AMS Sectional Meeting AMS Special Session
Current as of Monday, July 10, 2017 10:39:11
Special Event or Lecture · Inquiries: meet@ams.org
Spring Central Sectional Meeting
Indiana University, Bloomington, IN
April 1-2, 2017 (Saturday - Sunday)
Meeting #1127
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Special Session on Financial Mathematics and Statistics
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Saturday April 1, 2017, 8:30 a.m.-11:20 a.m.
Special Session on Financial Mathematics and Statistics, I
BH204, Ballantine Hall
Organizers:
Ryan Gill, University of Louisville
Rasitha Jayasekera, Butler University
Kiseop Lee, Purdue University kiseop@purdue.edu
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8:30 a.m.
Generalized Barndorff-Nielsen and Shephard model with applications in financial swaps.
Indranil SenGupta*, North Dakota State University
(1127-60-51) -
9:00 a.m.
Consumption in Incomplete Markets.
Gu Wang*, Worcester Polytechnic Institute
Paolo Guasoni, Dublin City University
(1127-60-315) -
9:30 a.m.
Global Sensitivity Analysis and Model Robustness.
Giray Okten*, Florida State University
David Mandel, Florida State University
(1127-62-174) -
10:00 a.m.
Short Maturity Asian Options in Local Volatility Models.
Dan Pirjol, JP Morgan, New York, NY
Lingjiong Zhu*, Florida State University
(1127-91-62) -
10:30 a.m.
Market Models with Splits and Mergers.
Andrey Sarantsev*, University of California, Santa Barbara
Ioannis Karatzas, Columbia University
(1127-60-398) -
11:00 a.m.
Infinite sums of the geometric Brownian motion and generalizations.
Dan Pirjol*, JPM
Lingjiong Zhu, Florida State University
(1127-60-83)
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8:30 a.m.
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Saturday April 1, 2017, 3:00 p.m.-4:50 p.m.
Special Session on Financial Mathematics and Statistics, II
BH204, Ballantine Hall
Organizers:
Ryan Gill, University of Louisville
Rasitha Jayasekera, Butler University
Kiseop Lee, Purdue University kiseop@purdue.edu
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3:00 p.m.
An Equilibrium Network Model for Financial Contagion with Illiquid Assets.
Zachary Feinstein*, Washington University in St. Louis
(1127-91-61) -
3:30 p.m.
Assessment of variable contribution in model-based clustering through variation partition.
Xuwen Zhu*, The University of Louisville
(1127-62-89) -
4:00 p.m.
Optimal Investment, Indifference Pricing, and Dynamic Default Insurance for Defaultable Assets.
Scott P Robertson*, Questrom School of Business, Boston University
(1127-60-395) -
4:30 p.m.
Sensitivity analysis of long-term cash flows.
Hyungbin Park*, Worcester Polytechnic Institute
(1127-60-412)
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3:00 p.m.
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Sunday April 2, 2017, 8:30 a.m.-11:20 a.m.
Special Session on Financial Mathematics and Statistics, III
BH204, Ballantine Hall
Organizers:
Ryan Gill, University of Louisville
Rasitha Jayasekera, Butler University
Kiseop Lee, Purdue University kiseop@purdue.edu
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8:30 a.m.
Portfolio Optimization for Assets with Stochastic Dividends and Stochastic Volatility.
Tao Pang*, North Carolina State University
Katherine Varga, Cobank, Denver, Colorado
(1127-60-191) -
9:00 a.m.
A Diffusion Model for Compositional Data.
Lu Chen, Huntington Bank
Omar De la Cruz Cabrera, Kent State University
Oana Mocioalca*, Kent State University
(1127-60-166) -
9:30 a.m.
Informed Traders' Hedging with News Arrivals.
Kiseop Lee*, Purdue University
(1127-60-362) -
10:00 a.m.
Sets of Hypotheses.
Omar De la Cruz Cabrera*, Kent State University
(1127-62-411) -
10:30 a.m.
Generalized Stochastic Delay Models with Applications to Finance.
Lochana Siriwardena*, University of Indianapolis
(1127-60-256) -
11:00 a.m.
Optimal placement of a small order under a diffusive limit order book model.
Hyoeun Lee*, Purdue University
Jose E. Figueroa-Lopez, Washington University in St.Louis
Raghu Pasupathy, Purdue University
(1127-00-91)
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8:30 a.m.
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Sunday April 2, 2017, 1:00 p.m.-2:50 p.m.
Special Session on Financial Mathematics and Statistics, IV
BH204, Ballantine Hall
Organizers:
Ryan Gill, University of Louisville
Rasitha Jayasekera, Butler University
Kiseop Lee, Purdue University kiseop@purdue.edu
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1:00 p.m.
Modeling the Changes in the Minimum Gasoline Price using a Threshold Auto Regressive Model.
Rasitha R. Jayasekare*, Butler University
Ryan Gill, University of Louisville
Kiseop Lee, Purdue University
(1127-62-183) -
1:30 p.m.
Asymptotic properties of the MLE in a Poisson mixture model with applications.
Ryan Gill*, University of Louisville
Rasitha Jayasekare, Butler University
Kiseop Lee, Purdue University
(1127-62-301) -
2:00 p.m.
Short-Time Asymptotics for Options on Leveraged ETFs under Exponential L\'{e}vy Models with Local Volatility.
Jos\'{e} Enrique Figueroa-L\'{o}pez, Washington University in St. Louis
Ruoting Gong*, Illinois Institute of Technology
Matthew Lorig, University of Washington
(1127-60-67) -
2:30 p.m.
Optimum Thresholding for Semimartingales with Levy Jumps under the mean-square error.
Jose E. Figueroa-Lopez*, Washington University in St. Louis
Cecilia Mancini, University of Florence
(1127-62-352)
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1:00 p.m.
Inquiries: meet@ams.org