AMS Sectional Meeting AMS Special Session
Current as of Friday, April 1, 2016 03:30:07
Special Event or Lecture · Inquiries: meet@ams.org
Spring Southeastern Sectional Meeting
University of Georgia, Athens, GA
March 5-6, 2016 (Saturday - Sunday)
Meeting #1117
Associate secretaries:
Brian D. Boe, AMS brian@math.uga.edu
Special Session on Financial Mathematics
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Saturday March 5, 2016, 8:30 a.m.-10:50 a.m.
Special Session on Financial Mathematics, I
Room 147, Miller Learning Center
Organizers:
Arash Fahim, Florida State University
Alec Kercheval, Florida State University kercheva@math.fsu.edu
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8:30 a.m.
Time-Inconsistent Optimal Control Problems.
Jiongmin Yong*, University of Central Florida
(1117-93-123) -
9:00 a.m.
Risk-averse chance optimization with buffered probability of exceedance.
Alexander Mafusalov*, University of Florida
Stan Uryasev, University of Florida
(1117-90-330) -
9:30 a.m.
Optimal Investment in a Dual Risk Model.
Arash Fahim, Florida State University
Lingjiong Zhu*, Florida State University
(1117-91-250) -
10:00 a.m.
Numerical Methods for Backward SDEs for Control with Partial Information.
Andrew L Papanicolaou*, NYU Tandon School of Engineering
(1117-60-10) -
10:30 a.m.
A class of globally solvable systems of BSDE and incomplete stochastic equilibria.
Gordan {Ž}itkovi{ć}*, The University of Texas at Austin
Hao Xing, London School of Economics
(1117-60-108)
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8:30 a.m.
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Saturday March 5, 2016, 2:00 p.m.-4:50 p.m.
Special Session on Financial Mathematics, II
Room 147, Miller Learning Center
Organizers:
Arash Fahim, Florida State University
Alec Kercheval, Florida State University kercheva@math.fsu.edu
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2:00 p.m.
Stability of Utility Maximization in Nonequivalent Markets.
Kim Weston*, Carnegie Mellon University
(1117-60-150) -
2:30 p.m.
TALK CANCELLED: Mathematical modeling of portfolios with default risk.
Ambar N Sengupta*, Louisiana State University
(1117-60-135) -
3:00 p.m.
Analytically Tractable Structural Credit Risk Model --- A New Framework.
Chun-Yuan Chiu*, Department of Mathematics, Florida State University
(1117-60-249) -
3:30 p.m.
Break -
4:00 p.m.
Predictable Forward Investment Preferences.
Bahman Angoshtari*, University of Michigan, Department of Mathematics
Thaleia Zariphopoulou, Department of Mathematics, and Information, Risk and Operations Management, The University of Texas at Austin
Xun Yu Zhou, Mathematical Institute and Nomura Center for Mathematical Finance, and the Oxford-Man Institute of Quantitative Finance
(1117-60-106) -
4:30 p.m.
Modeling Dependent Outages of Electricity Generators.
Vishwakant Malladi, University of Texas at Austin
Rafael Mendoza-Arriaga, University of Texas at Austin
Stathis Tompaidis*, University of Texas at Austin
(1117-91-327)
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2:00 p.m.
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Sunday March 6, 2016, 8:30 a.m.-10:45 a.m.
Special Session on Financial Mathematics, III
Room 147, Miller Learning Center
Organizers:
Arash Fahim, Florida State University
Alec Kercheval, Florida State University kercheva@math.fsu.edu
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8:30 a.m.
The Informational Content of Inventory Announcements: Intraday Evidence from Crude Oil Futures Market.
Shiyu Ye, The University of Georgia
Berna Karali*, The University of Georgia
(1117-91-109) -
9:00 a.m.
On modeling and analysis of continuous-time stochastic games.
Mihai Sirbu*, The University of Texas at Austin
(1117-60-148) -
9:30 a.m.
Moment explosions in discrete time stochastic processes.
Dan Pirjol*, New York City, NY
Lingjiong Zhu, Florida State University
(1117-60-103) -
10:00 a.m.
Long-term behavior of optimal investments under forward performance criteria.
Thaleia Zariphopoulou*, The University of Texas at Austin
(1117-93-25)
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8:30 a.m.
Inquiries: meet@ams.org