AMS Sectional Meeting AMS Special Session
Current as of Saturday, October 10, 2015 03:30:10
Special Event or Lecture · Inquiries: meet@ams.org
Central Fall Sectional Meeting
Loyola University Chicago, Chicago, IL
October 2-4, 2015 (Friday - Sunday)
Meeting #1112
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Stochastic Analysis With Applications to Quantitative Finance
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Saturday October 3, 2015, 8:30 a.m.-10:50 a.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, I
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology
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8:30 a.m.
Dynamic Conic Finance via Backward Stochastic Difference Equations.
Tomasz R Bielecki*, Illinois Institute of Technology
Igor Cialenco, Illinois Institute of Technology
Tao Chen, Illinois Institute of Technology
(1112-91-339) -
9:00 a.m.
Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments.
Xiang Yu*, The University of Michigan
(1112-60-568) -
9:30 a.m.
Multiportfolio Time Consistency of Multivariate Dynamic Risk Measures and Equivalent Formulations.
Zachary Feinstein*, Washington University in St. Louis
Birgit Rudloff, Vienna University of Economics and Business
(1112-60-297) -
10:00 a.m.
Optimal Investment for Large Positions in Contingent Claims, A Gartner-Ellis Approach.
Scott P Robertson*, Carnegie Mellon University
(1112-60-602) -
10:30 a.m.
Robust Replication of Variance Derivatives.
Oleg Bondarenko*, University of Illinois at Chicago
(1112-91-648)
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8:30 a.m.
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Saturday October 3, 2015, 2:30 p.m.-4:50 p.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, II
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology
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2:30 p.m.
How Leverage Shifts and Scales a Volatility Skew: Asymptotics for Continuous and Jump Dynamics.
Roger Lee*, University of Chicago, Department of Mathematics
Ruming Wang, University of Chicago, Department of Statistics
(1112-60-663) -
3:00 p.m.
Extreme-strike asymptotics for general Gaussian stochastic volatility models.
Archil Gulisashvili, Department of Mathematics, Ohio University
Frederi Viens, Department of Statistics, Purdue University
Xin Zhang*, Department of Mathematics, Purdue University
(1112-60-540) -
3:30 p.m.
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity.
Jose E. Figueroa-Lopez*, Department of Mathematics, Washington University
Yankeng Luo, Department of Mathematics, Purdue University
(1112-60-534) -
4:00 p.m.
On small time asymptotics for rough differential equations driven by fractional Brownian motions.
Fabrice Baudoin, Purdue University
Cheng Ouyang*, University of Illinois at Chicago
(1112-60-417) -
4:30 p.m.
Short-term asymptotic properties of option prices and implied volatility under financial models with jumps.
Sveinn Ólafsson*, Purdue University
(1112-60-367)
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2:30 p.m.
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Sunday October 4, 2015, 8:30 a.m.-10:50 a.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, III
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology
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8:30 a.m.
Modeling the behavior of a large production firm in cap-and-trade emission market.
Arash Fahim*, Florida State University
Nizar Touzi, Ecole Polytechnique
(1112-91-273) -
9:00 a.m.
Risk Sensitive Control of the Lifetime Ruin Problem.
Asaf Cohen*, Assistant Professor, Department of Mathematics, University of Michigan, Ann Arbor
Erhan Bayraktar, Professor, Department of Mathematics, University of Michigan, Ann Arbor
(1112-60-55) -
9:30 a.m.
Forward-Backward SDEs for Control with Partial Information.
Andrew Papanicolaou*, NYU
(1112-60-38) -
10:00 a.m.
Endogenous Formation of Limit Order Books: The Effects of Trading Frequency.
Sergey Nadtochiy*, University of Michigan
Roman Gayduk, University of Michigan
(1112-60-384) -
10:30 a.m.
Cost efficiency in incomplete markets.
Carole Bernard, Grenoble Ecole de Management
Stephan Sturm*, Worcester Polytechnic Institute
(1112-91-281)
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8:30 a.m.
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Sunday October 4, 2015, 1:30 p.m.-3:50 p.m.
Special Session on Stochastic Analysis With Applications to Quantitative Finance, IV
Room 415, Mundelein Center
Organizers:
Igor Cialenco, Illinois Institute of Technology igor@math.iit.edu
Ruoting Gong, Illinois Institute of Technology
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1:30 p.m.
Uncovering the Transition Density of Multivariate Markovian Diffusions.
François Guay, Boston University
Gustavo Schwenkler*, Boston University
(1112-60-418) -
2:00 p.m.
Insiders' hedging in a stochastic volatility model.
Kiseop Lee*, University of Louisville
Sang-Hyeon Park, Korea
(1112-60-118) -
2:30 p.m.
Quantile Hedging in a Semi-Static Market with Model Uncertainty.
Gu Wang*, Worcester Polytechnic Institute
Erhan Bayraktar, University of Michigan at Ann Arbor
(1112-91-582) -
3:00 p.m.
Modeling interest rates with the zero lower bound: applications of diffusions with sticky boundaries.
Vadim Linetsky, Northwestern University
Yutian Nie*, Northwestern University
(1112-60-283) -
3:30 p.m.
Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences.
Ruoting Gong*, Illinois Institute of Technology
Christian Houdre, Georgia Institute of Technology
Juri Lember, University of Tartu
(1112-60-405)
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1:30 p.m.
Inquiries: meet@ams.org