
AMS Sectional Meeting AMS Special Session
Current as of Sunday, April 13, 2014 00:20:06
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Western Spring Sectional Meeting
University of New Mexico, Albuquerque, NM
April 46, 2014 (Friday  Sunday)
Meeting #1099
Associate secretaries:
Michel L Lapidus, AMS lapidus@math.ucr.edu, lapidus@mathserv.ucr.edu
Special Session on Mathematical Finance

Saturday April 5, 2014, 8:30 a.m.10:50 a.m.
Special Session on Mathematical Finance, I
Room 120, Mitchell Hall Organizers: Indranil SenGupta, North Dakota State University indranil.sengupta@ndsu.edu

Saturday April 5, 2014, 3:00 p.m.5:50 p.m.
Special Session on Mathematical Finance, II
Room 120, Mitchell Hall Organizers: Indranil SenGupta, North Dakota State University, indranil.sengupta@ndsu.edu

3:00 p.m.
Two problems of ruin and survival in economics: applications of limit theorems in probability.
Rabi N Bhattacharya*, The University of Arizona
Mukul K Majumdar, Cornell University
Lizhen Lin, Duke University
(10996014)

3:30 p.m.
A CoxIngersollRoss type Model with Subexponential Return Times.
Robert G Smits*, New Mexico State University
(10996011)

4:00 p.m.
Optimal Investment and Consumption with Proportional Transaction Costs in RegimeSwitching Model.
Ruihua Liu*, University of Dayton
(10999155)

4:30 p.m.
Energy Function Method and Stochastic Mathematical Finance.
Gangaram S. Ladde*, University of South Florida, Tampa
(109991263)

5:00 p.m.
An approximated dynamic programming approach for optimal trade execution problem with a simplified limit order book model.
Qihang Lin*, University of Iowa
Xi Chen, Carnegie Mellon University
(10999030)

5:30 p.m.
Optimal consumption and investment for shortfall aversion.
Paolo Guasoni, Boston University
Gur Huberman, Columbia University
Dan Ren*, University of Dayton
(10996045)

Sunday April 6, 2014, 8:00 a.m.9:50 a.m.
Special Session on Mathematical Finance, III
Room 120, Mitchell Hall Organizers: Indranil SenGupta, North Dakota State University, indranil.sengupta@ndsu.edu

8:00 a.m.
Covariance and Correlation Swaps for Markovmodulated Volatilities.
Anatoliy Swishchuk*, University of Calgary
(10996086)

8:30 a.m.
Boundedness And Exponential Stability In Highly Nonlinear Stochastic Differential Equations.
Youssef N Raffoul*, University of Dayton
(10994632)

9:00 a.m.
Nonarbitrage under Uncertainty.
Jun Deng*, Mathematical and Statistical Sciences Dept., University of Alberta, Edmonton, Alberta
Tahir Choulli, Mathematical and Statistical Sciences Dept., University of Alberta, Edmonton, Alberta
JunFeng Ma, Bank of Montreal
Anna Aksamit, Laboratoire Analyse et Probabilités, Université d'Evry Val d'Essonne, Evry, France
Monique Jeanblanc, Laboratoire Analyse et Probabilités, Université d'Evry Val d'Essonne, Evry, France
(10996085)

9:30 a.m.
Fast Solution Methods for the Fractional Diffusion Equation and Its Application in Mathematical Finance.
Treena S. Basu*, Rhodes College
(10996527)

Sunday April 6, 2014, 3:00 p.m.5:50 p.m.
Special Session on Mathematical Finance, IV
Room 120, Mitchell Hall Organizers: Indranil SenGupta, North Dakota State University, indranil.sengupta@ndsu.edu

3:00 p.m.
Mathematical Finance Applications of PDE2D.
Granville Sewell*, University of Texas El Paso
(10993519)

3:30 p.m.
Local regression type models applied to Geophysics and high frequency market data.
Kanadpriya Basu*, Department of Mathematical Sciences, The University of Texas at El Paso
Maria C. Mariani, Department of Mathematical Sciences, The University of Texas at El Paso
(10996518)

4:00 p.m.
Nondiversifiable Risk and Corporate Bonds Pricing.
Juan Dong*, Department of Mathematics and Statistics, University of Calgary
Deniz Sezer, Department of Mathematics and Statistics, University of Calgary
(109949189)

4:30 p.m.
Trends and trades.
Michael Carlisle, Baruch College, CUNY
Olympia Hadjiliadis*, Brooklyn College and the Graduate Center, CUNY
Ioannis Stamos, Hunter College and the Graduate Center, CUNY
(10996028)

5:00 p.m.
Extreme events in Finance: Analysis of the Behavior of Major Indices near a Crash.
Maria C. Mariani*, Department of Mathematical Sciences, UTEP
(10999113)

5:30 p.m.
Analysis of generic diversity data and financial data by using Levy models.
Maria Pia Beccar Varela*, Department of Mathematical Sciences, The University of Texas at El Paso
(10999112)
Inquiries: meet@ams.org

