AMS :: Fall Eastern Sectional Meeting, AMS Special Session

AMS Sectional Meeting AMS Special Session

Current as of Sunday, September 30, 2012 00:23:21

Associate secretaries:

Steven H Weintraub, AMS shw2@lehigh.edu

Saturday September 22, 2012, 9:00 a.m.-10:50 a.m.
Special Session on Financial Mathematics, I
Rm. 3129, Gleason Hall
Organizers:
Tim Siu-Tang Leung, Columbia University leung@ieor.columbia.edu
- 9:00 a.m.
  Asset pricing with endogenous disasters.
  Cristian I. Tiu*, University at Buffalo
  Uzi Yoeli, University of Texas Investment Management Company
  (1082-00-140)
- 9:30 a.m.
  Absence of arbitrage in a general framework.
  Hasanjan Sayit*, Assistant Professor, Worcester Polytechnic Institute
  (1082-60-146)
- 10:00 a.m.
  Volatility-Stabilized Markets.
  Radka Pickova*, Columbia University
  (1082-60-112)
- 10:30 a.m.
  The price of a market crash, drawdown insurance and trading algorithms.
  Olympia Hadjiliadis*, Brooklyn College and the Graduate Center, City University of New York (C.U.N.Y.)
  Hongzhong Zhang, Department of Statistics, Columbia University
  Tim Leung, Department of Operations Research, Columbia University
  (1082-60-281)

Saturday September 22, 2012, 3:00 p.m.-4:50 p.m.
Special Session on Financial Mathematics, II
Rm. 3129, Gleason Hall
Organizers:
Tim Siu-Tang Leung, Columbia University leung@ieor.columbia.edu
- 3:00 p.m.
  Correlated reflected Brownian motions and 2-CUSUMS.
  Hongzhong Zhang*, Columbia University
  (1082-00-280)
- 3:30 p.m.
  Optimal Incentives for Delegated Portfolio Optimization.
  Maxim Bichuch, Princeton University, ORFE
  Stephan Sturm*, Worcester Polytechnic Institute
  (1082-91-178)
- 4:00 p.m.
  Utility Maximization with Consumption Habit Formation in Incomplete Markets.
  Xiang Yu*, University of Texas at Austin
  (1082-60-21)
- 4:30 p.m.
  Risk Management for a Portfolio of Employee Stock Options.
  Tim Leung*, Columbia University
  (1082-60-124)