AMS :: Western Spring Sectional Meeting, AMS Special Session

AMS Sectional Meeting AMS Special Session

Current as of Sunday, April 13, 2014 00:20:06

Associate secretaries:

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
- 8:30 a.m.
  Jump dependence, multidimensional default risk, and a new class of structural default models.
  Alec N Kercheval*, Department of Mathematics, Florida State University
  Pierre Garreau, Deutsche Bank
  (1099-60-31)
- 9:00 a.m.
  Mathematical methods for default events.
  Ambar N Sengupta*, Louisiana State University
  (1099-91-16)
- 9:30 a.m.
  Use of Markov decision processes in some finance problems.
  Xikui Wang*, University of Manitoba
  (1099-90-134)
- 10:00 a.m.
  Orthogonal polynomials technique and its applications in mathematical finance and insurance.
  Alexander Melnikov*, University of Alberta
  (1099-60-77)
- 10:30 a.m.
  Quantization techniques for pricing and calibration in stochastic volatility models.
  Sylvain Corlay*, Bloomberg LP
  (1099-60-17)

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
  (1099-60-14)
- 3:30 p.m.
  A Cox-Ingersoll-Ross type Model with Subexponential Return Times.
  Robert G Smits*, New Mexico State University
  (1099-60-11)
- 4:00 p.m.
  Optimal Investment and Consumption with Proportional Transaction Costs in Regime-Switching Model.
  Ruihua Liu*, University of Dayton
  (1099-91-55)
- 4:30 p.m.
  Energy Function Method and Stochastic Mathematical Finance.
  Gangaram S. Ladde*, University of South Florida, Tampa
  (1099-91-263)
- 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
  (1099-90-30)
- 5:30 p.m.
  Optimal consumption and investment for shortfall aversion.
  Paolo Guasoni, Boston University
  Gur Huberman, Columbia University
  Dan Ren*, University of Dayton
  (1099-60-45)

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 Markov-modulated Volatilities.
  Anatoliy Swishchuk*, University of Calgary
  (1099-60-86)
- 8:30 a.m.
  Boundedness And Exponential Stability In Highly Nonlinear Stochastic Differential Equations.
  Youssef N Raffoul*, University of Dayton
  (1099-46-32)
- 9:00 a.m.
  Non-arbitrage 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
  (1099-60-85)
- 9:30 a.m.
  Fast Solution Methods for the Fractional Diffusion Equation and Its Application in Mathematical Finance.
  Treena S. Basu*, Rhodes College
  (1099-65-27)

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
  (1099-35-19)
- 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
  (1099-65-18)
- 4:00 p.m.
  Non-diversifiable 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
  (1099-49-189)
- 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
  (1099-60-28)
- 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
  (1099-91-13)
- 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
  (1099-91-12)