Joint Mathematics Meetings Program by Special Session

Current as of Thursday, January 15, 2009 00:44:13

Joint Mathematics Meetings
Washington, DC, January 5-8, 2009 (Monday - Thursday)
Meeting #1046

• Wednesday January 7, 2009, 8:00 a.m.-10:50 a.m.
  AMS Special Session on Financial Mathematics, I
  Washington Room 4, Lower Level, Marriott
  Organizers:
  Erhan Bayraktar, University of Michigan
  Tim Siu-Tang Leung, Johns Hopkins University timleung@jhu.edu
  Birgit Rudloff, Princeton University
  

  • 8:00 a.m.
    Portfolio choice under space-time monotone performance criteria.
    Thaleia Zariphopoulou*, The University of Texas at Austin
    Marek Musiela, BNP Paribas, London
    (1046-35-2087)
  • 9:00 a.m.
    Utility Maximization under Risk Constraints.
    Birgit Rudloff*, Princeton University
    Joern Sass, RICAM
    Ralf Wunderlich, Zwickau University of Applied Sciences
    (1046-60-1743)
  • 9:30 a.m.
    A note on the existence of the power investor's optimizer.
    Kasper Larsen*, Carnegie Mellon University
    (1046-91-512)
  • 10:00 a.m.
    Incorporating Risk Aversion and Model Uncertainty into Structural Models of Default.
    Sebastian Jaimungal*, University of Toronto
    Georg Sigloch, University of Toronto
    (1046-60-1210)
  • 10:30 a.m.
    Discussion
• Thursday January 8, 2009, 8:00 a.m.-10:50 a.m.
  AMS Special Session on Financial Mathematics, II
  Delaware Suite B, Lobby Level, Marriott
  Organizers:
  Erhan Bayraktar, University of Michigan
  Tim Siu-Tang Leung, Johns Hopkins University timleung@jhu.edu
  Birgit Rudloff, Princeton University
  

  • 8:00 a.m.
    The Recent Financial Turmoil and Related Research Problems.
    Steven Kou*, Columbia University
    (1046-91-744)
  • 8:30 a.m.
    Stability and equilibria of financial markets.
    Gordan Zitkovic*, University of Texas at Austin
    (1046-91-759)
  • 9:00 a.m.
    Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information.
    Albina Danilova*, Carnegie Mellon University
    (1046-91-1297)
  • 9:30 a.m.
    A Markov Model for the Dynamics of a Limit Order Book.
    Sasha F Stoikov*, Cornell
    Rama Cont, Columbia
    Rishi Talreja, Columbia
    (1046-90-1450)
  • 10:00 a.m.
    No Arbitrage Conditions For Simple Trading Strategies.
    Hasanjan Sayit*, Worcester Polytechnic Institute.
    Erhan Bayraktar, University of Michigan
    (1046-60-778)
  • 10:30 a.m.
    A note on admissible strategies for general stochastic processes and applications.
    Sara Biagini, Universita' di Perugia.
    Mihai Sirbu*, University of Texas at Austin
    (1046-60-1427)
• Thursday January 8, 2009, 1:00 p.m.-5:50 p.m.
  AMS Special Session on Financial Mathematics, III
  Delaware Suite B, Lobby Level, Marriott
  Organizers:
  Erhan Bayraktar, University of Michigan
  Tim Siu-Tang Leung, Johns Hopkins University timleung@jhu.edu
  Birgit Rudloff, Princeton University
  

  • 1:00 p.m.
    Smooth Fit Principle for Impulse Control of Multi-dimensional Diffusion Processes.
    Xin Guo*, UC Berkeley
    Guoliang Wu, Dept of Math, UC Berkeley
    (1046-49-1505)
  • 1:30 p.m.
    Regularity of the American put price in exponential Lévy models.
    Erhan Bayraktar, University of Michigan
    Hao Xing*, University of Michigan
    (1046-60-1287)
  • 2:00 p.m.
    Formulas for Stopped Diffusion Processes with Stopping Times based on Drawdowns and Drawups.
    Libor Pospisil, Columbia University
    Jan Vecer, Columbia University
    Olympia Hadjiliadis*, Brooklyn College, C.U.N.Y.
    (1046-60-1475)
  • 2:30 p.m.
    Exponential Hedging with Optimal Stopping and Static-dynamic Hedging.
    Tim S.T. Leung*, Johns Hopkins University
    (1046-60-2042)
  • 3:00 p.m.
    Volatility Derivatives on Time-Changed Levy Processes.
    Roger Lee*, University of Chicago
    Peter Carr, Bloomberg LP and NYU Courant Institute
    (1046-60-2032)
  • 3:30 p.m.
    A Stochastic Volatility Alternative to SABR.
    Chris Rogers, University of Cambridge
    Luitgard Veraart*, University of Karlsruhe
    (1046-60-1107)
  • 4:00 p.m.
    A Hilbert transform approach to options pricing.
    Liming Feng*, University of Illinois at Urbana-Champaign
    (1046-00-1232)
  • 4:30 p.m.
    Time Changed Markov Processes in Unified Credit-Equity Modeling.
    Rafael Mendoza*, Northwestern University
    Vadim Linetsky, Northwestern University
    Peter Carr, New York University, Courant Institute
    (1046-60-365)
  • 5:00 p.m.
    An information reduction model for credit risk based on level crossings of a diffusion.
    A Deniz Sezer*, University of Calgary
    (1046-60-907)
  • 5:30 p.m.
    Credit Portfolio Optimization.
    Jack Kim*, Stanford University
    Kay Giesecke, Stanford University
    (1046-60-1193)