Joint Mathematics Meetings AMS Special Session
Current as of Friday, January 18, 2013 00:31:56
Joint Mathematics Meetings
San Diego Convention Center and San Diego Marriott Hotel and Marina, San Diego, CA
January 9-12, 2013 (Wednesday - Saturday)
Meeting #1086
Associate secretaries:
Georgia Benkart, AMS benkart@math.wisc.edu
Gerard A Venema, MAA venema@calvin.edu
AMS Special Session on Financial Mathematics
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Saturday January 12, 2013, 8:30 a.m.-10:50 a.m.
AMS Special Session on Financial Mathematics, I
Room 16A, Mezzanine Level, San Diego Convention Center
Organizers:
Maxim Bichuch, Princeton University mbichuch@princeton.edu
Tim Siu-Tang Leung, Columbia University
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8:30 a.m.
TALK CANCELLED: A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets.
David German*, Claremont McKenna College
Henry Schellhorn, Claremont Graduate University
(1086-60-1425) -
9:00 a.m.
TALK CANCELLED: Absence of arbitrage in a general framework.
Hasanjan Sayit*, Worcester Polytechnic Institute
(1086-60-622) -
9:30 a.m.
Optimal execution of a VWAP order: a stochastic control approach.
Christoph Frei*, University of Alberta
Nicholas Westray, Deutsche Bank AG
(1086-60-338) -
10:00 a.m.
Portfolio Optimization under Convex Incentive Schemes.
Maxim Bichuch*, Princeton University
Stephan Sturm, Worcester Polytechnic Institute
(1086-60-799) -
10:30 a.m.
Optimal Incentives for Delegated Portfolio Optimization.
Maxim Bichuch, Princeton University, ORFE Department
Stephan Sturm*, Worcester Polytechnic Institute
(1086-91-879)
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8:30 a.m.
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Saturday January 12, 2013, 1:00 p.m.-5:20 p.m.
AMS Special Session on Financial Mathematics, II
Room 16A, Mezzanine Level, San Diego Convention Center
Organizers:
Maxim Bichuch, Princeton University mbichuch@princeton.edu
Tim Siu-Tang Leung, Columbia University
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1:00 p.m.
Two competing companies with rank based characteristics.
Tomoyuki Ichiba*, University of California Santa Barbara
(1086-60-1708) -
1:30 p.m.
Brownian particle systems as models of large equity markets.
Mykhaylo Shkolnikov*, University of California, Berkeley
(1086-60-947) -
2:00 p.m.
Interacting Particle Systems for Systemic Risk.
Michael Ludkovski*, UC Santa Barbara
(1086-60-2200) -
2:30 p.m.
Volatility-Stabilized Markets.
Radka Pickova*, Columbia University
(1086-60-483) -
3:00 p.m.
Asymptotic Expansion of Regime-Switching Models for Consistent Pricing of VIX and S&P500 Derivatives.
Andrew Papanicolaou*, Princeton University
(1086-60-78) -
3:30 p.m.
Optimal Investment in the Presence of High-water Mark Fees.
Gerard Brunick*, UC, Santa Barbara
Mihai Sirbu, University of Texas at Austin
Karel Janecek, RSJ Algorithmic Tradings and Charles University, Prague
(1086-49-192) -
4:00 p.m.
Competitive Control of Market Goodwill and Strategic Exit.
Dharma Kwon, University of Illinois at Urbana-Champaign
Hongzhong Zhang*, Columbia University
(1086-91-2359) -
4:30 p.m.
On a dynamic extension of the method of the Distribution Builder.
Phillip J Monin*, The University of Texas at Austin
(1086-60-102) -
5:00 p.m.
An Optimal Timing Approach to Mean-Reversion Trading.
Tim Leung*, Columbia University
Xin Li, Columbia University
(1086-60-435)
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1:00 p.m.