AMS Sectional Meeting AMS Special Session

Current as of Saturday, April 5, 2014 00:23:13

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

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Spring Eastern Sectional Meeting
University of Maryland, Baltimore County, Baltimore, MD
March 29-30, 2014 (Saturday - Sunday)
Meeting #1098

Associate secretaries:

Steven H Weintraub, AMS shw2@lehigh.edu

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Special Session on Mathematical Finance

• Saturday March 29, 2014, 8:00 a.m.-10:50 a.m.
  Special Session on Mathematical Finance, I
  Sondheim 209, Sondheim Hall
  Organizers:
  Agostino Capponi, John Hopkins University acappon1@jhu.edu
  

  • 8:00 a.m.
    Behaviors of interbank lending system near multiple defaults.
    Tomoyuki Ichiba*, University of California, Santa Barbara
    (1098-60-236)
  • 8:30 a.m.
    Systemic risk in large financial networks.
    Konstantinos Spiliopoulos*, Boston University, Boston, MA
    (1098-60-55)
  • 9:00 a.m.
    VWAP order execution and dynamic trading volume estimation.
    Christoph Frei*, University of Alberta
    Nicholas Westray, Deutsche Bank AG
    (1098-60-112)
  • 9:30 a.m.
    Trends and trades.
    Michael Carlisle, Baruch College, CUNY
    Olympia Hadjiliadis*, Brooklyn College and the Graduate Center, CUNY
    Ioannis Stamos, Hunter College, CUNY
    (1098-60-43)
  • 10:00 a.m.
    A Stochastic Approximation Approach for Trend-Following Trading.
    Duy Nguyen*, Massachusetts college of Liberal Arts
    Qing Zhang, University Of Georgia
    George Yin, Wayne State University
    (1098-60-38)
  • 10:30 a.m.
    Optimal Investment in Defaultable Securities under Information Driven Default Contagion.
    Lijun Bo*, Xidian University
    Agostino Capponi, Johns Hopkins University
    (1098-60-180)
• Saturday March 29, 2014, 3:00 p.m.-5:50 p.m.
  Special Session on Mathematical Finance, II
  Sondheim 209, Sondheim Hall
  Organizers:
  Agostino Capponi, John Hopkins University acappon1@jhu.edu
  

  • 3:00 p.m.
    Optimal incentives for delegated portfolio optimization.
    Maxim Bichuch, Worcester Polytechnic Institute
    Stephan Sturm*, Worcester Polytechnic Institute
    (1098-91-272)
  • 3:30 p.m.
    Optimal Investment with Transaction Costs and Stochastic Volatility.
    Maxim Bichuch*, Worcester Polytechnic Institute
    Ronnie Sircar, Princeton University
    (1098-60-255)
  • 4:00 p.m.
    Optimal Stopping with Negative Discount Rate and Random Refraction Times under Levy Models.
    Tim Leung, Industrial Engineering and Operations Research Department, Columbia University
    Kazutoshi Yamazaki, Department of Mathematics, Kansai University
    Hongzhong Zhang*, Department of Statistics, Columbia University
    (1098-60-210)
  • 4:30 p.m.
    Feynman-Kac formulae for solutions to degenerate elliptic boundary value and obstacle problems with Dirichlet boundary conditions.
    Paul Feehan, Rutgers, The State University of New Jersey
    Ruoting Gong*, Rutgers, The State University of New Jersey
    Jian Song, The University of Hong Kong
    (1098-60-89)
  • 5:00 p.m.
    static-dynamic quantile hedging.
    Tim Leung, Columbia University
    Peng Liu*, Campbell&Company
    (1098-93-56)
  • 5:30 p.m.
    On the Market Viability under Proportional Transaction Costs.
    Xiang Yu*, Department of Mathematics, University of Michigan
    Erhan Bayraktar, Department of Mathematics, University of Michigan
    (1098-60-37)

Inquiries: meet@ams.org

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