
    Emmanuel Ncheuguim*, New Mexico State University
    (1059-35-54)
  • 10:00 a.m.
    Optimal investment on finite horizon with random discrete order flow in il liquid markets.
    Paul Gassiat, University Paris 7
    Huyen Pham, University Paris 7
    Mihai Sirbu*, University of Texas at Austin
    (1059-60-142)
  • 10:30 a.m.
    Arbitrage free models in markets with transaction costs.
    Hasanjan Sayit*, Assistant professor, Mathematics Department, Worcester Polytechnic Institute.
    Viens Frederi, Professor, Statistics Department, Purdue University,
    (1059-60-53)
• Sunday April 18, 2010, 3:00 p.m.-5:20 p.m.
  Special Session on Financial Mathematics: The Mathematics of Financial Markets and Structures, IV
  Room 324, Dane Smith Hall
  Organizers:
  Maria Cristina Mariani, University of Texas at El Paso mcmariani@utep.edu
  Ionut Florescu, Stevens Institute of Technology Ionut.Florescu@stevens.edu
  Maria P. Beccar-Varela, University of Texas at El Paso mpvarela@utep.edu
  

  • 3:00 p.m.
    Drawdowns, drawups and financial risk management.
    Hongzhong Zhang, City University of New York
    Olympia Hadjiliadis*, City University of New York
    (1059-60-91)
  • 3:30 p.m.
    Temporal Correlation of Defaults in Subprime Securitization.
    Junyue Xu, Louisiana State University
    Eric Hillebrand, Louisiana State University
    Ambar Niel Sengupta*, Louisiana State University
    (1059-60-26)
  • 4:00 p.m.
    Rare Events Detection and Analysis of High-Frequency Financial Data.
    Dragos Bozdog*, Stevens Institute of Technology
    Ionut Florescu, Stevens Institute of Technology
    Khaldoun Khashanah, Stevens Institute of Technology
    Jim Wang, Stevens Institute of Technology
    (1059-60-140)
  • 4:30 p.m.
    A computational approach to Option pricing models.
    Snehanshu Saha*, Math Sciences,University of Texas at El Paso
    (1059-35-92)
  • 5:00 p.m.
    Study of solution for a PIDE relevant for Mathematical finance using upper and lower solutions.
    Ionut Florescu*, Stevens Institute of Technology
    Maria C Mariani, University of Texas at El Paso
    (1059-35-107)

Inquiries:  meet@ams.org

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