Joint Mathematics Meetings AMS Special Session
Current as of Saturday, January 16, 2016 03:30:11
Joint Mathematics Meetings
Washington State Convention Center and the Sheraton Seattle Hotel, Seattle, WA
January 6-9, 2016 (Wednesday - Saturday)
Meeting #1116
Associate secretaries:
Michel L Lapidus, AMS lapidus@math.ucr.edu, lapidus@mathserv.ucr.edu
Gerard A. Venema, MAA venema@calvin.edu
AMS Special Session on Problems and Challenges in Financial Engineering and Risk Management
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Friday January 8, 2016, 1:00 p.m.-5:50 p.m.
AMS Special Session on Problems and Challenges in Financial Engineering and Risk Management, I
Chelan 2, Chelan Level Two, Washington State Conference Center
Organizers:
Matthew Lorig, University of Washington, Seattle
Haijun Li, Washington State University, Pullman
Hong-Ming Yin, Washington State University, Pullman hyin@wsu.edu
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1:00 p.m.
How Leverage Transforms a Volatility Skew: Asymptotics for Continuous and Jump Dynamics.
Roger Lee*, University of Chicago
Ruming Wang, Goldman Sachs
(1116-60-2595) -
1:30 p.m.
Dynamic Conic Finance via Backward Stochastic Difference Equations.
Tomasz R Bielecki*, Illinois Institute of Technology
Igor Cialenco, Illinois Institute of Technology
Tao Chen, Illinois Institute of Technology
(1116-91-2100) -
2:00 p.m.
Universal portfolios in stochastic portfolio theory.
Ting Kam Leonard Wong*, University of Washington
(1116-60-2326) -
2:30 p.m.
Optimal Investment with Transaction Costs and Stochastic Volatility.
Maxim Bichuch*, Johns Hopkins University
Ronnie Sircar, Princeton University
(1116-60-247) -
3:00 p.m.
Regularly Varying Asymptotics for Tail Risk.
Haijun Li*, Washington State University
(1116-91-2978) -
3:30 p.m.
Pricing covariance swaps in Lévy driven market.
Indranil SenGupta*, North Dakota State University
Semere Habtemicael, North Dakota State University
(1116-60-331) -
4:00 p.m.
Rank-based markets with model uncertainty.
Tomoyuki Ichiba*, University of California, Santa Barbara
(1116-60-1675) -
4:30 p.m.
Quickest detection in the Wiener disorder problem with post-change drift uncertainty.
Heng Yang, Mathematics Department CUNY Graduate Center
Olympia Hadjiliadis*, Hunter College and the Graduate Center
Michael Ludkovski, University of California, Santa Barbara
(1116-60-698) -
5:00 p.m.
Asymptotic Methods for Portfolio Optimization Problems with Stochastic Volatility.
Jean-Pierre Fouque, University of California, Santa Barbara
Ruimeng Hu*, University of California, Santa Barbara
(1116-60-1942) -
5:30 p.m.
Regime Switching Model for Economic Crisis and Stock Selection.
Nguyet T. Nguyen*, Youngstown State University, OH
Dung A. Nguyen, Ned Davis Research Group
(1116-60-1173)
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1:00 p.m.
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Saturday January 9, 2016, 1:00 p.m.-5:50 p.m.
AMS Special Session on Problems and Challenges in Financial Engineering and Risk Management, II
Chelan 2, Chelan Level Two, Washington State Conference Center
Organizers:
Matthew Lorig, University of Washington, Seattle
Haijun Li, Washington State University, Pullman
Hong-Ming Yin, Washington State University, Pullman hyin@wsu.edu
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1:00 p.m.
Measures of Systemic Risk.
Birgit Rudloff*, Vienna University of Economics and Business
Zachary Feinstein, Washington University in St. Louis
Stefan Weber, Leibniz University Hannover
(1116-91-1018) -
1:30 p.m.
Numerical Simulation for a Nonlinear American Option-Pricing Model.
Wen Wang*, Bellevue College, Washington
Hong-Ming Yin, Washington State University
Wenhan Wang, Microsoft Corporation
(1116-65-272) -
2:00 p.m.
Bond and CDS Pricing with Stochastic Recovery.
Albert Cohen*, Michigan State University
Nick Costanzino, RiskLab - University of Toronto & AIG Investments (NYC)
(1116-91-1187) -
2:30 p.m.
Analytical Expansion to Forward-Backward Stochastic Differential Equations.
Jerome Detemple, Boston University, Questrom School of Business
Matthew Lorig, University of Washington at Seattle, Department of Applied Mathematics
Marcel Rindisbacher, Boston University, Questrom School of Business
Stephan Sturm, WPI, Department of Mathematical Sciences
Liangliang Zhang*, Boston University, Questrom School of Business
(1116-65-562) -
3:00 p.m.
Discussion. -
3:30 p.m.
A Simulation Measure Approach to Monte Carlo Methods in Credit Risk.
Alexander D Shkolnik*, UC Berkeley
Kay Giesecke, Stanford University
(1116-60-2698) -
4:00 p.m.
Rationalizing Behavioral Portfolio Choice.
Carole Bernard, Grenoble Ecole de Management
Stephan Sturm*, Worcester Polytechnic Institute
(1116-91-184) -
4:30 p.m.
Small-Time Asymptotics for At-The-Money Option Prices Under Exponential Lévy Models.
José Enrique Figueroa-López, Washington University in St. Louis
Ruoting Gong*, Illinois Institute of Technology
Christian Houdré, Georgia Institute of Technology
(1116-60-401) -
5:00 p.m.
On the Boundedness Character of the First Order System of Rational Difference Equations with Nonconstant Coefficients.
Deja R Washington*, Xavier University of Louisiana
(1116-39-2704) -
5:30 p.m.
Panel Discussion for Problems and Challenges in Financial Engineering and Risk Management.
Hong-Ming Yin*, Washington State University
(1116-35-706)
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1:00 p.m.