AMS Sectional Meeting AMS Special Session
Current as of Saturday, October 10, 2015 03:30:10
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Central Fall Sectional Meeting
Loyola University Chicago, Chicago, IL
October 24, 2015 (Friday  Sunday)
Meeting #1112
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Stochastic Analysis With Applications to Quantitative Finance

Saturday October 3, 2015, 8:30 a.m.10:50 a.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, I
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology

Saturday October 3, 2015, 2:30 p.m.4:50 p.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, II
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology

2:30 p.m.
How Leverage Shifts and Scales a Volatility Skew: Asymptotics for Continuous and Jump Dynamics.
Roger Lee*, University of Chicago, Department of Mathematics
Ruming Wang, University of Chicago, Department of Statistics
(111260663)

3:00 p.m.
Extremestrike asymptotics for general Gaussian stochastic volatility models.
Archil Gulisashvili, Department of Mathematics, Ohio University
Frederi Viens, Department of Statistics, Purdue University
Xin Zhang*, Department of Mathematics, Purdue University
(111260540)

3:30 p.m.
Smalltime expansions for statedependent local jumpdiffusion models with infinite jump activity.
Jose E. FigueroaLopez*, Department of Mathematics, Washington University
Yankeng Luo, Department of Mathematics, Purdue University
(111260534)

4:00 p.m.
On small time asymptotics for rough differential equations driven by fractional Brownian motions.
Fabrice Baudoin, Purdue University
Cheng Ouyang*, University of Illinois at Chicago
(111260417)

4:30 p.m.
Shortterm asymptotic properties of option prices and implied volatility under financial models with jumps.
Sveinn Ólafsson*, Purdue University
(111260367)

Sunday October 4, 2015, 8:30 a.m.10:50 a.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, III
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology

8:30 a.m.
Modeling the behavior of a large production firm in capandtrade emission market.
Arash Fahim*, Florida State University
Nizar Touzi, Ecole Polytechnique
(111291273)

9:00 a.m.
Risk Sensitive Control of the Lifetime Ruin Problem.
Asaf Cohen*, Assistant Professor, Department of Mathematics, University of Michigan, Ann Arbor
Erhan Bayraktar, Professor, Department of Mathematics, University of Michigan, Ann Arbor
(11126055)

9:30 a.m.
ForwardBackward SDEs for Control with Partial Information.
Andrew Papanicolaou*, NYU
(11126038)

10:00 a.m.
Endogenous Formation of Limit Order Books: The Effects of Trading Frequency.
Sergey Nadtochiy*, University of Michigan
Roman Gayduk, University of Michigan
(111260384)

10:30 a.m.
Cost efficiency in incomplete markets.
Carole Bernard, Grenoble Ecole de Management
Stephan Sturm*, Worcester Polytechnic Institute
(111291281)

Sunday October 4, 2015, 1:30 p.m.3:50 p.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, IV
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology

1:30 p.m.
Uncovering the Transition Density of Multivariate Markovian Diffusions.
François Guay, Boston University
Gustavo Schwenkler*, Boston University
(111260418)

2:00 p.m.
Insiders' hedging in a stochastic volatility model.
Kiseop Lee*, University of Louisville
SangHyeon Park, Korea
(111260118)

2:30 p.m.
Quantile Hedging in a SemiStatic Market with Model Uncertainty.
Gu Wang*, Worcester Polytechnic Institute
Erhan Bayraktar, University of Michigan at Ann Arbor
(111291582)

3:00 p.m.
Modeling interest rates with the zero lower bound: applications of diffusions with sticky boundaries.
Vadim Linetsky, Northwestern University
Yutian Nie*, Northwestern University
(111260283)

3:30 p.m.
Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences.
Ruoting Gong*, Illinois Institute of Technology
Christian Houdre, Georgia Institute of Technology
Juri Lember, University of Tartu
(111260405)
Inquiries: meet@ams.org