AMS Sectional Meeting Program by AMS Special Session

Current as of Saturday, May 29, 2010 00:46:48

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

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

Saturday May 22, 2010, 10:00 a.m.-12:20 p.m.
Special Session on Financial Mathematics, I
Room 106, Tiernan Hall
Organizers:
Tim S.T. Leung, Johns Hopkins University timleung@jhu.edu
- 10:00 a.m.
  Energy price correlations: Understanding the links between coal, gas, electricity and carbon prices.
  Michael Coulon*, Princeton University
  (1060-60-207)
- 10:30 a.m.
  Arbitrage-Free Models In Markets With Transaction Costs.
  Hasanjan Sayit*, Assistant professor, Mathematics Department, Worcester Polytechnic Institute.
  Frederi Viens, Professor, Statistics Department, Purdue University,
  (1060-60-95)
- 11:00 a.m.
  On refined volatility smile expansion in the Heston model.
  Peter Friz, TU and WIAS Berlin, partially supported by MATHEON
  Stefan Gerhold, TU Wien, partially supported by the Austrian Federal Financing Agency and the Christian-Doppler-Gesellschaft
  Archil Gulisashvili, Ohio University
  Stephan Sturm*, ORFE Department, Princeton University
  (1060-91-163)
- 11:30 a.m.
  Heat Polynomials, boundary crossing probabilities and applications in finance.
  Gerardo Hernandez-del-Valle*, Columbia University
  (1060-35-53)
- 12:00 p.m.
  Risk measures for multivariate variables in markets with random solvency cones.
  Birgit Rudloff*, Princeton University
  Andreas Hamel, Princeton University/ Yeshiva University
  (1060-60-166)

Saturday May 22, 2010, 4:00 p.m.-6:20 p.m.
Special Session on Financial Mathematics, II
Room 106, Tiernan Hall
Organizers:
Tim S.T. Leung, Johns Hopkins University timleung@jhu.edu
- 4:00 p.m.
  The set-valued approach for conical markets models: risk measures and utility functions.
  Andreas H Hamel*, Princeton University
  (1060-49-34)
- 4:30 p.m.
  Horizon dependency of utility optimizers in incomplete models.
  Kasper Larsen*, Carnegie Mellon University
  Hang Yu, Carnegie Mellon University
  (1060-91-48)
- 5:00 p.m.
  Forward Indifference Valuation of American Options in Incomplete Markets.
  Tim S.T. Leung*, Johns Hopkins University
  Ronnie Sircar, Princeton University
  Thaleia Zariphopoulou, University of Texas at Austin; University of Oxford
  (1060-60-82)
- 5:30 p.m.
  Maximum Drawdown of a Jump-Diffusion Process and the Corresponding Partial Integro-Differential Equations.
  Libor Pospisil*, Columbia University
  Jan Vecer, Columbia University
  (1060-60-161)
- 6:00 p.m.
  Drawdowns, drawups and risk management.
  Hongzhong Zhang, City University of New York
  Olympia Hadjiliadis*, City University of New York
  (1060-60-28)