AMS Sectional Meeting AMS Special Session
Current as of Saturday, April 23, 2016 03:30:08
Inquiries: meet@ams.org
Spring Central Sectional Meeting
North Dakota State University, Fargo, ND
April 16-17, 2016 (Saturday - Sunday)
Meeting #1120
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Mathematical Finance
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Saturday April 16, 2016, 8:30 a.m.-10:50 a.m.
Special Session on Mathematical Finance, I
Room 224, Agricultural and Biosystems Engineering
Organizers:
Indranil SenGupta, North Dakota State University indranil.sengupta@ndsu.edu
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9:00 a.m.
Option pricing and hedging with limit and market orders.
Sebastian Jaimungal*, University of Toronto
Luhui Gan, University of Toronto
Álvaro Cartea, University of Oxford
(1120-60-22) -
9:30 a.m.
Branching diffusions for stochastic control.
Sylvain Corlay*, Bloomberg LP
(1120-60-134) -
10:00 a.m.
Portfolios in an abstract equity market with transitory volatility.
Tomoyuki Ichiba*, University of California Santa Barbara
(1120-91-57) -
10:30 a.m.
Conditional Asian options.
Runhuan Feng*, University of Illinois at Urbana-Champaign
Hans W Volkmer, University of Wisconsin-Milwaukee
(1120-91-11)
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9:00 a.m.
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Saturday April 16, 2016, 2:00 p.m.-4:20 p.m.
Special Session on Mathematical Finance, II
Room 224, Agricultural and Biosystems Engineering
Organizers:
Indranil SenGupta, North Dakota State University indranil.sengupta@ndsu.edu
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2:00 p.m.
The stochastic solution to a Cauchy problem for degenerate parabolic equations.
Xiaoshan Chen, South China Normal University
Yu-Jui Huang, Dublin City University
Qingshuo Song, City University of Hong Kong
Chao Zhu*, University of Wisconsin-Milwaukee
(1120-60-21) -
2:30 p.m.
Dynamic risk measures.
Xikui Wang*, University of Manitoba, Canada
You Liang, University of Manitoba, Canada
(1120-91-61) -
3:00 p.m.
Portfolio optimization for security investment.
Hong-Ming Yin*, Washington State University
Wendy Skulpakdee, Washington State University
(1120-35-85) -
3:30 p.m.
Optimal execution in Hong Kong given a market-on-close benchmark.
Christoph Frei*, University of Alberta
Nicholas Westray, Imperial College London
(1120-90-89) -
4:00 p.m.
A Level-1 Limit order book with time dependent rates.
Jonathan Chavez-Casillas*, University of Calgary
Anatoliy Swishchuk, University of Calgary
(1120-60-182)
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2:00 p.m.
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Sunday April 17, 2016, 8:00 a.m.-9:50 a.m.
Special Session on Mathematical Finance, III
Room 224, Agricultural and Biosystems Engineering
Organizers:
Indranil SenGupta, North Dakota State University indranil.sengupta@ndsu.edu
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8:00 a.m.
Finite mixture modeling of univariate data with non-Gaussian component distributions.
Tatjana Miljkovic*, Oxford
Bettina Gruen, Johannes Kepler University at Linz, Austria
(1120-62-15) -
8:30 a.m.
Stock price prediction using hidden Markov model.
Nguyet Nguyen*, Youngstown State University
(1120-60-41) -
9:00 a.m.
Feynman path integrals for transition probability densities of some financial markets.
Aziz Issaka*, North Dakota State University
Indranil SenGupta, North Dakota State University
(1120-60-79) -
9:30 a.m.
A semi-Markovian modeling of limit order markets.
Anatoliy Swishchuk*, University of Calgary
(1120-60-5)
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8:00 a.m.
Inquiries: meet@ams.org