AMS Sectional Meeting AMS Special Session
Current as of Sunday, March 26, 2023 03:30:04
2023 Spring Southeastern Sectional Meeting
- Georgia Institute of Technology, Atlanta, GA
- March 18-19, 2023 (Saturday - Sunday)
- Meeting #1184
Associate Secretary for the AMS Scientific Program:
Brian D. Boe, University of Georgia brian@math.uga.edu
Special Session on Advances in Mathematical Finance and Optimization
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Saturday March 18, 2023, 8:00 a.m.-11:00 a.m.
Special Session on Advances in Mathematical Finance and Optimization, I
257, Skiles Classroom Building
Organizers:
Ibrahim Ekren, Florida State University iekren@fsu.edu
Arash Fahim, Florida State University
Lingjiong Zhu, Florida State University
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8:00 a.m.
Mean-variance portfolio optimization in the high dimensional, low sample size regime
Alec N Kercheval*, Florida State University
(1184-91-23103) -
8:30 a.m.
An efficient Monte Carlo algorithm based on the control variate method for pricing barrier options
Connor Ryan Johnston*, Florida State University
Giray Okten, Florida State University
(1184-91-23686) -
9:00 a.m.
Fire Sales and Default Cascade Process in Stochastic Financial Networks
Hamed Amini*, University of Florida
Zhongyuan Cao, INRIA Paris
Agnes Sulem, INRIA Paris
(1184-60-23428) -
9:30 a.m.
Predictable Forward Performance Processes in Complete Markets
Bahman Angoshtari*, University of Miami
(1184-91-23201) -
10:00 a.m.
Total positivity and option pricing
Paul Glasserman, Columbia University
Dan Pirjol*, Stevens Institute of Technology
(1184-60-23171) -
10:30 a.m.
A lead-lag analysis of intraday and overnight returns
Jiwon Jung*, Purdue University
Kiseop Lee, Purdue University
Tim Leung, University of Washington
(1184-62-23209)
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8:00 a.m.
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Saturday March 18, 2023, 3:00 p.m.-5:00 p.m.
Special Session on Advances in Mathematical Finance and Optimization, II
257, Skiles Classroom Building
Organizers:
Ibrahim Ekren, Florida State University iekren@fsu.edu
Arash Fahim, Florida State University
Lingjiong Zhu, Florida State University
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3:00 p.m.
Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
Jiongmin Yong*, University of Central Florida
(1184-49-23106) -
3:30 p.m.
Mean viability theorems and second-order Hamilton-Jacobi equations
Christian Keller*, University of Central Florida
(1184-60-23215) -
4:00 p.m.
The impact of the fee structure on the optimal investment strategies of variable annuity policyholders.
Anne MacKay, Sherbrooke University
Adriana Ocejo Ocejo*, UNC Charlotte
(1184-49-23491) -
4:30 p.m.
Rejection Sampling for Tempered Lévy Processes and Related OU Processes
Michael Grabchak*, UNC Charlotte
(1184-60-23205)
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3:00 p.m.
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Sunday March 19, 2023, 8:00 a.m.-11:00 a.m.
Special Session on Advances in Mathematical Finance and Optimization, III
257, Skiles Classroom Building
Organizers:
Ibrahim Ekren, Florida State University iekren@fsu.edu
Arash Fahim, Florida State University
Lingjiong Zhu, Florida State University
-
8:00 a.m.
Partial-Information Learning Algorithms in General-Sum Nash Games
Andrew Papanicolaou*, NCSU Math Department
(1184-91-23203) -
8:30 a.m.
Stackelberg Reinsurance Chain under Model Ambiguity
Bin Zou*, UNIVERSITY OF CONNECTICUT
(1184-91-23104) -
9:00 a.m.
A unified approach to informed trading via Monge-Kantorovich duality
Reda Chhaibi, Université Paul Sabatier, Institut de Mathématiques de Toulouse
Ibrahim Ekren, Florida State University
Eunjung Noh*, Florida State University
Lu Vy, Florida State University
(1184-91-23078) -
9:30 a.m.
Kyle-Back models with risk aversion and non-Gaussian beliefs
Shreya Bose*, Florida State University
Ibrahim Ekren, Florida State University
(1184-60-23217) -
10:00 a.m.
IV Curves in the Kyle-Back model with stochastic liquidity
Ibrahim Ekren, Florida State University
Brad Mostowski*, Florida State University
Gordan Žitković, University of Texas at Austin
(1184-91-23231) -
10:30 a.m.
Strategic liquidity provision with different inventory risks
Ibrahim Ekren, Florida State University
Liwei Huang*, Florida State University
(1184-91-23703)
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8:00 a.m.
Inquiries: meet@ams.org