Joint Mathematics Meetings Program by Special Session

Current as of Saturday, January 13, 2007 12:54:12

Joint Mathematics Meetings
New Orleans, LA, January 5-8, 2007 (Friday - Monday)
Meeting #1023

• 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
  

  • 8:00 a.m.
    Indifference prices and convex risk measures in Orlicz spaces.
    Marco Frittelli*, Università degli Studi di Milano, Italy
    (1023-60-614)
  • 9:00 a.m.
    Stability of utility maximization.
    Gordan Zitkovic*, University of Texas at Austin
    Kasper Larsen, Carnegie Mellon University
    (1023-91-659)
  • 9:30 a.m.
    Correspondence between Lifetime Minimum Wealth and Utility of Consumption.
    Erhan Bayraktar*, University of Michigan
    (1023-60-1396)
  • 10:00 a.m.
    Asymptotic analysis of utility-based hedging strategies for small number of contingent claims.
    Dmitry Kramkov, Carnegie Mellon University
    Mihai Sirbu*, Columbia University
    (1023-90-581)
  • 10:30 a.m.
    Dynamic monetary risk measures in discrete time.
    Patrick Cheridito*, Princeton University
    Michael Kupper, Technical University Vienna
    (1023-91-828)
• 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
  

  • 2:15 p.m.
    Arbitrage Bounds for Volatility Derivatives and the Skorokhod embedding Problem.
    Bruno Dupire*, Bloomberg
    (1023-60-1703)
  • 3:15 p.m.
    Small-time and tail asymptotics for diffusion and time-changed diffusion processes.
    Martin S Forde*, UCBS
    (1023-60-1404)
  • 3:50 p.m.
    Mathematical Foundation for Technial Analysis of Stock price.
    Wei Liu, Department of Statistics, East China Normal University, Shanghai
    Weian Zheng*, University of California Irvine
    (1023-60-892)
  • 4:45 p.m.
    Pricing credit from the top down with affine point processes.
    Eymen Errais*, Stanford University and Synthetic CDO Trading
    Kay Giesecke, Stanford University, Department of Management Science and Engineering
    (1023-60-569)
• 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)