Joint Mathematics Meetings Program by Special Session
Current as of Wednesday, January 16, 2008 00:26:57
Program 
Deadlines 
Timetable 
Inquiries: meet@ams.org
Joint Mathematics Meetings
San Diego, CA, January 69, 2008 (Sunday  Wednesday)
Meeting #1035
Associate secretaries:
Michel L Lapidus, AMS lapidus@math.ucr.edu, lapidus@mathserv.ucr.edu
James J Tattersall, MAA tat@providence.edu
AMS Special Session on Financial Mathematics

Tuesday January 8, 2008, 8:00 a.m.10:55 a.m.
AMS Special Session on Financial Mathematics, I
Organizers:
JeanPierre Fouque, University of California Santa Barbara fouque@pstat.ucsb.edu
Kay Giesecke, Stanford University
Ronnie Sircar, Princeton University
Knut Solna, University of California Irvine

8:00 a.m.
Extracting and Using Credit Information in Hybrid Models.
Sanjiv R Das*, Santa Clara University
(103591466)

9:00 a.m.
TwoDimensional Markovian Model for Dynamics of Aggregate Credit Loss.
Andrei Lopatin*, NumeriX LLC
Timur Misirpashaev, Merrill Lynch
(103560566)

9:30 a.m.
Multiname and Multiscale Default Modeling.
Knut Solna*, University of California at Irvine
(1035601315)

10:00 a.m.
Calibration of portfolio credit risk models: solution of an inverse problem via intensity control.
Rama Cont*, Columbia University
Andreea Minca, Ecole Polytechnique
(103560535)

10:30 a.m.
Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model.
Damiano Brigo*, QSCI, Derivativefitch, Fitch Ratings QFR, London
(103560567)

Tuesday January 8, 2008, 1:00 p.m.5:55 p.m.
AMS Special Session on Financial Mathematics, II
Organizers:
JeanPierre Fouque, University of California Santa Barbara fouque@pstat.ucsb.edu
Kay Giesecke, Stanford University
Ronnie Sircar, Princeton University
Knut Solna, University of California Irvine

1:00 p.m.
Toric models for correlated defaults.
Xin Guo*, UC Berkeley
Onur Filiz, UC Berkeley
Jason Morton, UC Berkeley
Bernd Sturmfels, UC Berkeley
(1035601554)

1:30 p.m.
Modeling dependence between stochastic processes with applications to finance.
Tomasz R Bielecki*, Illinois Institute of Technology
Jacek Jakubowski, Warsaw University
Andrea Vidozzi, Illinois Institute of Technology
Luca Vidozzi, Illinois Institute of Technology
(1035601365)

2:00 p.m.
Local Volatility Stochastic Dynamics as a Building Block for Equity Market Models.
Rene A Carmona*, Princeton University
(103560308)

3:00 p.m.
Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models.
Alan L. Lewis*, optioncity.net
(103560203)

3:30 p.m.
Multiscale Stochastic Volatility Diffusion Models.
JeanPierre Fouque, U.C. Santa Barbara
George Papanicolaou, Stanford University
Ronnie Sircar*, Princeton University
Knut Solna, U.C. Irvine
(1035911368)

4:00 p.m.
Developments in Volatility Derivatives Pricing.
Jim Gatheral*, Merrill Lynch, NY and Courant Institute of Mathematical Sciences, NYU
(103591356)

5:00 p.m.
Hedging Variance Options on Continuous Semimartingales.
Roger Lee*, University of Chicago
(103560297)

5:30 p.m.
On the Finite Time Horizon American Put Option for Jump Diffusions: A Smoothness Proof and an Exponentially Fast Algorithm.
Erhan Bayraktar*, University of Michigan
(103560252)

Wednesday January 9, 2008, 8:00 a.m.10:55 a.m.
AMS Special Session on Financial Mathematics, III
Organizers:
JeanPierre Fouque, University of California Santa Barbara fouque@pstat.ucsb.edu
Kay Giesecke, Stanford University
Ronnie Sircar, Princeton University
Knut Solna, University of California Irvine

8:00 a.m.
Inverse problems in option pricing: a probabilistic solution via random mixtures of martingales.
Rama Cont*, Columbia University
(103560363)

9:00 a.m.
On a second order numerical scheme for computing exercise regions of American lookback options.
Stephane Villeneuve*, Department of Statistics and Applied Probability University of California Santa Barbara and Toulouse School of economics
Antonino Zanette, Dipartimento di Finanza d'ell impresa e dei mercati Finanziari universita di Udine
(103565545)

9:30 a.m.
Markovian projection on stochastic volatility models.
Alexandre Antonov, NumeriX
Timur Misirpashaev*, Merrill Lynch
Vladimir Piterbarg, Barclays Capital
(103560372)

10:00 a.m.
Putting Your Money Where Your Mouth Is: The Effect of Commitment and Competition on Mutual Fund Allocations.
Ron Kaniel, Duke University
Stathis Tompaidis*, University of Texas at Austin
Ti Zhou, University of Texas at Austin
(103591364)

10:30 a.m.
A Multi Time Scale Microstructure Model  An Empirical Study.
Zhifeng Zhang*, LaBranche Structured Products, LLC
(103562702)

Wednesday January 9, 2008, 1:00 p.m.5:55 p.m.
AMS Special Session on Financial Mathematics, IV
Organizers:
JeanPierre Fouque, University of California Santa Barbara fouque@pstat.ucsb.edu
Kay Giesecke, Stanford University
Ronnie Sircar, Princeton University
Knut Solna, University of California Irvine

1:00 p.m.
Stochastic partial differential equations and portfolio choice.
Marek Musiela, BNP Paribas
Thaleia Zariphopoulou*, University of Texas at Austin
(1035601416)

2:00 p.m.
Interacting Particle Systems for the Efficient Computation of CDO Tranche Spreads with Rare Defaults.
Doug Vestal*, UC Santa Barbara
Rene Carmona, Princeton University
JeanPierre Fouque, UC Santa Barbara
(103560125)

2:30 p.m.
Monte Carlo Simulations with Skews of Implied Volatilities.
JeanPierre Fouque*, University of California Santa Barbara
Ronnie Sircar, ORFE, Princeton University
Knut Solna, University of California Irvine
(103560389)

3:00 p.m.
Investing and Pricing for the Long Run.
Paolo Guasoni*, Boston University
Scott Robertson, Boston University
(103591527)

3:30 p.m.
A new approach to singular stochastic control with applications to optimal hedging and investmentconsumption under transaction costs.
Tze Leung Lai, Department of Statistics, Stanford University
Tiong Wee Lim, Department of Statistics and Applied Probability, National University of Singapore
Kevin J Ross*, Stanford University
(103560595)

4:00 p.m.
Optimal portfolio liquidation: market impact models, algorithms, and competition.
Aurélien Alfonsi, Ecole Nationale des Ponts et Chaussées, Marnelavallée, France
Alexander Schied*, TU Berlin and Cornell University
Torsten Schöneborn, QP Lab and TU Berlin, Germany
Antje Schulz, QP Lab and TU Berlin, Germany
(103590274)

5:00 p.m.
Indifference Pricing with $L^2$ convex risk measures: a first step towards risk calibration.
Antoine Toussaint*, Stanford Unviersity
(1035601161)

5:30 p.m.
The correlationneutral measure for counting processes.
Kay Giesecke*, Stanford University, Department of Management Science and Engineering
(103560497)
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Inquiries: meet@ams.org