AMS Sectional Meeting AMS Special Session
Current as of Friday, April 19, 2019 03:30:04
Spring Eastern Sectional Meeting
- University of Connecticut Hartford (Hartford Regional Campus), Hartford, CT
- April 13-14, 2019 (Saturday - Sunday)
- Meeting #1148
Steven H Weintraub, AMS shw2@lehigh.edu
Special Session on Mathematical Finance
-
Saturday April 13, 2019, 8:00 a.m.-10:50 a.m.
Special Session on Mathematical Finance, I
Room 318, Hartford Times Building
Organizers:
Oleksii Mostovyi, University of Connecticut oleksii.mostovyi@uconn.edu
Gu Wang, Worcester Polytechnic Institute
Bin Zou, University of Connecticut
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8:00 a.m.
Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model.
Karel Janecek, Institute for Democracy
Zheng Li, Goldman Sachs
Mihai Mihai Sirbu*, UT Austin
(1148-91-267) -
8:30 a.m.
Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information.
Scott Robertson*, Questrom School of Business, Boston University
(1148-91-140) -
9:00 a.m.
Sensitivity analysis of the long-term expected utility of optimal portfolios.
Hyungbin Park, Seoul National University
Stephan Sturm*, Worcester Polytechnic Institute
(1148-91-212) -
9:30 a.m.
Singular perturbation expansion for utility maximization with order-$\epsilon$ quadratic transaction costs.
Andrew Papanicolaou*, NYU Tandon
Shiva Chandra, Numerix
(1148-60-14) -
10:00 a.m.
Valuation and design of mortgage contracts.
Yerkin Kitapbayev*, MIT Sloan School of Management
Scott Robertson, Boston University
(1148-60-228) -
10:30 a.m.
Agency problem with noise mitigation.
Arash Fahim*, Florida State University
Vijay Krishna, Florida State University
(1148-91-266)
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8:00 a.m.
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Saturday April 13, 2019, 3:00 p.m.-4:50 p.m.
Special Session on Mathematical Finance, II
Room 318, Hartford Times Building
Organizers:
Oleksii Mostovyi, University of Connecticut oleksii.mostovyi@uconn.edu
Gu Wang, Worcester Polytechnic Institute
Bin Zou, University of Connecticut
-
3:00 p.m.
A Weak Convergence Approach to Inventory Control Using a Long-term Average Criterion.
Chao Zhu*, University of Wisconsin-Milwaukee
(1148-93-203) -
3:30 p.m.
The Optimal Management of Government Stabilization Funds.
Abel Cadenillas*, University of Alberta
Ricardo Huaman-Aguilar, Pontificia Universidad Catolica del Peru
(1148-91-131) -
4:00 p.m.
Just in time portfolio insurance.
Peter P. Carr*, NYU
(1148-60-314) -
4:30 p.m.
Prior distributions for universal portfolios in stochastic portfolio theory.
Ting Kam Leonard Wong*, University of Toronto
(1148-60-327)
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3:00 p.m.
Inquiries: meet@ams.org