AMS Sectional Meeting AMS Special Session

Current as of Saturday, April 13, 2013 00:24:55

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

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Spring Eastern Sectional Meeting
Boston College, Chestnut Hill, MA
April 6-7, 2013 (Saturday - Sunday)
Meeting #1088

Associate secretaries:

Steven H. Weintraub, AMS shw2@lehigh.edu

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Special Session on Financial Mathematics

• Saturday April 6, 2013, 8:00 a.m.-10:50 a.m.
  Special Session on Financial Mathematics, I
  Room 220, Fulton Hall
  Organizers:
  Hasanjan Sayit, Worcester Polytechnic Institute
  Stephan Sturm, Worcester Polytechnic Institute ssturm@wpi.edu
  

  • 8:00 a.m.
    Vanilla-like Options.
    Roger Lee*, University of Chicago
    (1088-60-257)
  • 9:00 a.m.
    Implied volatility for general local-stochastic volatility models.
    Matthew Lorig*, ORFE Department, Princeton University.
    (1088-60-96)
  • 9:30 a.m.
    Effect of volatility clustering on indifference pricing of options by convex risk measures.
    Rohini Kumar*, Wayne State University
    (1088-60-157)
  • 10:00 a.m.
    Implied Volatility of Leveraged ETF Options.
    Tim Leung*, Columbia University
    Ronnie Sircar, Princeton University
    (1088-60-12)
  • 10:30 a.m.
    A Regime-Switching Heston Model for VIX and S&P 500 Implied Volatilities.
    A. Papapanicolaou*, postdoc
    R. Sircar, professor
    (1088-60-194)
• Saturday April 6, 2013, 3:00 p.m.-5:50 p.m.
  Special Session on Financial Mathematics, II
  Room 220, Fulton Hall
  Organizers:
  Hasanjan Sayit, Worcester Polytechnic Institute
  Stephan Sturm, Worcester Polytechnic Institute ssturm@wpi.edu
  

  • 3:00 p.m.
    An Optimal Timing Approach to Mean-Reversion Trading.
    Xin Li*, Columbia University
    Tim Leung, Columbia University
    (1088-60-11)
  • 3:30 p.m.
    Optimal Hedging in a Discrete Time Incomplete Market with Transaction Costs.
    Victoria Steblovskaya*, Department of Mathematical Sciences, Bentley University
    Norm Josephy, Department of Mathematical Sciences, Bentley University
    Lucy Kimball, Department of Mathematical Sciences, Bentley University
    (1088-91-165)
  • 4:00 p.m.
    Optimal Consumption with Transaction Cost and Random Endowment: Shadow Prices and Connections to Duality.
    Xiang Yu*, University of Michigan
    Erhan Bayraktar, University of Michigan
    Yuchong Zhang, University of Michigan
    (1088-60-94)
  • 4:30 p.m.
    Consumption Dynamics in Incomplete Markets.
    Paolo Guasoni, Boston University and Dublin City University
    Gu Wang*, Boston University
    (1088-60-188)
  • 5:00 p.m.
    Most Likely Path to Systemic Failure.
    Kontantinos Spiliopoulos*, Department of Mathematics and Statistics, Boston University
    Kay Giesecke, Stanford University
    Richard Sowers, University of Illionis at Urbana-Champaign
    (1088-60-131)
  • 5:30 p.m.
    Two-Dimensional Sequential Hypothesis Testing in the Brownian Motion Model.
    Michael Carlisle, Department fo Mathematics, Baruch College, CUNY
    Olympia Hadjiliadis*, Department of Mathematics Brooklyn College and the Graduate Center of CUNY
    (1088-62-176)
• Sunday April 7, 2013, 8:00 a.m.-10:50 a.m.
  Special Session on Financial Mathematics, III
  Room 220, Fulton Hall
  Organizers:
  Hasanjan Sayit, Worcester Polytechnic Institute
  Stephan Sturm, Worcester Polytechnic Institute ssturm@wpi.edu
  

  • 8:00 a.m.
    Arbitrageurs, bubbles, and credit conditions.
    Rodolfo Prieto*, Boston University
    Julien Hugonnier, Ecole Polytechnique Federale de Lausanne
    (1088-91-159)
  • 8:30 a.m.
    Real Asset Values and Security Prices.
    Murray Carlson, University of British Columbia
    Sheridan Titman, University of Texas at Austin
    Cristian Ioan Tiu*, SUNY - Buffalo
    (1088-00-163)
  • 9:00 a.m.
    On Optimal Acceptance Policies in Real Estate.
    Yildiray Yildirim*, Syracuse University
    Thomas Emmerling, Syracuse University
    Abdullah Yavas, University of Wisconsin - Madison
    (1088-60-228)
  • 9:30 a.m.
    Static Fund Separation of Long Term Investments.
    Scott P Robertson*, Carnegie Mellon University
    (1088-60-196)
  • 10:00 a.m.
    Degenerate elliptic operators in mathematical finance and Hölder continuity for solutions to variational equations and inequalities.
    Camelia A. Pop*, University of Pennsylvania
    Paul M. N. Feehan, Rutgers University
    (1088-35-85)
  • 10:30 a.m.
    Robust Maximization of Asymptotic Growth under Covariance Uncertainty.
    Yu-Jui Huang*, University of Michigan
    Erhan Bayraktar, University of Michigan
    (1088-60-147)
• Sunday April 7, 2013, 3:00 p.m.-5:50 p.m.
  Special Session on Financial Mathematics, IV
  Room 220, Fulton Hall
  Organizers:
  Hasanjan Sayit, Worcester Polytechnic Institute
  Stephan Sturm, Worcester Polytechnic Institute ssturm@wpi.edu
  

  • 3:00 p.m.
    Arbitrage-free SVI volatility surfaces.
    Jim Gatheral*, Baruch College, CUNY
    (1088-00-201)
  • 4:00 p.m.
    Optimal execution under stochastic volatility and liquidity.
    Patrick Cheridito, Department of Operations Research & Financial Engineering, Bendheim Center for Finance, Princeton University
    Tardu S Sepin*, Department of Operations Research & Financial Engineering, Princeton University
    (1088-90-156)
  • 4:30 p.m.
    Gresham's Law for Liquidity.
    Maxim Bichuch*, Princeton University
    Paolo Guasoni, Boston University and Dublin City University
    (1088-60-270)
  • 5:00 p.m.
    Quickest detection in a system with correlated noise.
    Hongzhong Zhang*, Columbia University
    (1088-93-162)
  • 5:30 p.m.
    Loss Aversion and Retirement Planning.
    Dan Ren*, Boston University
    Paolo Guasoni, Boston University; Dublin City University
    (1088-60-265)

Inquiries: meet@ams.org

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