AMS Sectional Meeting Program by AMS Special Session
Current as of Sunday, March 27, 2011 00:23:13
Inquiries: meet@ams.org
2011 Spring Central Section Meeting
Iowa City, IA, March 18-20, 2011 (Friday - Sunday)
Meeting #1069
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Stochastic Processes with Applications to Mathematical Finance I
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Friday March 18, 2011, 2:30 p.m.-4:20 p.m.
Special Session on Stochastic Processes with Applications to Mathematical Finance I
Rm 205, MacLean Classroom Bldg
Organizers:
Igor Cialenco, Illinois Institute of Technology cialenco@iit.edu
José E. Figueroa-López, Purdue University
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2:30 p.m.
Modeling weak anticipations in a financial market.
Fabrice Baudoin*, Purdue University
(1069-60-113) -
3:30 p.m.
Harmonic Functions on Walsh's Brownian Motion.
Kristin E Jehring*, Saint Mary's College
(1069-60-122) -
4:00 p.m.
New Dynamic Performance Measures.
Zhao Zhang*, Illinois Institute of Technology
Tomasz Bielecki, Illinois Institute of Technology
Igor Cialenco, Illinois Institute of Technology
(1069-60-254)
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2:30 p.m.
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Saturday March 19, 2011, 8:00 a.m.-10:50 a.m.
Special Session on Stochastic Processes with Applications to Mathematical Finance II
Rm 205, MacLean Classroom Bldg
Organizers:
Igor Cialenco, Illinois Institute of Technology cialenco@iit.edu
José E. Figueroa-López, Purdue University
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8:00 a.m.
Application of Wavelets and Dynamical Systems Theory to Security Volatility.
Andrew Clark*, Thomson Reuters
(1069-37-09) -
8:30 a.m.
Multi-level Monte Carlo Algorithms for High-dimensional Option Pricing.
Ben Niu*, Department of Applied Mathematics, Illinois Institute of Technology
Fred Hickernell, Department of Applied Mathematics, Illinois Institute of Technology
(1069-60-75) -
9:00 a.m.
Pricing and Arbitrage in Markets with Transaction Costs.
Rodrigo Rodriguez*, Illinois Institute of Technology
Tomasz Bielecki, Illinois Institute of Technology
Igor Cialenco, Illinois Institute of Technology
(1069-60-244) -
9:30 a.m.
Pricing American Options without Smooth Pasting.
Arun Chockalingam*, Purdue University
Shaunak Dabadhghao, Purdue University
(1069-49-281) -
10:00 a.m.
Market crashes through the drawdown and its speed (Part I).
Hongzhong Zhang, Department of Statistics, Columbia University
Olympia Hadjiliadis*, Department of Mathematics, Brooklyn College and teh Graduate Center, C.U.N.Y.
(1069-60-165) -
10:30 a.m.
Market crashes through the drawdown and its speed (Part II).
Hongzhong Zhang*, Statistics Department, Columbia University
Olympia Hadjiliadis, Department of Mathematics, Brooklyn College and the Graduate Center, C.U.N.Y.
(1069-60-166)
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8:00 a.m.
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Saturday March 19, 2011, 2:30 p.m.-5:20 p.m.
Special Session on Stochastic Processes with Applications to Mathematical Finance III
Rm 205, MacLean Classroom Bldg
Organizers:
Igor Cialenco, Illinois Institute of Technology cialenco@iit.edu
José E. Figueroa-López, Purdue University
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2:30 p.m.
Counterparty Risk and the Impact of Collateralization in CDS Contracts.
Ismail Iyigunler*, Illinois Institute of Technology
Tomasz Bielecki, Illinois Institute of Technology
Igor Cialenco, Illinois Institute of Technology
(1069-60-245) -
3:00 p.m.
Asymptotics of Implied Volatility in Extreme Regimes.
Roger Lee*, University of Chicago
(1069-91-318) -
3:30 p.m.
Contracting with Noisy Observations and Misreporting.
Agostino Capponi*, Purdue University
Jaksa Cvitanic, California Institute of Technology
(1069-60-16) -
4:00 p.m.
Valuation of Interest Rate Derivatives under Credit Risk and Illiquidity.
Geoffrey R Harris*, Stuart School of Business, Illinois Institute of Technology
Tao L Wu, Stuart School of Business, Illinois Institute of Technology
(1069-60-143) -
4:30 p.m.
Monitoring error of the supremum of a Lévy process.
Ao Chen, University of Illinois at Urbana-Champaign
Liming Feng*, University of Illinois at Urbana-Champaign
Renming Song, University of Illinois at Urbana-Champaign
(1069-60-130) -
5:00 p.m.
The small-maturity smile for exponential Lévy models.
Jose E. Figueroa-Lopez*, Purdue University
Martin Forde, Dublin City University
(1069-60-214)
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2:30 p.m.
Inquiries: meet@ams.org