AMS Sectional Meeting AMS Special Session
Current as of Sunday, March 22, 2015 03:30:12
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Central Spring Sectional Meeting
Michigan State University, East Lansing, MI
March 1415, 2015 (Saturday  Sunday)
Meeting #1108
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Recent Advances in Mathematical Modeling of the Financial Markets

Saturday March 14, 2015, 8:30 a.m.10:50 a.m.
Special Session on Recent Advances in Mathematical Modeling of the Financial Markets, I
Room A320, Wells Hall
Organizers:
Albert Cohen, Michigan State University albert@math.msu.edu
Nick Costanzino, University of Toronto
Emiliano Valdez, Michigan State University

8:30 a.m.
Taylor approximation of incomplete Radner equilibrium models.
Jin Hyuk Choi*, Carnegie Mellon University
Kasper Larsen, Carnegie Mellon University
(110891143)

9:00 a.m.
Bond and CDS Pricing with Stochastic Recovery: Moody's PDLGD Correlation Model.
Albert Cohen*, Michigan State University (Department of Mathematics and Department of Statistics and Probability)
Nick Costanzino, RiskLab (University of Toronto)
(110860113)

9:30 a.m.
Optimal execution with uncertain order fills.
TaiHo Wang*, Baruch College, CUNY
Xue Cheng, Peking University
(110849134)

10:00 a.m.
Pricing Recovery Swaps in the MadanBakshiZhang Framework.
Nick Costanzino*, RiskLab, University of Toronto
(11086077)

10:30 a.m.
Can one price Eurodollar futures in the BlackDermanToy model?
Dan Pirjol*,
(11086026)

Saturday March 14, 2015, 2:30 p.m.4:50 p.m.
Special Session on Recent Advances in Mathematical Modeling of the Financial Markets, II
Room A320, Wells Hall
Organizers:
Albert Cohen, Michigan State University albert@math.msu.edu
Nick Costanzino, University of Toronto
Emiliano Valdez, Michigan State University

2:30 p.m.
Pricing of variance and volatility swap for financial derivatives.
Semere Habtemicael*, North Dakota State University
Indranil SenGupta, North Dakota State University
(11086040)

3:00 p.m.
Purchasing Term Life Insurance to Reach a Bequest while Consuming.
Erhan Bayraktar, Department of Mathematics, University of Michigan
S. David Promislow, Department of Mathematics, York University
Virginia R. Young*, Department of Mathematics, University of Michigan
(110860272)

3:30 p.m.
Pension Finance and the Fall and Rise of Detroit City Government.
Eric Scorsone*, Michigan State University
(110891443)

4:00 p.m.
Backtesting General Spectral Risk Measures with Application to Expected Shortfall.
Michael Curran*, Bank of Montreal
(11086063)

4:30 p.m.
Cumulative prospect theory with skewed return distribution.
Minsuk Kwak, McMaster University
Traian A Pirvu*, McMaster University
(110891460)

Sunday March 15, 2015, 8:00 a.m.10:50 a.m.
Special Session on Recent Advances in Mathematical Modeling of the Financial Markets, III
Room A320, Wells Hall
Organizers:
Albert Cohen, Michigan State University albert@math.msu.edu
Nick Costanzino, University of Toronto
Emiliano Valdez, Michigan State University

8:00 a.m.
Mean Field Game Approach to Production and Exploration of Exhaustible Commodities.
Xuwei Yang*, Department of Statistics and Applied Probability, University of California, Santa Barbara
(110891242)

8:30 a.m.
Model Molding for Exposure Computations.
Harvey Stein*, Bloomberg LP
(11086062)

9:00 a.m.
Systematic Risk and Yield Premiums in the Bond Market.
J Austin Murphy*, Oakland University
Terry Benzschawel, Citibank
Liang Fu, Oakland University
(11086565)

9:30 a.m.
A Constructive Approach to Local Volatility Models.
Gerard P Brunick*, Constellation Energy
(110860572)

10:00 a.m.
Variable Volatility and Financial Failure.
Peter Carr, New York University
Lingjiong Zhu*, University of Minnesota
(110860286)

10:30 a.m.
Regulatory Concerns Related to CoCo Bonds  Mathematical Modeling.
Adam Metzler*, Wilfrid Laurier University
(110800383)

Sunday March 15, 2015, 1:30 p.m.1:50 p.m.
Special Session on Recent Advances in Mathematical Modeling of the Financial Markets, IV
Room A320, Wells Hall
Organizers:
Albert Cohen, Michigan State University albert@math.msu.edu
Nick Costanzino, University of Toronto
Emiliano Valdez, Michigan State University
Inquiries: meet@ams.org