AMS :: Joint Mathematics Meetings, Program by Special Session
Joint Mathematics Meetings Program by Special Session
Current as of Saturday, January 13, 2007 12:54:12
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Joint Mathematics Meetings
New Orleans, LA, January 5-8, 2007 (Friday - Monday)
Meeting #1023
Associate secretaries: Susan J Friedlander , AMS susan@math.northwestern.edu
James J Tattersall , MAA tat@providence.edu
AMS Special Session on Financial Mathematics
Friday January 5, 2007, 8:00 a.m.-10:55 a.m. AMS Special Session on Financial Mathematics, I
Organizers: Jean-Pierre Fouque , University of California Santa Barbara
Craig A. Nolder , Florida State University nolder@math.fsu.edu
Knut Solna , University of California Irvine
Thaleia Zariphopoulou , University of Texas Austin
Friday January 5, 2007, 2:15 p.m.-5:10 p.m. AMS Special Session on Financial Mathematics, II
Organizers: Jean-Pierre Fouque , University of California Santa Barbara
Craig A. Nolder , Florida State University nolder@math.fsu.edu
Knut Solna , University of California Irvine
Thaleia Zariphopoulou , University of Texas Austin
Saturday January 6, 2007, 8:00 a.m.-11:55 a.m. AMS Special Session on Financial Mathematics, III
Organizers: Jean-Pierre Fouque , University of California Santa Barbara
Craig A. Nolder , Florida State University nolder@math.fsu.edu
Knut Solna , University of California Irvine
Thaleia Zariphopoulou , University of Texas Austin
8:00 a.m.
Pricing and Trading Credit Default Swaps.
Tomasz R. Bielecki* , Illinois Institute of Technology
Monique Jeanblanc , Universite d'Evry Val d'Essonne
Marek Rutkowski , University of New South Wales
(1023-60-1045)
9:00 a.m.
Markovian Projection in the Problems of Credit Basket Modeling.
Timur Misirpashaev* , NumeriX LLC
Andrei Lopatin , NumeriX LLC
(1023-60-426)
9:30 a.m.
Optimal stopping in regime switching L\'evy models, with applications to American options and real options.
Svetlana Boyarchenko , The University of Texas at Austin
Sergei Levendorski\v{i}* , The University of Texas at Austin
(1023-60-630)
10:00 a.m.
Option Pricing with Parsimonious Time-inhomogeneous Additive Models.
Mack L. Galloway* , Florida State University
Craig Nolder , Florida State University
(1023-60-1051)
10:30 a.m.
Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
Frederik S. Herzberg* , Universitaet Bonn
(1023-91-37)
11:00 a.m.
Pricing credit default swaps under a Markov-modulated structural model.
Tak Kuen Siu , Heriot-Watt University
Rogemar Mamon* , University of Western Ontario
Christina Erlwein , Brunel University
(1023-91-660)
11:30 a.m.
The Non-Markovian Approach to the Valuation and Hedging of European Contingent Claims on Power with Scaling Spikes.
Valery A. Kholodnyi* , Middle Tennessee State University
(1023-90-933)
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Inquiries: meet@ams.org