AMS Sectional Meeting AMS Special Session

Current as of Friday, October 7, 2016 14:15:51

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

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Fall Eastern Sectional Meeting
Bowdoin College, Brunswick, ME
September 24-25, 2016 (Saturday - Sunday)
Meeting #1121

Associate secretaries:

Steven H Weintraub, AMS shw2@lehigh.edu

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Special Session on Financial Mathematics

• Saturday September 24, 2016, 9:30 a.m.-10:50 a.m.
  Special Session on Financial Mathematics, I
  Room 107, Kanbar Hall
  Organizers:
  Maxim Bichuch, Johns Hopkins University
  Stephan Strum, Worcester Polytechnic Institute
  Xuwei Yang, Worcester Polytechnic Institute xyang4@wpi.edu
  

  • 9:30 a.m.
    Systemic risk under heterogeneous beliefs.
    Agostino Capponi*, Columbia University, New York, NY
    (1121-91-281)
  • 10:00 a.m.
    Sensitivity of the Eisenberg-Noe Network Model to the Relative Liabilities.
    Weijie Pang*, Worcester Polytechnic Institute
    Zachary Feinstein, Washington University St. Louis
    Birgit Rudloff, Vienna University of Economics and Business
    Eric Schaanning, Imperial College London
    Stephan Sturm, Worcester Polytechnic Institute
    Mackenzie Wildman, Lehigh University
    (1121-49-246)
  • 10:30 a.m.
    Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty.
    Zhenyu Cui, Financial Engineering Division, School of Systems and Enterprises, Stevens Institute of Technology
    Qi Feng*, Department of Mathematics,Purdue University-University of Conneecticut
    Ruimeng Hu, Department of Statistics and Applied Probability, University of California Santa Barbara,
    Gu Wang, Department of Mathematical Sciences, Worcester Polytechnic Institute
    Xuwei Yang, Department of Mathematical Sciences, Worcester Polytechnic Institute
    Bin Zou, Corresponding author. Department of Applied Mathematics, University of Washington,
    (1121-60-125)
• Saturday September 24, 2016, 3:00 p.m.-5:50 p.m.
  Special Session on Financial Mathematics, II
  Room 107, Kanbar Hall
  Organizers:
  Maxim Bichuch, Johns Hopkins University
  Stephan Strum, Worcester Polytechnic Institute
  Xuwei Yang, Worcester Polytechnic Institute xyang4@wpi.edu
  

  • 3:00 p.m.
    Arbitrage-Free Pricing of XVA.
    Maxim Bichuch*, Johns Hopkins University
    Agostino Capponi, Columbia University
    Stephan Sturm, Worcester Polytechnic Institute
    (1121-60-240)
  • 3:30 p.m.
    Robust XVA for Credit Default Swaps.
    Maxim Bichuch, Johns Hopkins University
    Agostino Capponi, Columbia University
    Stephan Sturm*, Worcester Polytechnic Institute
    (1121-91-273)
  • 4:00 p.m.
    Mean Field Stochastic Growth with Relative Utility.
    Minyi Huang*, Carleton University
    Son L. Nguyen, University of Puerto Rico
    (1121-93-274)
  • 4:30 p.m.
    The Execution Problem in Finance: A Partially Observed Mean Field Game Formulation.
    Peter E. Caines*, Department of Electrical and Computer Engineering and CIM, McGill University, Montreal
    Dena Firoozi, Department of Electrical and Computer Engineering and CIM, McGill University, Montreal
    (1121-93-133)
  • 5:00 p.m.
    Mean field game approach to production and exploration of exhaustible commodities.
    Michael Ludkovski, University of California, Santa Barbara
    Xuwei Yang*, Worcester Polytechnic Institute
    (1121-91-65)
  • 5:30 p.m.
    Consumption in Incomplete Markets.
    Gu Wang*, Worcester Polytechnic Institute
    Paolo Guasoni, Boston University
    (1121-60-272)
• Sunday September 25, 2016, 8:00 a.m.-10:50 a.m.
  Special Session on Financial Mathematics, III
  Room 107, Kanbar Hall
  Organizers:
  Maxim Bichuch, Johns Hopkins University
  Stephan Strum, Worcester Polytechnic Institute
  Xuwei Yang, Worcester Polytechnic Institute xyang4@wpi.edu
  

  • 8:00 a.m.
    A second-order expansion of the value function in the problem of optimal investment in incomplete markets.
    Oleksii Mostovyi*, University of Connecticut
    (1121-60-132)
  • 8:30 a.m.
    Ross recovery with recurrent and transient processes.
    Hyungbin Park*, Worcester Polytechnic Institute
    (1121-60-143)
  • 9:00 a.m.
    The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets.
    Scott Robertson*, Boston University
    (1121-60-280)
  • 9:30 a.m.
    Manifold learning algorithms for arbitrage-free low-dimensional nonlinear model selection.
    Cody Hyndman*, Concordia University
    Anastasis Kratsios, Concordia University
    (1121-91-194)
  • 10:00 a.m.
    Volatility, variance, and covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets.
    Indranil SenGupta*, North Dakota State University
    Semere Habtemicael, Ragon Institute of MGH, MIT and Harvard
    (1121-60-9)
  • 10:30 a.m.
    An Analytical Expansion Method for Forward-Backward Stochastic Differential Equations.
    Liangliang Zhang*, Boston University, Questrom School of Business
    Jerome Detemple, Boston University, Questrom School of Business
    Matthew Lorig, University of Washington at Seattle, Department of Applied Mathematics
    Marcel Rindisbacher, Boston University, Questrom School of Business
    Stephan Sturm, WPI, Department of Mathematical Sciences
    (1121-41-140)

Inquiries: meet@ams.org

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