AMS Sectional Meeting AMS Special Session

Current as of Saturday, April 11, 2020 03:30:04

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• Program
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• Deadlines
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• Timetable
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• Room Chart
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• Chronological Index of Talks
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• Registration/Housing/Etc.


• Inquiries: meet@ams.org

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Spring Central Sectional Meeting

• Purdue University, West Lafayette, IN
• April 4-5, 2020 (Saturday - Sunday)
• Meeting #1157

Associate secretaries:

Georgia Benkart, AMS benkart@math.wisc.edu

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Special Session on Mathematical Finance and Actuarial Sciences

• Saturday April 4, 2020, 8:30 a.m.-11:20 a.m.
  Special Session on Mathematical Finance and Actuarial Sciences, I
  Room 119, University Hall
  Organizers:
  Kiseop Lee, Purdue University kiseop@purdue.edu
  Jianxi Su, Purdue University
  Jose Figueora-Lopez, Washington University, St. Louis
  

  • 8:30 a.m.
    Optimal Jump Detection and Volatility Estimation Using Wavelet And Multiscale Analysis.
    Benjamin Cooper Boniece, Washington University in St. Louis
    Jose E. Figueroa-Lopez*, Washington University in St. Louis
    Chuyi Yu, Washington University in St. Louis
    (1157-60-507)
  • 9:00 a.m.
    Sharing Profits in the Sharing Economy.
    Gu Wang*, Worcester Polytechnic Institute
    Paolo Guasoni, Dublin City University
    (1157-91-400)
  • 9:30 a.m.
    Self-excited Black-Scholes models.
    Alec N. Kercheval*, Florida State University
    Navid Salehy, University of New Orleans
    Nima Salehy, Louisiana Tech University
    (1157-60-314)
  • 10:00 a.m.
    Pricing and hedging short-maturity Asian options in local volatility models.
    Hyungbin Park*, Seoul National University
    Jonghwa Park, Seoul National University
    (1157-60-298)
  • 10:30 a.m.
    Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization.
    Xuefeng Gao, Chinese University of Hong Kong
    Mert Gurbuzbalaban, Rutgers University
    Lingjiong Zhu*, Florida State University
    (1157-60-98)
  • 11:00 a.m.
    Systemic Risk Quantification via Shock Amplification in Financial Networks.
    Dohyun Ahn, Chinese University of Hong Kong
    Nan Chen, Chinese University of Hong Kong
    Kyoung-Kuk Kim*, Korea Advanced Institute of Science and Technology
    (1157-60-172)
• Saturday April 4, 2020, 2:00 p.m.-4:20 p.m.
  Special Session on Mathematical Finance and Actuarial Sciences, II
  Room 119, University Hall
  Organizers:
  Kiseop Lee, Purdue University kiseop@purdue.edu
  Jianxi Su, Purdue University
  Jose Figueora-Lopez, Washington University, St. Louis
  

  • 2:00 p.m.
    Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information.
    Scott Philip Robertson*, Questrom School of Business, Boston University
    (1157-91-269)
  • 2:30 p.m.
    Stochastic games in infinite directed chain.
    Tomoyuki Ichiba*, University of California Santa Barbara
    (1157-60-166)
  • 3:00 p.m.
    Asymptotics of the log-normal SABR model.
    Dan Pirjol*, Stevens Institute of Technology, School of Business, Hoboken NJ
    Lingjiong Zhu, Florida State University, Department of Mathematics
    (1157-60-94)
  • 3:30 p.m.
    Intertemporal Consumption Optimization for Fund Managers under Taxation.
    Stephan Sturm, Worcester Polytechnic Institute
    Jiaxuan Ye*, Worcester Polytechnic Institute
    Gu Wang, Worcester Polytechnic Institute
    (1157-49-392)
  • 4:00 p.m.
    Continuous expansion of a filtration with a stochastic process: the information drift.
    Leo Neufcourt*, Michigan State University
    (1157-60-402)
• Sunday April 5, 2020, 8:00 a.m.-10:20 a.m.
  Special Session on Mathematical Finance and Actuarial Sciences, III
  Room 119, University Hall
  Organizers:
  Kiseop Lee, Purdue University kiseop@purdue.edu
  Jianxi Su, Purdue University
  Jose Figueora-Lopez, Washington University, St. Louis
  

  • 8:00 a.m.
    Asymptotic Properties Of Optimal Iterative Estimation Methods Of Volatility Using Truncated Realized Variations.
    Yuchen Han*, Washington University in St. Louis
    Jose Figueroa-Lopez, Washington University in St. Louis
    (1157-60-611)
  • 8:30 a.m.
    Optimum Thresholding Using Mean Square Error for Tempered-Stable-Like Lévy Models.
    José E. Figueroa-López, Washington University in St. Louis
    Ruoting Gong*, Illinois Institute of Technology
    Yuchen Han, Washington University in St. Louis
    (1157-60-185)
  • 9:00 a.m.
    Optimal Kernel Estimation of Spot Volatility with Leverage and Microstructure Noise Using Pre-Averaging.
    Bei Wu*, Washington University in St. Louis
    Jose Figueroa-Lopez, Washington University in St. Louis
    (1157-60-576)
  • 9:30 a.m.
    A simple microstructural explanation of concave price impact.
    Sergey Nadtochiy*, Illinois Institute of Technology
    (1157-91-426)
  • 10:00 a.m.
    Optimal Market Making Strategies with Random Linear Demand And Overnight Inventory Costs.
    Agostino Capponi, Columbia University
    Jose E. Figueroa-Lopez, Washington University in Saint Louis
    Chuyi Yu*, Washington University in Saint Louis
    (1157-60-555)
• Sunday April 5, 2020, 1:00 p.m.-3:20 p.m.
  Special Session on Mathematical Finance and Actuarial Sciences, IV
  Room 119, University Hall
  Organizers:
  Kiseop Lee, Purdue University kiseop@purdue.edu
  Jianxi Su, Purdue University
  Jose Figueora-Lopez, Washington University, St. Louis
  

  • 1:00 p.m.
    Pricing and Hedging Equity-Linked Life Insurance Contracts Beyond the Classical Paradigm: The Principle of Equivalent Forward Preferences.
    Wing Fung Chong*, Department of Mathematics and Department of Statistics, University of Illinois at Urbana-Champaign
    (1157-49-514)
  • 1:30 p.m.
    Optimal sampling schemes in fractional volatility models.
    Alexandra Chronopoulou*, University of Illinois, Urbana-Champaign
    (1157-62-425)
  • 2:00 p.m.
    Bond Prices with Insufficient Information.
    Prakash Chakraborty*, Purdue University
    Kiseop Lee, Purdue University
    (1157-60-399)
  • 2:30 p.m.
    Optimal execution with liquidity risk in a diffusive order book market.
    Kiseop Lee, Purdue University
    Hyoeun Lee*, University of Illinois at Urbana-Champaign
    (1157-60-249)
  • 3:00 p.m.
    Systemic Risk in Market Microstructure: A Hawkes Flocking Model Approach.
    Kiseop Lee*, Purdue University
    Hyunjin Jang, UNIST, Korea
    Kyungsub Lee, Yeungnam University
    (1157-60-398)

Inquiries: meet@ams.org

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