
AMS Sectional Meeting AMS Special Session
Current as of Saturday, April 13, 2013 00:24:55
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Spring Eastern Sectional Meeting
Boston College, Chestnut Hill, MA
April 67, 2013 (Saturday  Sunday)
Meeting #1088
Associate secretaries:
Steven H. Weintraub, AMS shw2@lehigh.edu
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

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 MeanReversion Trading.
Xin Li*, Columbia University
Tim Leung, Columbia University
(10886011)

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
(108891165)

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
(10886094)

4:30 p.m.
Consumption Dynamics in Incomplete Markets.
Paolo Guasoni, Boston University and Dublin City University
Gu Wang*, Boston University
(108860188)

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 UrbanaChampaign
(108860131)

5:30 p.m.
TwoDimensional 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
(108862176)

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
(108891159)

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
(108800163)

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
(108860228)

9:30 a.m.
Static Fund Separation of Long Term Investments.
Scott P Robertson*, Carnegie Mellon University
(108860196)

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
(10883585)

10:30 a.m.
Robust Maximization of Asymptotic Growth under Covariance Uncertainty.
YuJui Huang*, University of Michigan
Erhan Bayraktar, University of Michigan
(108860147)

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.
Arbitragefree SVI volatility surfaces.
Jim Gatheral*, Baruch College, CUNY
(108800201)

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
(108890156)

4:30 p.m.
Gresham's Law for Liquidity.
Maxim Bichuch*, Princeton University
Paolo Guasoni, Boston University and Dublin City University
(108860270)

5:00 p.m.
Quickest detection in a system with correlated noise.
Hongzhong Zhang*, Columbia University
(108893162)

5:30 p.m.
Loss Aversion and Retirement Planning.
Dan Ren*, Boston University
Paolo Guasoni, Boston University; Dublin City University
(108860265)
Inquiries: meet@ams.org

