Joint Mathematics Meetings Program by Special Session

Current as of Wednesday, January 16, 2008 00:26:57

Joint Mathematics Meetings
San Diego, CA, January 6-9, 2008 (Sunday - Wednesday)
Meeting #1035

• Tuesday January 8, 2008, 8:00 a.m.-10:55 a.m.
  AMS Special Session on Financial Mathematics, I
  Organizers:
  Jean-Pierre 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
    (1035-91-466)
  • 9:00 a.m.
    Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss.
    Andrei Lopatin*, NumeriX LLC
    Timur Misirpashaev, Merrill Lynch
    (1035-60-566)
  • 9:30 a.m.
    Multiname and Multiscale Default Modeling.
    Knut Solna*, University of California at Irvine
    (1035-60-1315)
  • 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
    (1035-60-535)
  • 10:30 a.m.
    Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model.
    Damiano Brigo*, Q-SCI, Derivativefitch, Fitch Ratings QFR, London
    (1035-60-567)
• Tuesday January 8, 2008, 1:00 p.m.-5:55 p.m.
  AMS Special Session on Financial Mathematics, II
  Organizers:
  Jean-Pierre 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
    (1035-60-1554)
  • 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
    (1035-60-1365)
  • 2:00 p.m.
    Local Volatility Stochastic Dynamics as a Building Block for Equity Market Models.
    Rene A Carmona*, Princeton University
    (1035-60-308)
  • 3:00 p.m.
    Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models.
    Alan L. Lewis*, optioncity.net
    (1035-60-203)
  • 3:30 p.m.
    Multiscale Stochastic Volatility Diffusion Models.
    Jean-Pierre Fouque, U.C. Santa Barbara
    George Papanicolaou, Stanford University
    Ronnie Sircar*, Princeton University
    Knut Solna, U.C. Irvine
    (1035-91-1368)
  • 4:00 p.m.
    Developments in Volatility Derivatives Pricing.
    Jim Gatheral*, Merrill Lynch, NY and Courant Institute of Mathematical Sciences, NYU
    (1035-91-356)
  • 5:00 p.m.
    Hedging Variance Options on Continuous Semimartingales.
    Roger Lee*, University of Chicago
    (1035-60-297)
  • 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
    (1035-60-252)
• Wednesday January 9, 2008, 8:00 a.m.-10:55 a.m.
  AMS Special Session on Financial Mathematics, III
  Organizers:
  Jean-Pierre 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
    (1035-60-363)
  • 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
    (1035-65-545)
  • 9:30 a.m.
    Markovian projection on stochastic volatility models.
    Alexandre Antonov, NumeriX
    Timur Misirpashaev*, Merrill Lynch
    Vladimir Piterbarg, Barclays Capital
    (1035-60-372)
  • 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
    (1035-91-364)
  • 10:30 a.m.
    A Multi Time Scale Microstructure Model --- An Empirical Study.
    Zhifeng Zhang*, LaBranche Structured Products, LLC
    (1035-62-702)
• Wednesday January 9, 2008, 1:00 p.m.-5:55 p.m.
  AMS Special Session on Financial Mathematics, IV
  Organizers:
  Jean-Pierre 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
    (1035-60-1416)
  • 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
    Jean-Pierre Fouque, UC Santa Barbara
    (1035-60-125)
  • 2:30 p.m.
    Monte Carlo Simulations with Skews of Implied Volatilities.
    Jean-Pierre Fouque*, University of California Santa Barbara
    Ronnie Sircar, ORFE, Princeton University
    Knut Solna, University of California Irvine
    (1035-60-389)
  • 3:00 p.m.
    Investing and Pricing for the Long Run.
    Paolo Guasoni*, Boston University
    Scott Robertson, Boston University
    (1035-91-527)
  • 3:30 p.m.
    A new approach to singular stochastic control with applications to optimal hedging and investment-consumption 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
    (1035-60-595)
  • 4:00 p.m.
    Optimal portfolio liquidation: market impact models, algorithms, and competition.
    Aur�lien Alfonsi, Ecole Nationale des Ponts et Chauss�es, Marne-la-vall�e, France
    Alexander Schied*, TU Berlin and Cornell University
    Torsten Sch�neborn, QP Lab and TU Berlin, Germany
    Antje Schulz, QP Lab and TU Berlin, Germany
    (1035-90-274)
  • 5:00 p.m.
    Indifference Pricing with $L^2$ convex risk measures: a first step towards risk calibration.
    Antoine Toussaint*, Stanford Unviersity
    (1035-60-1161)
  • 5:30 p.m.
    The correlation-neutral measure for counting processes.
    Kay Giesecke*, Stanford University, Department of Management Science and Engineering
    (1035-60-497)