AMS Sectional Meeting AMS Special Session
Current as of Saturday, April 11, 2020 03:30:04
Spring Central Sectional Meeting
- Purdue University, West Lafayette, IN
- April 4-5, 2020 (Saturday - Sunday)
- Meeting #1157
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Mathematical Finance and Actuarial Sciences
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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
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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)
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8:30 a.m.
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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
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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)
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2:00 p.m.
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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
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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)
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8:00 a.m.
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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
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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)
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1:00 p.m.
Inquiries: meet@ams.org