AMS Sectional Meeting Program by AMS Special Session

Current as of Saturday, October 31, 2009 01:40:04

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

Associate secretaries:
Steven H Weintraub, AMS steve.weintraub@lehigh.edu

Saturday October 24, 2009, 9:00 a.m.-10:20 a.m.
Special Session on Topics in Mathematical Finance, I
Room 222, Thomas Building
Organizers:
Nick Costanzino, Pennsylvania State University costanzi@math.psu.edu
Anna L. Mazzucato, Pennsylvania State University
Victor Nistor, Pennsylvania State University
- 9:00 a.m.
  A two-factor dynamic term structure model and pricing of TIPS securities.
  Olesya V. Grishchenko*, Penn State University
  Joel M. Vanden, Penn State University
  Jianing Zhang, Penn State University
  (1052-91-356)
- 9:30 a.m.
  On option pricing under Levy copula processes - analytical and numerical aspects.
  E. Walter Farkas*, University of Zurich and ETH Zurich, Switzerland
  (1052-45-287)
- 10:00 a.m.
  Heston stochastic volatility model and degenerate parabolic partial differential equations.
  Paul M. Feehan*, Rutgers University, New Brunswick
  (1052-60-48)

Saturday October 24, 2009, 3:00 p.m.-4:50 p.m.
Special Session on Topics in Mathematical Finance, II
Room 222, Thomas Building
Organizers:
Nick Costanzino, Pennsylvania State University costanzi@math.psu.edu
Anna L. Mazzucato, Pennsylvania State University
Victor Nistor, Pennsylvania State University
- 3:00 p.m.
  Path-Dependence of Leveraged ETF Returns.
  Marco Avellaneda*, Courant Institute of Mathematical Sciences, New York University
  Stanley Jian Zhang, New York University
  (1052-60-47)
- 3:30 p.m.
  No Price Manipulation and the Decay of Market Impact.
  Jim Gatheral*, Bank of America Merrill Lynch and Courant Institute, NYU
  (1052-91-283)
- 4:00 p.m.
  Liquidity and Information in Order Driven Markets.
  Ioanid Rosu*, University of Chicago, Booth School of Business
  (1052-91-260)
- 4:30 p.m.
  Discussion

Sunday October 25, 2009, 9:00 a.m.-10:50 a.m.
Special Session on Topics in Mathematical Finance, III
Room 222, Thomas Building
Organizers:
Nick Costanzino, Pennsylvania State University costanzi@math.psu.edu
Anna L. Mazzucato, Pennsylvania State University
Victor Nistor, Pennsylvania State University
- 9:00 a.m.
  Stochastic volatility models: Parameter estimation for a reduced model.
  Ionut Florescu*, Stevens Institute of Technology
  (1052-60-39)
- 9:30 a.m.
  Constructing approximation algorithms for financial calculus from weak convergence results.
  Radu S Tunaru*, City University
  (1052-60-30)
- 10:00 a.m.
  Bond and Stock Market Equilibrium with Heterogeneous Agents Receiving Unspanned Income.
  Kasper Larsen*, Carnegie Mellon University
  (1052-91-288)
- 10:30 a.m.
  Perils of factor formation and predicting returns.
  Timothy Simin*, Smeal College of Business, PSU
  (1052-55-348)

Inquiries: meet@ams.org