AMS :: 2011 Spring Western Section Meeting, Program by AMS Special Session

AMS Sectional Meeting Program by AMS Special Session

Current as of Saturday, May 7, 2011 00:22:48

Associate secretaries:

Saturday April 30, 2011, 9:00 a.m.-10:40 a.m.
Special Session on Computational and Mathematical Finance, I
Room C230, Classroom Building Complex - Building C
Organizers:
Hongtao Yang, University of Nevada, Las Vegas hongtao.yang@unlv.edu
- 9:00 a.m.
  Numerical Pricing of Bond Options under the Quadratic Interest Rate Model.
  Kai Huang*, Florida International University
  (1071-65-205)
- 10:00 a.m.
  Energy Portfolio Investment with Delayed Entry Decisions.
  Zhen Liu*, Missouri University of Science & Technology
  (1071-90-132)

Saturday April 30, 2011, 3:00 p.m.-5:40 p.m.
Special Session on Computational and Mathematical Finance, II
Room C230, Classroom Building Complex - Building C
Organizers:
Hongtao Yang, University of Nevada, Las Vegas hongtao.yang@unlv.edu
- 3:00 p.m.
  Jump diffusion price modeling in hedge strategy analysis.
  Manny A. Macatangay*, Transaction and Market Analysis, Resource Optimization Department, NV Energy Inc., Las Vegas, NV 89146
  Alebachew Yimer, Transaction and Market Analysis, Resource Optimization Department, NV Energy Inc., Las Vegas, NV 89146
  Denis Wang, Transaction and Market Analysis, Resource Optimization Department, NV Energy Inc., Las Vegas, NV 89146
  (1071-65-271)
- 4:00 p.m.
  An iterative method for pricing {A}merican options under jump-diffusion models.
  Santtu Salmi, University of Jyvaskyla
  Jari Toivanen*, Stanford University
  (1071-65-125)
- 5:00 p.m.
  Volatility Analysis for High Frequency Financial Data.
  Zhijian Wu*, The University of Alabama
  Chunhui Yu, Alabama A&M University
  Xiaohua Zheng, The University of Alabama
  (1071-60-113)

Sunday May 1, 2011, 9:00 a.m.-10:40 a.m.
Special Session on Computational and Mathematical Finance, III
Room C230, Classroom Building Complex - Building C
Organizers:
Hongtao Yang, University of Nevada, Las Vegas hongtao.yang@unlv.edu
- 9:00 a.m.
  Numerical Methods for Option Pricing and Calibration of the Extended CIR Model.
  Shuhua Zhang*, Tianjin University of Finance and Economics
  (1071-65-155)
- 10:00 a.m.
  Risk Management in Mortgage Market.
  Yongmin Zhang*, University of Nottingham Ningbo China
  (1071-62-262)