2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering 105

FM12 Program FM12 Program FM12

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Sunday, July 8 Sunday, July 8 Sunday, July 8 MT1 COAChing Jr. Faculty Women in the Art of Tutorial: Mathematical Strategic Persuasion Registration Modeling of Interest Rates: 1:30 PM-4:00 PM 8:00 AM-8:00 PM Challenges and New Room:Nicollet Promenade - Level 1 Directions Room:Nicollet D2 - Level 1 1:00 PM-4:30 PM Room:Nicollet D1 - Level 1 COAChing Sr. Faculty Student Orientation Chair: Rama Cont, CNRS, France, and Women in the Art of Columbia University, USA 5:00 PM-6:00 PM Strategic Persuasion Chair: Rama Cont, CNRS, France, and Room:Exhibit Hall - Level 1 Sunday 9:30 AM-12:00 PM Columbia University, USA Room:Nicollet D2 - Level 1 • Interest rate behavior during the financial crisis Welcome Reception • A simple credit model explaining 6:00 PM-8:00 PM the explosion of the basis • The multi-curve environment Room:Exhibit Hall - Level 1 • A new definition of forward rate • New pricing of Forward Rate Agreement and interest rate swaps • Market formulas for caps and swaptions • Extending the Libor market model to a multi-curve framework • Joint modeling of interest rates with different tenors • Modeling the spread between OIS and LIBOR rates • Extending short rate models Fabio Mercurio Bloomberg LP, USA

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Monday, July 9 Monday, July 9 Monday, July 9 IC2 Exhibits Open 9:30 AM-4:30 PM Stable Diffusions With Rank- Registration Room:Exhibit Hall - Level 1 based Interactions, and 7:30 AM-4:30 PM Models of Large Equity Room:Nicollet Promenade - Level 1 Markets Coffee Break 9:15 AM-10:00 AM 10:00 AM-10:30 AM

Room:Nicollet D2/3 - Level 1 Monday Opening Remarks Room:Exhibit Hall - Level 1 Chair: To Be Determined 8:15 AM-8:30 AM We introduce and study ergodic Room:Nicollet D2/3 - Level 1 diffusion processes interacting through their ranks. These interactions give rise MS1 to invariant measures which are in broad Limit Order Books agreement with stability properties IC1 observed in large equity markets 10:30 AM-12:30 PM Optimal Execution in a over long time-periods. The models Room:Nicollet D2 - Level 1 General One-Sided Limit we develop assign growth rates and Organizer: Steven E. Shreve Order Book variances that depend on both the name Carnegie Mellon University, USA (identity) and the rank (according to 10:30-10:55 Price Dynamics in Limit 8:30 AM-9:15 AM capitalization) of each individual asset. Order Markets: Limit Theorems and Room:Nicollet D2/3 - Level 1 Such models are able realistically to Diffusion Approximations Chair: To Be Determined capture critical features of the observed Rama Cont, CNRS, France, and Columbia stability of capital distribution over the University, USA; Adrien De Larrard, We construct an optimal execution past century, all the while being simple Université Pierre et Marie Curie - Paris strategy for the purchase of a large enough to allow for rather detailed VI, France number of shares of a financial asset analytical study. The methodologies over a fixed interval of time. Purchases 11:00-11:25 Information and used in this study touch upon the the Value of Guaranteed Trade of the asset have a nonlinear impact question of triple points for systems Execution on price, and this is moderated over of interacting diffusions; in particular, Krishnamurthy Iyer and Ramesh Johari, time by resilience in the limit-order some choices of parameters may permit Stanford University, USA; Ciamac C. book that determines the price. The triple (or higher-order) collisions to Moallemi, Columbia University, USA limit-order book is permitted to occur. We show, however, that such 11:30-11:55 Mean-variance Optimal have arbitrary shape. The form of multiple collisions have no effect on any Adaptive Order Execution and the optimal execution strategy is to of the stability properties of the resulting Dawson-Watanabe make an initial lump purchase and system. This is accomplished through Alexander Schied, University of Mannheim, then purchase continuously for some a detailed analysis of collision local Germany period of time during which the rate of times. The models have connections 12:00-12:25 Optimal Liquidation in a purchase is set to match the order book with the analysis of Queueing Networks Limit Order Book resiliency. At the end of this period, in heavy traffic, and with competing Sasha F. Stoikov and Rolf Waeber, Cornell another lump purchase is made, and particle systems in Statistical Mechanics University, USA following that there is again a period (e.g., Sherrington-Kirkpatrick model of purchasing continuously at a rate for spin-glasses). Their hydrodynamic- set to match the order book resiliency. limit behavior is governed by At the end of this second period, there generalized porous medium equations is a final lump purchase. Any of the with convection, whereas limits of a lump purchases could be of size zero. different kind display phase transitions A simple condition is provided that and are governed by Poisson-Dirichlet guarantees that the intermediate lump laws. purchase is of size zero. This is joint work with Gennady Shaikhet and Silviu Ioannis Karatzas Predoiu. Columbia University, USA Steven E. Shreve Carnegie Mellon University, USA

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Monday, July 9 Monday, July 9 Monday, July 9 MS2 MS3 MS4 Optimal Investment With Credit Risk Portfolio Theory Transaction Costs 10:30 AM-12:30 PM 10:30 AM-12:30 PM 10:30 AM-12:30 PM Room:Lake Nokomis - Level 5 Room:Nicollet D3 - Level 1 Room:Lake Superior A - Level 5 This minisymposium will discuss recent Invited Minisymposium Transaction costs rank among the most advances in the modeling, valuation, and Organizer: Ioannis Karatzas pervasive frictions present in financial prediction of credit risk. Focus issues Columbia University, USA will be, among other issues, the role markets, casting doubt on many tenets 10:30-10:55 Excursions in Atlas Models of the classical frictionless theory of of information, counterparty risk, and of Equity Market portfolio choice. In this session, we will market equilibrium in the presence of Tomoyuki Ichiba, University of California, default risk. Santa Barbara, USA Monday present recent developments and open problems in optimal investment with Organizer: Kay Giesecke 11:00-11:25 Optimal Investment for All transaction costs. Particular emphasis Stanford University, USA Time Horizons and Martin Boundary of is placed on asymptotic techniques, 10:30-10:55 Pricing of Path-Dependent Space-time Diffusion that allow to obtain tractable results as Vulnerable Claims in Regime Sergey Nadtochiy, Oxford University, United transaction costs become small. The Switching Markets Kingdom various tools used to solve the arising Agostino Capponi, Jose E. Figueroa-Lopez, 11:30-11:55 Generalizations of problems range from PDE method and Jeff Nisen, Purdue University, USA Functionally Generated Portfolios including viscosity solutions of HJB 11:00-11:25 Modeling and Simulation Winslow C. Strong, University of California, equations to and the of Systemic Risk in Insurance- Santa Barbara, USA construction of shadow prices. Reinsurance Networks 12:00-12:25 Volatility-Stabilized Jose Blanchet and Yixi Shi, Columbia Markets Organizer: Maxim Bichuch University, USA Radka Pickova, Columbia University, USA Princeton University, USA 11:30-11:55 Default and Systemic Risk Organizer: Johannes Muhle- in Equilibrium Karbe Martin Larsson, Cornell University, USA; ETH Zürich, Switzerland Agostino Capponi, Purdue University, USA 10:30-10:55 Pricing a Contingent 12:00-12:25 Filtered Likelihood for Point Claim Liability with Transaction Processes Costs Using Asymptotic Analysis for Gustavo Schwenkler and Kay Giesecke, Optimal Investment Stanford University, USA Maxim Bichuch, Princeton University, USA 11:00-11:25 Optimal Investment with Small Transaction Costs and General Stochastic Opportunity Sets Johannes Muhle-Karbe, ETH Zürich, Switzerland; Jan Kallsen, University of Kiel, Germany 11:30-11:55 The Optimal Use of Options to Reduce the Effect of Transaction Costs in a Portfolio Dan Ostrov, Santa Clara University, USA; Jonathan Goodman, Courant Institute of Mathematical Sciences, New York University, USA 12:00-12:25 Shadow Prices and Well Posedness in the Optimal Investment and Consumption Problem with Transaction Costs Jin Hyuk Choi, Gordan Zitkovic, and Mihai Sirbu, University of Texas at Austin, USA

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Monday, July 9 Monday, July 9 Monday, July 9 MS5 MS6 MS7 , Numerical Methods for with Stochastic Analysis, Pricing - Part I of II Jump Processes and Degenerate Partial 10:30 AM-12:30 PM 10:30 AM-12:30 PM Differential Equations Room:Cedar Lake - Level 5 Room:Lake Minnetonka - Level 5 10:30 AM-12:30 PM For Part 2 see MS13 In this minisymposium, we will discuss Pricing options sufficiently fast and a number of stochastic models with

Room:Lake Calhoun - Level 5 Monday accurately is often computationally jumps processes for practical financial Existence, uniqueness, regularity, and challenging task. Non-local and high applications, including credit risk and approximate solutions to degenerate dimensional models as well as early equity derivatives pricing. In addition, elliptic and parabolic partial differential exercise possibility makes pricing more some emphasis will be placed on the equations and applications to problems difficult. This minisymposium considers computational challenges in model in optimal investment theory, American efficient numerical methods including implementation. and European-style option pricing, and finite difference methods, Monte Carlo Organizer: Tim Leung martingale and mimicking problems for methods, and FFT based methods. degenerate Ito processes. Columbia University, USA Organizer: Cornelis W. Oosterlee 10:30-10:55 Default Swap Games Organizer: Paul Feehan Centrum voor Wiskunde en Informatica Kazutoshi Yamazaki, Osaka University, Rutgers University, USA (CWI), Netherlands Japan; Tim Leung, Columbia University, Organizer: Victor Nistor Organizer: Olivier Pironneau USA Pennsylvania State University, USA University of Paris VI, France 11:00-11:25 Positive Subordinate CIR 10:30-10:55 Optimal Investment in the Organizer: Jari Toivanen Processes with Two-Sided Mean- Presence of High-water Mark Fees Stanford University, USA Reverting Jumps Gerard Brunick, University of California, Rafael Mendoza-Arriaga, University of 10:30-10:55 Mixed Deterministic Texas at Austin, USA Santa Barbara, USA; Karel Janecek, RSJ Monte-Carlo Simulations for Finance Algorithmic Trading, Czech Republic; Olivier Pironneau, University of Paris VI, 11:30-11:55 Multifactor Term Structure Mihai Sirbu, University of Texas at France; Gregoire Loeper, Natixis, France of Interest Rates under Regime Shifts Austin, USA and Levy Jumps 11:00-11:25 Efficient Option Pricing Yong Zeng, University of Missouri, Kansas 11:00-11:25 Existence, Uniqueness, of Asian Options based on Fourier City, USA; Xiangdong Liu, Jinan and Global Regularity for Degenerate Cosine Expansions Obstacle Problems in Mathematical Bowen Zhang and Cornelis W. Oosterlee, University, China; Lawrence Evans, Finance Delft University of Technology, University of Missouri, USA; Shu Wu, Paul Feehan, Rutgers University, USA; Netherlands University of Kansas, USA Panagiota Daskalopoulos, Columbia 12:00-12:25 Sampling Error of the University, USA 11:30-11:55 Two-dimensional Fourier Cosine Series Expansion Method for Supremum of a Levy Process 11:30-11:55 A Uniqueness Theorem Pricing Financial Options Liming Feng, University of Illinois at for a Degenerate QVI Appearing in Marjon Ruijter and Kees Oosterlee, CWI, Urbana-Champaign, USA An Option Pricing Problem Amsterdam, Netherlands Naïma El Farouq, University Blaise Pascal, Clermont-Ferrand, France; Pierre 12:00-12:25 Risk-Neutral Valuation of bernhard, INRIA Sophia Antipolis, France Real Estate Options Lunch Break Stefan Singor, Ortec Finance and Delft 12:00-12:25 Approximate Solutions to University of Technology, Netherlands; 12:30 PM-2:00 PM Second Order Parabolic Equations David van Bragt, Aegon, Netherlands; Attendees on their own with Time-dependent Coefficients Marc Francke, Ortec-Finance, United Victor Nistor, Anna Mazzucato, and Wen Kingdom; Antoon Pelsser, University of Cheng, Pennsylvania State University, Maastricht, Netherlands USA

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Monday, July 9 Monday, July 9 Monday, July 9 JP1 SP1 MS8 Systemic Risk AWM-SIAM Sonia High Frequency and 2:00 PM-2:45 PM Kovalevsky Lecture: Algorithmic Trading Room:Nicollet ABC - Level 1 The Role of Characteristics 4:00 PM-6:00 PM Chair: Jean-Pierre Fouque, University of in Conservation Laws Room:Lake Superior A - Level 5 California, Santa Barbara, USA 2:45 PM – 3:30 PM The availability of high frequency What is systemic risk, how do we model Room: Nicollet ABC - Level 1 financial data has opened up new arenas it, how to we analyze it, and what are Sonya Kovalevsky, in the celebrated for the application of stochastic control Cauchy-Kovalevsky theorem, made clear the implications of the analysis? I will and introduces a host of new problems. address these issues both in a larger the significance of characteristics in partial differential equations. In the field of Understanding how the LOB affects historical context and within current agent’s optimal trading decisions on Monday hyperbolic conservation laws, characteristic research mathematical finance. The key curves (in one space dimension) and short time scales, through stochastic property of systems subject to systemic surfaces (in higher dimensions) dominate control problems on which they attempt risk is their inter-connectivity and the the behavior of solutions. Some examples to maximize profit but limit risk, is way individual risk can become overall, of systems exhibit interesting, one might an important class of problems. For systemic risk when it is diversified even say pathological, characteristic example, market makers submit both by inter-connectivity. I will discuss behavior. This talk will focus on ways that buy and sell orders to profit from theoretical issues that come up with characteristics in systems of conservation the spread, while being exposed to mean-field and other models and laws give information about the systems inventory risk. This minisymposium being modeled. will also show results of numerical brings together HFT and algorithmic simulations. Barbara Lee Keyfitz trading experts and will highlight George C. Papanicolaou The Ohio State University, USA the mathematical tools and financial Stanford University, USA implications of the strategies. Organizer: Sebastian Jaimungal University of Toronto, Canada Coffee Break 4:00-4:25 New Models for Optimal Execution and High-frequency 3:30 PM-4:00 PM Market Making Room:Exhibit Hall - Level 1 Olivier Gueant, Université Paris-Diderot, France 4:30-4:55 Optimal HF Trading in a Prorata Microstructure Huyen Pham and Fabien Guilbaud, Université Paris-Diderot, France 5:00-5:25 Risk Measures and Fine Tuning of High Frequency Trading Strategies Alvaro Cartea, Universidad Carlos III, Spain; Sebastian Jaimungal, University of Toronto, Canada 5:30-5:55 Buy Low, Sell High using Self-Exciting Marked Point Proceses Sebastian Jaimungal, University of Toronto, Canada; Alvaro Cartea, Universidad Carlos III, Spain; Jason Ricci, University of Toronto, Canada

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Monday, July 9 Monday, July 9 Monday, July 9 MS9 MS10 MS11 Stochastic Control in Systemic Risk Machine Learning Methods Finance 4:00 PM-6:00 PM in Quantitative Finance 4:00 PM-6:00 PM Room:Nicollet D3 - Level 1 4:00 PM-6:00 PM Room:Nicollet D2 - Level 1 Systemic risk in financial markets, Room:Lake Nokomis - Level 5 We will present some recent exciting a central concern in the debate on The minisymposium addresses four methodological developments in regulatory reform, manifests itself in estimation problems from the areas stochastic control and their applications the form of large scale failures in the of order-book modeling, portfolio Monday in finance. banking system. Such failures may arise selection, and factor analysis. The through various mechanisms: balance Organizer: Erhan Bayraktar first presentation introduces a non- sheet contagion, illiquidity spirals University of Michigan, USA parametric, feature-based approach and feedback effects due to fire sales. to short-term forecasting of the mid- 4:00-4:25 Stochastic Perron’s Method This MiniSymposium presents various and Verification without Smoothness price in a limit order book. The second attempts at mathematical modeling of using Viscosity Comparison: Obstacle presentation addresses high-dimensional Problems and Dynkin Games the mechanisms behind systemic risk in covariance estimation from limited Erhan Bayraktar, University of Michigan, financial markets. observations, by making regularizing USA Organizer: Rama Cont assumptions on the monotonicity 4:30-4:55 Constructing Sublinear CNRS, France, and Columbia University, and smoothness of the covariance. Expectations on Path Space USA The third presentation develops an Marcel Nutz, Columbia University, USA; 4:00-4:25 Feedback Effects and algorithm for portfolio optimization Ramon Van Handel, Princeton University, Endogenous Risk in Financial Markets in a regime-switching model driven USA Lakshithe Wagalath, Université Pierre et by an HMM, for a market consisting 5:00-5:25 Dynamic Portfolio Choice Marie Curie, France; Rama Cont, CNRS, of a stock, a money market account, with Multiple Decentralized Agents France, and Columbia University, USA and a defaultable security. The fourth Andrew Lim, University of California, 4:30-4:55 Coupled Diffusions, presentation develops a particle-filter- Berkeley, USA Swarming and Systemic Risk based algorithm for estimating hedge 5:30-5:55 Optimal Consumption and Jean Pierre Fouque, University of fund risk factors from returns. California, Santa Barbara, USA Investment in Incomplete Markets Organizer: Ilya Pollak with General Constraints 5:00-5:25 Failure and Rescue in an Purdue University, USA Patrick Cheridito, Princeton University, Interbank Network USA Luitgard Veraart, London School of 4:00-4:25 Nonparametric Prediction Economics, United Kingdom; Chris in a Limit Order Book Rogers, Cambridge University, United Ilya Pollak and Deepan Palguna, Purdue Kingdom University, USA 5:30-5:55 Resilience to Contagion in 4:30-4:55 Smooth and Monotone Financial Networks Covariance Estimation for Elliptical Hamed Amini, École Polytechnique Fédérale and Generalized Hyperbolic de Lausanne, Switzerland; Rama Cont, Distributions CNRS, France, and Columbia University, Dmitry Malioutov, DRW Holdings, USA; USA; Andreea Minca, Cornell University, Xiaoping Zhou, Stony Brook University, USA USA 5:00-5:25 Dynamic Modeling of Systemic Risk PengChu Chen and Agostino Capponi, Purdue University, USA 5:30-5:55 Estimating Hedge Fund Risk Factors Douglas Johnston, Quantalysis, LLC, USA; Petar Djuric, Stony Brook University, USA

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Monday, July 9 Monday, July 9 Monday, July 9 MS12 MS13 MS14 Dynamic Risk Measures, Numerical Methods for Computational Methods Dynamic Acceptability Option Pricing - Part II of II for Option Pricing in Jump- Indices and Their 4:00 PM-6:00 PM diffusion Models Applications Room:Cedar Lake - Level 5 4:00 PM-6:00 PM 4:00 PM-6:00 PM For Part 1 see MS6 Room:Lake Minnetonka - Level 5 Room:Lake Calhoun - Level 5 Pricing options sufficiently fast and In two talks, new efficient analytical and accurately is often computationally The need for dynamic assessment Monte-Carlo methods for challenging task. Non-local and high of performance and/or risk of a and its generalizations are considered. dimensional models as well as early portfolio arises very naturally in the In the third talk, new efficient methods exercise possibility makes pricing more Monday finance industry. However, in spite for Laplace inversion, calculation of difficult. This minisymposium considers of numerous works on that subject, the Wiener-Hopf factors and pricing efficient numerical methods including several problems remain open. One lookbacks in exponential Levy models finite difference methods, Monte Carlo of such open problems is the issue of is presented, and in the fourth talk, methods, and FFT based methods. dynamic consistency of dynamic risk quadratic hedging of barrier options in measures and dynamic acceptability Organizer: Cornelis W. Oosterlee exponential Levy models indices: how should it be properly Centrum voor Wiskunde en Informatica Organizer: Sergei Levendorskii (CWI), Netherlands defined and analyzed. Also, the issues University of Leicester, United Kingdom regarding applications of dynamic risk Organizer: Olivier Pironneau 4:00-4:25 Efficient Pricing and measures and dynamic acceptability University of Paris VI, France Reliable Calibration in the Heston indices to optimal portfolio choice and Organizer: Jari Toivanen Model and its Generalizations to valuation and hedging of derivative Stanford University, USA Sergei Levendorskii, University of Leicester, instruments still require in depth study. United Kingdom 4:00-4:25 Pricing American Options This minisymposium aims at providing Under Jump-diffusion Models 4:30-4:55 Exact Simulation of the an overview of some of the recent Jari Toivanen, Stanford University, USA; Heston Jump-Diffusion progress regarding the above problems. Santtu Salmi, University of Jyvaskyla, Xueying Hu and Erhan Bayraktar, University Organizer: Igor Cialenco Finland of Michigan, USA; Kay Giesecke, Stanford University, USA Illinois Institute of Technology, USA 4:30-4:55 Exponential Time Organizer: Samuel Drapeau Differencing Methods for Pricing and 5:00-5:25 Efficient Laplace Inversion, Humboldt University Berlin, Germany Hedging American Options Wiener-Hopf Factorization and Pricing Abdul M. Khaliq, Middle Tennessee State Lookbacks Organizer: Tomasz Bielecki University, USA; Mohammad Yousuf, Svetlana Boyarchenko, University of Texas Illinois Institute of Technology, USA King Fahd University of Petroleum and at Austin, USA 4:00-4:25 Dynamic Assessment Minerals, Saudi Arabia; Britta Kleefeld, 5:30-5:55 Quadratic Hedging of Indices Brandenburgische Technische Universität Barrier Options under Leptokurtic Martin Karliczek, Humboldt University Cottbus, Germany Returns Driven by an Exponential Berlin, Germany 5:00-5:25 Efficient and Robust Time Lévy Model 4:30-4:55 Minimal Supersolutions of Stepping Under Jump-diffusion Aleš Cerný, Cass Business School, London, BSDEs and Robust Hedging Models United Kingdom Michael Kupper, Humboldt University Santtu Salmi, University of Jyvaskyla, Berlin, Germany Finland; Jari Toivanen, Stanford University, USA 5:00-5:25 Set-valued Dynamic Risk Measures in Markets with Transaction 5:30-5:55 The Valuation of Double Intermission Costs Barrier Options under Multifactor Birgit Rudloff, Princeton University, USA Pricing Models 6:00 PM-6:15 PM José C. Dias and João Nunes, ISCTE-IUL 5:30-5:55 Portfolio Choice with Time- Business School, Portugal consistent Dynamic Risk Measures Mijda Stadje, Tilburg University, The Netherlands; Roger Laeven, University of Amsterdam, Netherlands

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Monday, July 9 Monday, July 9 Tuesday, July 10 PD1 PD2 Panel on BIG Data in Industry Panel: Establishing Applied Mathematics, and Nurturing Productive Registration Computational Science, Collaborations 8:00 AM-4:30 PM and 6:15 PM-7:15 PM Room:Nicollet Promenade - Level 1 6:15 PM-7:15 PM Room:Nicollet D2 - Level 1 Room:Nicollet ABC - Level 1 Chair: Thomas A. Grandine, The Boeing Chair: Tasso J. Kaper, Boston University, Company, USA IC3 USA Success of mathematics in an industrial Simulation Schemes for Chair: Michele Benzi, Emory University, setting is frequently determined by the Stopped Lévy Processes Tuesday USA extent to which significant mathematical The ability to collect and interpret ideas are developed and disseminated 8:30 AM-9:15 AM ever-growing amounts of data is through collaboration. In particular, Room:Nicollet D2/3 - Level 1 adoption and deployment of those ideas playing an increasingly important Chair: To Be Determined role in scientific and technological often relies upon the level of confidence Jump processes, and Lévy processes progress. New challenges and non-experts have in those ideas. in particular, are notoriously difficult opportunities abound from big Collaboration, both inside and outside to simulate. The task becomes even data problems in bioinformatics, companies, involving both academic and harder if the process is stopped when computer vision, geophysics, high non-academic collaborators, has proven it crosses a certain boundary, which energy physics, industrial processes, to be a useful tool for mathematical happens in applications to barrier option microarrays, networks, neuroscience, technology transfer for technical and pricing or structural credit risk models. object recognition, sensors, scientific non-technical reasons. The panelists will In this talk, I will present novel adaptive computation, signal processing, probe the ways in which collaboration discretization schemes for the simulation social science, and other fields. These has strengthened both their companies of stopped Lévy processes, which are challenges and opportunities are and the mathematical technologies several orders of magnitude faster than leading to new analysis, theory, and which have helped to make those the traditional approaches based on simulation in diverse areas: algebra, companies successful. uniform discretization, and provide an dynamical systems, graph theory, Panelists: explicit control of the bias. The schemes harmonic analysis, linear algebra, Tor Dokken are based on sharp asymptotic estimates machine learning, numerical analysis, SINTEF, Norway for the exit probability and work by optimization, statistics, and topology, Lalitha Venkataramanan recursively adding discretization dates etc... This panel centers on the roles of Schlumberger-Doll Research, USA in the parts of the trajectory which are mathematics, computational science, close to the boundary, until a specified and statistics in ‘Big Data.’ Charles Wampler General Motors Corporation, USA error tolerance is met. Panelists: Peter Tankov Gunnar Carlsson Université Paris-Diderot, France Stanford University, USA William Harrod Career Fair / Graduate DOE Office of Science, USA Student Reception / Tamara Kolda Industry Reception Sandia National Laboratories, USA Sastry Pantula 7:15 PM-9:15 PM National Science Foundation, USA Room:Greenway Promenade - Level 2

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Tuesday, July 10 Tuesday, July 10 Tuesday, July 10 SP6 Exhibits Open CP1 9:30 AM-4:30 PM SIAG/FME Junior Scientist Interest Rate Modeling Room:Exhibit Hall - Level 1 Prize: Market-Based 11:10 AM-12:30 PM Approach to Modeling Room:Lake Superior A - Level 5 Derivatives Prices Coffee Break 9:15 AM-10:00 AM 11:10-11:25 Pricing Interest Rate 10:00 AM-10:30 AM Derivatives in a Multifactor Hjm Model Room: Nicollet D2/3 - Level 1 Room:Exhibit Hall - Level 1 with Time Dependent Volatility Most of the existing quantitative Ingo Beyna, Frankfurt School of Finance & methods in Finance rely on the Management, Germany; Carl Chiarella and assumptions of the underlying Boda Kang, University of Technology, mathematical models. The problem Intermission Australia of choosing the appropriate model 10:30 AM-11:10 AM 11:30-11:45 A Paradigm Shift in assumptions is one of the cornerstones Interest-Rate Modeling

Tuesday of modern Financial Engineering. I Peter Lin, Johns Hopkins University, USA am interested in developing modeling 11:50-12:05 Pricing Swaptions under frameworks that facilitate the use of Multifactor Gaussian Hjm Models historical observations when making the Joao Pedro V. Nunes, ISCTE-IUL Business choice of model assumptions. It turns School, Portugal; Pedro Prazeres, out that, in the markets with a large Sociedade Gestora dos Fundos de Pensoes family of liquid derivative contracts, it do Banco de Portugal, Portugal is rather hard to construct a model that 12:10-12:25 Pricing and Hedging the exploits the information contained in the Smile with Sabr: Evidence from the historical prices of these derivatives. In Interest Rate Caps Market fact, constructing such models requires Tao L. Wu, Illinois Institute of Technology, the use of the so-called Market-Based USA Approach. The idea of this approach is to treat the liquid derivatives as generic financial assets and prescribe the joint evolution of their prices in such a way that any future arbitrage- free combination of prices is possible. In this presentation, I will outline the main difficulties associated with the construction of market-based models and will present a general methodology that bypasses these difficulties. Finally, I will illustrate the theory by describing (both mathematically and numerically) a family of market-based models for the European call options of multiple strikes and maturities. Sergey Nadtochiy Oxford University, United Kingdom

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Tuesday, July 10 Tuesday, July 10 Tuesday, July 10 CP2 CP3 CP4 Commodity and Electricity Financial Models with Model Risk and Markets Jumps Dependence 11:10 AM-12:30 PM 11:10 AM-12:30 PM 11:10 AM-12:30 PM Room:Lake Calhoun - Level 5 Room:Lake of the Isles - Level 5 Room:Cedar Lake - Level 5 Chair: Marcus Erikson, University of Oslo, Chair: Peter Hieber, University of Toronto, Chair: John Dodson, University of Norway Canada Minnesota, USA 11:10-11:25 Swing Options in 11:10-11:25 Efficiently Simulating the 11:10-11:25 Model Risk Based on the Commodity Markets: A Model with Double-Barrier First-Passage Time in Distribution of the Hedge Error Multidimensional Jump Diffusions Jump-Diffusion Models Nils Detering, Frankfurt School of Finance Tuesday Marcus Eriksson and Jukka Lempa, Peter Hieber, University of Toronto, & Management, Germany University of Oslo, Norway; Trygve Canada; Lexuri Fernandez, Universidad 11:30-11:45 Why Is It So Hard to Nilssen, University of Agder, Norway Autonoma de Madrid, Spain; Matthias Estimate Expected Returns? 11:30-11:45 Decomposing the Scherer, TU München, Germany John A. Dodson, University of Minnesota, Risk from Investing in Foreign 11:30-11:45 Numerical Solution of USA Commodities Jump-Diffusion SDEs 11:50-12:05 A New Perspective Nina Lange, Copenhagen Business School, Gerald Teng and Kay Giesecke, Stanford on Dependence Within Financial Denmark University, USA Markets 11:50-12:05 A Real-Time Pricing 11:50-12:05 Basket and Spread David S. Matteson, Cornell University, USA Model for Electricity Consumption Options in a Variance Gamma 12:10-12:25 The Herd Behavior Index: Ranjan Pal, University of Southern Model a New Measure for the Implied California, USA Svetlana Borovkova, Vrije Universiteit Degree of Co-Movement in Stock 12:10-12:25 A Resampling Particle Amsterdam, The Netherlands Markets Filter Parameter Estimation For 12:10-12:25 High-order Short-time David Vyncke, Ghent University, Belgium; Electricity Prices With Expansions for ATM Option Prices Jan Dhaene, Daniel Linders, and Wim Bahri Uzunoglu, Gotland University, Under the CGMY Model Schoutens, Katholieke Universiteit Sweden; Dervis Bayazit, Federal Home Ruoting Gong, Georgia Institute of Leuven, Belgium Loan Bank of Atlanta, USA Technology, USA

SIAM Presents Since 2008, SIAM has recorded many Invited Lectures, Prize Lectures, and selected Minisymposia from various conferences. These are available by visiting SIAM Presents (http://www. siam.org/meetings/presents.php).

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Tuesday, July 10 Tuesday, July 10 Tuesday, July 10 CP5 CP6 SP2 Valuation of Exotic Options Real Options The John von Neumann 11:10 AM-12:30 PM 11:10 AM-12:30 PM Lecture: Liquid Crystals for Room:Lake Minnetonka - Level 5 Room:Lake Nokomis - Level 5 Mathematicians Chair: Olympia Hadjiliadis, City University Chair: Uwe Wystup, MathFinance AG, of New York, USA Germany 2:30 PM - 3:30 PM 11:10-11:25 Incorporating Parameter 11:10-11:25 Optimal Cash Holdings in Room: Nicollet ABC - Level 1 Risk into Derivatives Prices - An a Firm Approach to Bid-Ask Spreads Chair: Lloyd N. Trefethen, Oxford Paul V. Johnson, Geoff Evatt, and Mingliang University, United Kingdom Karl F. Bannör and Matthias Scherer, TU Cheng, University of Manchester, United München, Germany Kingdom Liquid crystals form an important class of soft matter systems with properties 11:30-11:45 Analytical Calculation of 11:30-11:45 Risk Aversion and intermediate between solid crystals and Risk Measures for Variable Annuity Managerial Cash-Flow Estimates in isotropic fluids. They are the working Guaranteed Benefits Real Options Tuesday substance of liquid crystal displays, which Runhuan Feng and Hans W Volkmer, Yuri Lawryshyn, University of Toronto, form the basis of a huge multinational University of Wisconsin, Milwaukee, Canada industry. The lecture will describe these USA 11:50-12:05 Irreversible Investment fascinating materials, and what different 11:50-12:05 Diversification and Crash- with Regime Switching : Revisit with branches of mathematics, such as partial Protection Using Variance Swap Linear Algebra differential equations, the calculus of Calendar Spreads Keiichi Tanaka, Tokyo Metropolitan variations, multiscale analysis, scientific Qixiang Zhou, MathFinance AG, Germany; University, Japan computation, dynamical systems, algebra Nils Detering, Frankfurt School of and topology, can say about them. Finance & Management, Germany; Uwe 12:10-12:25 Embedded Currency Wystup, MathFinance AG, Germany Exchange Options in Roll-over Loans John Ball Uwe Wystup, MathFinance AG, Germany 12:10-12:25 Fair Valuation of University of Oxford, United Kingdom Drawdown Insurance Olympia Hadjiliadis, City University of New York, USA; Tim Leung and Hongzhong Prizes and Awards Zhang, Columbia University, USA Luncheon Coffee Break 12:30 PM-2:30 PM 3:30 PM-4:00 PM Room:Exhibit Hall - Level 1 Be sure to bring your ticket to the Luncheon. Room:Exhibit Hall - Level 1

FM12program-A.indd 116 6/7/2012 11:59:06 AM 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering 117

Tuesday, July 10 Tuesday, July 10 Tuesday, July 10 MS15 MS16 MS17 Network Models and Over- Risk in Interacting Real Option Management the-counter (OTC) Markets Stochastic Systems of Commodity Storage 4:00 PM-6:00 PM 4:00 PM-6:00 PM 4:00 PM-6:00 PM Room:Lake Superior A - Level 5 Room:Nicollet D2 - Level 1 Room:Lake Calhoun - Level 5 While mathematical modeling in finance The events of 2007--09 made clear the Commodity storage plays a fundamental has mostly focused on price behavior in need for a better understanding of the role in matching the supply and demand exchanges, a wide range of derivatives behavior of risk in the financial system. of storable commodities. The real and other financial instruments are The crisis highlights the significance option management of commodity

traded Over-the-counter (OTC). of interaction of entities such as firms storage is an active area of research Tuesday Various issues related to OTC markets, and agents. This minisymposium will and applications in diverse fields, such in particular the market for Credit discuss the formulation and analysis as financial engineering, operations Default Swaps (CDS), have become the of stochastic systems with mean-field research, and operations management. focus of intense regulatory discussion and local interaction. The analysis This mini-symposium brings together following the recent financial crisis: will involve, in particular, notions leading researchers both from academia design of central clearing facilities of stability, typical events, and rare and practice to present their current and for OTC derivatives, transparency events in such systems. This will lead unpublished research on this topic. and information in OTC derivatives to laws of large numbers, central limit Organizer: Selvaprabu Nadarajah markets, the impact of central clearing theorems, and large deviation principles. Carnegie Mellon University, USA on systemic risk and collateral Applications include efficient numerical requirements,... This Minisymposium methods for the analysis of rare events, Organizer: Nicola Secomandi Carnegie Mellon University, USA presents some recently proposed and the prediction of systemic risk. modeling approaches which attempt to 4:00-4:25 Approximate Linear Organizer: Kay Giesecke Programming Relaxations for tackle these issues from a mathematical Stanford University, USA modeling perspective. Commodity Storage Real Option 4:00-4:25 Large Portfolio Asymptotics Management Organizer: Rama Cont for Loss From Default Selvaprabu Nadarajah, Francois Margot, CNRS, France, and Columbia University, Kay Giesecke, Stanford University, USA; and Nicola Secomandi, Carnegie Mellon USA Konstantinos Spiliopoulos, Brown University, USA 4:00-4:25 Central Clearing of OTC University, USA; Richard Sowers, 4:30-4:55 Quasi-convex Dynamic Derivatives : Bilateral vs Multilateral University of Illinois at Urbana- Programming for Storage Evaluation Netting Champaign, USA; Justin Sirignano, John Birge, University of Chicago, USA Thomas Kokholm, Aarhus University, Stanford University, USA 5:00-5:25 Natural Gas Storage Denmark; Rama Cont, CNRS, France, and 4:30-4:55 Most Likely Path to Systemic Valuation, Optimization, Market and Columbia University, USA Failure Credit Risk Management 4:30-4:55 Are CDS Auctions Biased? Konstantinos Spiliopoulos, Brown Matt Thompson, Queen’s University, Canada Haoxiang Zhu and SongZi DU, Stanford University, USA; Kay Giesecke, Stanford 5:30-5:55 A Kernel Based Approach University, USA University, USA; Richard Sowers, University of Illinois, USA to Gas Storage and Swing Contracts 5:00-5:25 Central Clearing Valuations in High Dimensions Mechanisms for Credit Default Swaps 5:00-5:25 Branching and Interacting Denis Mazieres, LCH.Clearnet and JinBeom Kim, Columbia University, USA; Particle Models of Systemic Risk Birkbeck. London University, United Rama Cont, CNRS, France, and Columbia Michael Ludkovski and Tomoyuki Ichiba, Kingdom; Alexander Boogert, University, USA University of California, Santa Barbara, EnergyQuants BV, Netherlands USA 5:30-5:55 Measuring Contagion in Financial Networks 5:30-5:55 Endogenous Equilibria in Sebastian Stiller, Technische Universitaet Liquid Markets with Frictions and Berlin, Germany Boundedly Rational Agents Paolo Dai Pra and Fulvio Fontini, University of Padova, Italy; Elena Sartori and Marco Tolotti, Ca’ Foscari University, Italy

FM12program-A.indd 117 6/7/2012 11:59:06 AM 118 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering

Tuesday, July 10 Tuesday, July 10 Tuesday, July 10 MS18 MS19 MS20 Jump Processes in Finance: Asymptotic Methods in Stochastic Control and Modeling, Statistics and Option Pricing Optimization Related Option Pricing 4:00 PM-6:00 PM to Portfolio and Risk 4:00 PM-6:00 PM Room:Cedar Lake - Level 5 Management Room:Nicollet D3 - Level 1 Organizer: Elisa Alos 4:00 PM-6:00 PM Organizer: Peter Tankov Universitat Pompeu Fabra Room:Lake Minnetonka - Level 5 Ecole Polytechnique, France 4:00-4:25 A Decomposition Formula Since the seminal work on Merton’s 4:00-4:25 Small-time Expansions for for Option Prices in the Heston Model portfolio optimization problem in Stochastic Volatility Models with Lévy and Applications to Option Pricing 1970’s, stochastic control theory Approximation Jumps plays increasingly important role in Elisa Alos, Universitat Pompeu Fabra, Spain Jose E. Figueroa-Lopez, Purdue University, mathematical finance, which provides USA 4:30-4:55 Small-noise Expansion for both theoretical and computational tools Projected Diffusions and Implied

Tuesday 4:30-4:55 Parametric Inference and in a wide range of financial applications. Volatility Asymptotics Dynamic State Recovery from Option This minisymposium intends to review Panels Antoine Jacquier, Imperial College London, United Kingdom; Peter Friz and some recent developments in stochastic Viktor Todorov, Torben G. Andersen, and control arising from different aspects of Nicola Fusari, Northwestern University, Jean-Dominique Deuschel, TU Berlin, portfolio and insurance risk management, USA Germany; Sean Violante, Imperial College London, United Kingdom reflecting the interplay between control 5:00-5:25 A New Look at Short-term theory and mathematical finance. It is 5:00-5:25 Multi-Factor Stochastic Implied Volatility in Models with anticipated that the minisymposium Jumps Volatility Models for Options and will help to foster collaborations among Aleksandar Mijatovic, Imperial College Options on Variance London, United Kingdom; Peter Tankov, Jean Pierre Fouque and Yuri Saporito, participants as well as identify important Université Paris VII, France University of California, Santa Barbara, future research areas. USA; Jorge P. Zubelli, IMPA, Brazil 5:30-5:55 Large Deviations and Organizer: Qingshuo Song Stochastic Volatility with Jumps: 5:30-5:55 Asymptotics of Implied City University of Hong Kong, Hong Kong Asymptotic Implied Volatility for Volatility to Arbitrary Order Organizer: Chao Zhu Roger Lee Affine Models and Kun Gao, University of University of Wisconsin, Milwaukee, USA Martin Keller-Ressel, TU Berlin, Germany; Chicago, USA 4:00-4:25 Outperformance Portfolio Antoine Jacquier and Aleksandar Optimization via the Equivalence of Mijatovic, Imperial College London, Pure and and Randomized Hypothesis United Kingdom Testing Jie Yang, University of Illinois, Chicago, USA; Tim Leung, Columbia University, USA; Qingshuo Song, City University of Hong Kong, Hong Kong 4:30-4:55 Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies Zhuo Jin, University of Melbourne, Australia; George Yin, Wayne State University, USA; Chao Zhu, University of Wisconsin, Milwaukee, USA 5:00-5:25 Optimal Trend-following Trading Rules under a Three-state Regime-switching Mode Jie Yu, Roosevelt University, USA; Qing Zhang, University of Georgia, USA 5:30-5:55 On the Multi-Dimensional Controller and Stopper Games Yu-Jui Huang, University of Michigan, Ann Arbor, USA; Erhan Bayraktar, University of Michigan, USA

FM12program-A.indd 118 6/7/2012 11:59:06 AM 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering 119

Tuesday, July 10 Tuesday, July 10 Wednesday, MS21 PP1 July 11 Applications of Spectral Poster Session and Methods in Finance Dessert Reception 4:00 PM-6:00 PM 8:00 PM-10:00 PM Registration Room:Lake Nokomis - Level 5 Room:Exhibit Hall - Level 1 8:00 AM-4:30 PM The session focuses on recent work Adjoint Monte-Carlo Technique Room:Nicollet Promenade - Level 1 on applications of spectral methods for Calibration of Financial Market in financial mathematics, including to Models derivatives pricing, early exercise and Bastian Gross, University of Trier, optimal stopping, and models with Germany; Ekkehard W. Sachs, University IC5 jumps and stochastic volatility. of Trier, Germany and Virginia Tech, USA Optimal Order Placement in Organizer: Vadim Linetsky Limit Order Books The Impact of Constraints on the Northwestern University, USA Views of the Black-Litterman Model 8:30 AM-9:15 AM 4:00-4:25 Building Financial Models Byron Wilson and Gareth Q. Witten, Room:Nicollet D2/3 - Level 1 Wednesday with Time Changes University of Cape Town, South Africa Chair: To Be Determined Vadim Linetsky, Northwestern University, On Efficient Option Pricing Under USA Jump Diffusion There is a growing body of research 4:30-4:55 Pricing Derivatives Ruediger U. Seydel, University of Cologne, works on trading strategies for big on Multiscale Diffusions: An Germany orders over a period of time with various Eigenfunction Expansion Approach assumptions of price impact. These Matthew Lorig, Princeton University, USA works mostly focus on a macroscopic 5:00-5:25 Evaluating Callable and timescale. On the millisecond timescale Putable Bonds: An Eigenfunction the price is no longer well defined and Expansion Approach the state of the order book contains Dongjae Lim, Northwestern University, USA important information. 5:30-5:55 Closed-form Expansions of More importantly, one of the key issues Option Prices under Time-changed at this timescale is the order placement Dynamics problem, which is different from the David Pedersen and Elisa Nicolato, Aarhus optimal execution one. We discuss University, Denmark several models and strategies to place orders in a limit order book with the objective of minimizing the expected Dinner Break cost. We show that optimal strategies 6:00 PM-7:30 PM may be path dependent and depend on key order book statistics. Attendees on their own.

Xin Guo SIAG/FME Business Meeting University of California, Berkeley, USA 7:30 PM-8:00 PM Room:Nicollet D2/3 - Level 1 Complimentary beer and wine will be served. SIAM Presents Since 2008, SIAM has recorded many Invited Lectures, Prize Lectures, and selected Minisymposia from various conferences. These are available by visiting SIAM Presents (http://www. siam.org/meetings/presents.php).

FM12program-A.indd 119 6/7/2012 11:59:07 AM 120 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering

Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 IC6 MS22 MS23 Quantitative Absence of Stochastic Models in New Developments in Arbitrage and Equivalent Behavioral Finance Optimal Portfolio Choice Changes of Measure 10:30 AM-12:30 PM Problems 9:15 AM-10:00 AM Room:Lake Nokomis - Level 5 10:30 AM-12:30 PM Room:Nicollet D2/3 - Level 1 Organizer: Vicky Henderson Room:Nicollet D2 - Level 1 Chair: To Be Determined University of Oxford, United Kingdom Organizer: Martin Schweizer It is well known that absence of 10:30-10:55 Optimal Portfolios under ETH Zürich, Switzerland Worst Case Scenarios arbitrage is a highly desirable feature 10:30-10:55 Market Depth and Trading Carole Bernard and Jit-Seng Chen, in mathematical models of financial Volume Dynamics markets. In its pure form (whether as University of Waterloo, Canada; Steven Paolo Guasoni, Boston University, USA; Vanduffel, Vrije Universiteit Brussel, NFLVR or as the existence of a variant Marko Weber, Dublin City University, Belgium of an equivalent martingale measure Ireland R), it is qualitative and therefore robust 11:00-11:25 Myopic Loss Aversion, 11:00-11:25 The Log Optimal Portfolio towards equivalent changes of the Reference Point, and Money Illusion under Transaction Costs and the Xuedong He, Columbia University, USA; underlying reference probability (the Shadow Price: The Geometric Xunyu Zhou, University of Oxford, United “real-world” measure P). But what Ornstein-Uhlenbeck Process and a Kingdom, and The Chinese University of Counterexample happens if we look at more quantitative Hong Kong, China versions of absence of arbitrage, Christoph Czichowsky and Philipp Deutsch, 11:30-11:55 Consumption-based University of Vienna, Austria; Johannes

Wednesday where we impose for instance some Behavioral Portfolio Selection in Muhle-Karbe, ETH Zürich, Switzerland; integrability on the density dR/dP? To Continuous Time Walter Schachermayer, University of which extent is such a property robust Hanqing Jin, Oxford University, United Vienna, Austria towards changes of P? We discuss Kingdom these questions and present some recent 11:30-11:55 Long-run Investment 12:00-12:25 Utility Maximization under Drawdown Constraints: optimal results. The talk is based on joint work with Addictive Consumption Habit portfolios and numeraire property with Tahir Choulli (University of Formation in Incomplete Markets Jan Obloj, Oxford University, United Alberta, Edmonton). Xiang Yu, University of Texas at Austin, Kingdom USA Martin Schweizer 12:00-12:25 Wealth vs Risk in a ETH Zürich, Switzerland Continuous Time Model Harry Zheng, Imperial College London, United Kingdom Exhibits Open 9:30 AM-4:30 PM Room:Exhibit Hall - Level 1

Coffee Break 10:00 AM-10:30 AM Room:Exhibit Hall - Level 1

FM12program-A.indd 120 6/7/2012 11:59:07 AM 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering 121

Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 MS24 MS25 MS26 Stress Tests: From Arts to Commodities, Energy Stochastic Analysis and Science - Part I of II Markets & Equilibrium - Partial Differential Equations 10:30 AM-12:30 PM Part I of II in Finance Room:Lake Superior A - Level 5 10:30 AM-12:30 PM 10:30 AM-12:30 PM For Part 2 see MS27 Room:Lake Calhoun - Level 5 Room:Nicollet D3 - Level 1 Expectations on stress tests are high For Part 2 see MS28 The connection between parabolic partial in the financial industry: they should Commodities and energy markets differential equations (PDEs) and option measure the resilience of individual bring new challenges to Financial pricing theory, well understood in the case financial institutions and of the whole Mathematics. These include equilibrium of Markovian models, has been extended banking system as part of an economy. and game theory problems, non-standard to non-Markovian Additionally, they should act as a stochastic models, and interplay between by differnet methods. One is through calmative for nervous markets. It is time supply/demand and speculation. These “Markovian projection”: the construction to assess the expectations about what two minisymposia will highlight recent of a Markov process with the same

information can realistically be obtained work in these areas and continue the marginal distributions, following the Wednesday from stress tests. How should we choose representation of this growing research methods proposed by Gyongy (1986) scenarios which are at the same time subfiled at the SIAM FME meetings. and Dupire (1994). Another, more recent plausible and informative of potential Organizer: Ronnie Sircar approach, uses functional extensions of weaknesses? How can we assess the Princeton University, USA the Ito formula to derive a functional validity of our models and the potential version of the backward Kolmogorov consequences where our models Organizer: Rene Carmona Princeton University, USA equation for path-dependent options. This break down? How can we adequately session presents recent work in these 10:30-10:55 Probabilistic Approach to discriminate adverse external shocks and directions, which extend PDE methods to dangerous endogenous effects? Mean Field Games and the Control of McKean Vlasov Dynamics a non-Markovian setting. Organizer: Thomas Breuer Rene Carmona, Princeton University, USA Organizer: Rama Cont FH Vorarlberg, Austria 11:00-11:25 Utility Indifference Pricing CNRS, France, and Columbia University, USA 10:30-10:55 Stress Tests: From Arts to in Energy Markets 10:30-10:55 Forward Equations and Science (Overview) Luciano Campi, Université Paris 13, France Mimicking Theorems for Discontinuous Thomas Breuer, Fachhochschule Vorarlberg, Semimartingales Austria 11:30-11:55 Forward-Backward SDE Games and Stochastic Control under Amel Bentata, Université Pierre et Marie 11:00-11:25 Finding Stress Scenarios Model with Uncertainty Curie, France; Rama Cont, CNRS, France, That Get the Job Done, with Credit Agnès Sulem, INRIA, France and Columbia University, USA Risk Applications 11:00-11:25 Degenerate Parabolic Craig A. Friedman, Standard & Poor’s, USA 12:00-12:25 Levy Semistationary Processes with Applications to PDEs, Martingale Problems and a 11:30-11:55 Must Stress Tests be Electricity Markets Mimicking Theorem for It0 Processes Credible? Heidar I. Eyjolfsson and Fred Espen Benth, Camelia A. Pop and Paul FEEHAN, Rutgers Til Schuermann, Oliver Wyman, USA University of Oslo, Norway University, USA 12:00-12:25 Stress Testing Model Risk 11:30-11:55 Local Vs Non-Local Paul Kupiec, FDIC, USA Forward Equations for Option Pricing Yu Gu, Columbia University, USA; Rama Cont, CNRS, France, and Columbia University, USA 12:00-12:25 Functional Ito Calculus and the Pricing and Hedging of Path- dependent Derivatives Rama Cont, CNRS, France, and Columbia University, USA; David Fournie, Morgan Stanley, USA

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Wednesday,v July 11 Wednesday, July 11 Wednesday, July 11 CP7 CP8 CP9 Backward Stochastic Stochastic and Implied Monte Carlo and PDE Differential Equations Volatility Modeling Methods in Finance 10:30 AM-12:10 PM 10:30 AM-12:30 PM 10:30 AM-12:30 PM Room:Cedar Lake - Level 5 Room:Lake Minnetonka - Level 5 Room:Lake of the Isles - Level 5 Chair: Coskun Cetin, California State Chair: Muhammad Al-Saadony, University Chair: Wanwan Huang, Florida State University, Sacramento, USA of Plymouth, United Kingdom University, USA 10:30-10:45 Dynamic Quadratic 10:30-10:45 Inference for the 10:30-10:45 Extensions of the Lt Method Hedging in the Presence of Partially Fractional Heston Model Using the for Option Pricing Hedgeable Assets and Liabilities Auxiliary Nico Achtsis, Ronald Cools, and Dirk Nuyens, Coskun Cetin, California State University, Muhannad Al-Saadony, University of Katholieke Universiteit Leuven, Belgium Sacramento, USA Plymouth, United Kingdom 10:50-11:05 Variance Reduction for 10:50-11:05 BSDEs with BMO Market 10:50-11:05 Non-Parametric Monte Carlo Simulation of European Price of Risk Calibration of the Local Volatility Call Options Under the Coupled Christoph Frei, University of Alberta, Surface for European Options Additive-Multiplicative Noise Model Jian Geng and Michael Navon, Florida State Canada; Markus Mocha, Humboldt Wanwan Huang and Brian Ewald, Florida University, USA; Xiao Chen, Lawrence University Berlin, Germany; Nicholas State University, USA Westray, Imperial College London, Livermore National Laboratory, USA United Kingdom 11:10-11:25 for 11:10-11:25 Small-time Asymptotics the Multi-Level Monte Carlo Algorithm 11:10-11:25 A Continuous Time Bank For Some Stochastic Volatility Models and Applications to Option Pricing Wednesday Run Model for Insolvency, Recovery Jerome Grand’maison, University of Ahmed Kebaier, University of Paris XIII, and Rollover Risks Southern California, USA France; Ben Alaya Mohamed, Université Gechun Liang, University of Oxford, United 11:30-11:45 Stochastic Calibration to Paris XIII, France Kingdom Implied Volatility Surfaces 11:30-11:45 A Hybrid Pricing Method Chuan-Hsiang Han, National Tsing Hua 11:30-11:45 Quadratic Reflected for Options with Multi Assets Bsdes with Bounded Conditions. University, Taiwan Yongsik Kim and Hyeong-Ohk Bae, Ajou Application to American Options. 11:50-12:05 Understanding Jumps in University, Korea; Tae-Chang Jo, Inha Arnaud Lionnet, University of Oxford, the High-Frequency VIX University, Korea United Kingdom Inna Khagleeva, University of Illinois, 11:50-12:05 Control Variate Methods Chicago, USA 11:50-12:05 A Simple Proof of and Applications in Asian and Basket Bichteler–Dellacherie–Mokobodzki 12:10-12:25 Implied Volatiltiy from Options Pricing and Hedging under Theorem Black-Scholes and Other Formulas Jump-Diffusion Models Pietro Siorpaes and Mathias Beiglböck, Olivia Mah, Kais Hamza, and Fima Yongzeng Lai, Wilfrid Laurier University, University of Vienna, Austria Klebaner, Monash University, Australia Canada; Zhongfei Li and Yan Zeng, Sun Yat-Sen University, China 12:10-12:25 Taylor-Like Anova Expansion for High Dimensional Pdes Arising in Finance Philipp Schroeder, Thomas Gerstner, and Gabriel Wittum, Goethe University, Germany

Lunch Break 12:30 PM-2:00 PM Attendees on their own

FM12program-A.indd 122 6/7/2012 11:59:07 AM 2012 SIAM Annual Meeting • SIAM Conference on Financial Mathematics & Engineering 123

Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 PD5 SP3 SP4 W. T. and Idalia Reid Foward Looking Session Past President’s Address: Prize Lecture: Financial Markets and Reflections on SIAM, Large Algebraic Properties Financial Mathematics: Publishing, and the of Riccati Equations Current & Future Challenges Opportunities Before Us 3:00 PM - 3:30 PM 12:45 PM-1:45 PM 2:00 PM - 3:00 PM Room: Nicollet ABC - Level 1 Chair: Lloyd N. Trefethen, Oxford University, Room:Nicollet D2/3 - Level 1 Room: Nicollet ABC - Level 1 United Kingdom The panelists will discuss their views of chal- Chair: Lloyd N. Trefethen, Oxford In the eighties there was considerable interest lenges arising from modern financial markets, University, United Kingdom in the algebraic properties of the following and how Mathematics can help. Topics Riccati equation include systemic risk, the growing importance Upon taking up the post of president I had, of commodities and energy markets, financial of course, formulated my priorities for A*X+XA−XBB*X+C*C=0, SIAM. This talk provides a good occasion regulation, high-frequency trading. where A,B,C , a Banach algebra with to revisit some of those. One area turned ∈

identity, and the involution operation *. Wednesday out to play a vastly larger role than I would Panelists: Conditions are sought to ensure that the above have anticipated, namely mathematical Rene Carmona equation has a solution in A. The results were publishing and many issues associated Princeton University disappointing and the problem was forgotten with it, ethical, technological, economic, until this century when engineers studied the political, and scientific. The future of Sebastian Jaimungal class of spatially distributed systems. One scholarly publishing is far from clear, University of Toronto application was to control formations of but one thing seems certain: big changes vehicles where the algebraic property was are needed and will be coming. We, as essential. This case involves matrices George Papanicolaou mathematicians, are major stakeholders. A,B,Cwith components in a scalar Banach Stanford University We should also be major agents in guiding algebra. Positive results are obtained for both these changes. I will present some of my Steve Shreve commutative and noncommutative algebras. observations and thoughts as we confront Carnegie Mellon University the opportunities before us. Ruth Curtain University of Groningen, Netherlands Douglas N. Arnold University of Minnesota, USA

Coffee Break 3:30 PM-4:00 PM Room:Exhibit Hall - Level 1

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Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 MS27 MS28 MS29 Stress Tests: From Arts to Commodities, Energy Matrix-valued Processes Science - Part II of II Markets & Equilibrium - and their Applications to 4:00 PM-6:00 PM Part II of II Multivariate Stochastic Room:Lake Superior A - Level 5 4:00 PM-6:00 PM Volatility Modeling For Part 1 see MS24 Room:Lake Calhoun - Level 5 4:00 PM-6:00 PM Expectations on stress tests are high For Part 1 see MS25 Room:Nicollet D2 - Level 1 in the financial industry: they should Commodities and energy markets Constructing models for the stochastic measure the resilience of individual bring new challenges to Financial behavior of multiple assets is markedly financial institutions and of the whole Mathematics. These include equilibrium different than the corresponding univariate banking system as part of an economy. and game theory problems, non- case. A popular approach is specifying Additionally, they should act as a standard stochastic models, and a positive matrix-valued process for calmative for nervous markets. It is interplay between supply/demand and the modeling of the covariance matrix time to assess the expectations about speculation. These two minisymposia of the assets. The Wishart process and what information can realistically be will highlight recent work in these areas its extensions are particularly attractive obtained from stress tests. How should and continue the representation of this positive semidefinite affine processes, we choose scenarios which are at the growing research subfiled at the SIAM and thus have analytic Fourier-Laplace same time plausible and informative FME meetings. transforms, which enables fast option of potential weaknesses? How can Organizer: Ronnie Sircar pricing. However, many challenges we assess the validity of our models

Wednesday Princeton University, USA remain within this modeling framework. and the potential consequences where Estimation and calibration, simulation our models break down? How can Organizer: Rene Carmona methods, fast evaluation of Laplace we adequately discriminate adverse Princeton University, USA transforms and portfolio optimization, external shocks and dangerous 4:00-4:25 A Feedback Model for the are all topics were interesting problems endogenous effects? Financialization of Commodity Prices Ronnie Sircar, Princeton University, USA arise in a multivariate setting. This mini- Organizer: Thomas Breuer symposium brings together leading figures 4:30-4:55 Dark Pools and Hidden FH Vorarlberg, Austria Markets within these fields. 4:00-4:25 Lessons and Limits of Ulrich Horst, Humboldt University Berlin, Organizer: Christa Cuchiero Stress Tests as a Macroprudential Germany University of Vienna, Austria Supervisory Tool Konstantinos Tsatsaronis, Bank for 5:00-5:25 Adaptations of Least- Organizer: David Skovmand International Settlements, Switzerland squares Methods to Convex Control Aarhus University, Denmark Problems 4:30-4:55 A Systematic Approach to Juri Hinz, ETH Zürich, Switzerland 4:00-4:25 Calibration of Multivariate Multi-period Stress Testing of Portfolio Affine Stochastic Volatility Models Credit Risk 5:30-5:55 Derivatives on Non-Storable Christa Cuchiero, University of Vienna, Renewable Resources: Fish Futures Martin Summer, OeNB, Austrian Central Austria; Elisa Nicolato and David and Options, Not So Fishy after All. Bank, Austria; Thomas Breuer and Martin Skovmand, Aarhus University, Denmark; Christian Ewald, University of Glasgow, Jandacka, Fachhochschule Vorarlberg, Josef Teichmann, ETH Zürich, Switzerland Austria; Javier Mencia, Banco de Espana, Scotland, UK 4:30-4:55 A Flexible Matrix Libor Model Spain with Smiles 5:00-5:25 Credit Risk Concentration Alessandro Gnoatto, Ludwig-Maximilians- under Stress Universität München, Germany; Jose Michael Kalkbrener, Deutsche Bank, Da Fonseca, Auckland University of Germany Technology, New Zealand; Martino 5:30-5:55 Risk Assessment Modelling Grasselli, University of Padova, Italy of Systemic Institutions 5:00-5:25 The Explicit Laplace Jack McKeown, Bank of England, United Transform for the Wishart Process Kingdom Martino Grasselli, University of Padova, Italy 5:30-5:55 Generalized Affine Transform Formulae and Exact Simulation of the WMSV Model Chulmin Kang and Wanmo Kang, KAIST, Korea

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Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 MS30 CP10 CP11 Calibration and Inverse Liquidity and Trade Utility Maximization Problems in Finance Execution 4:00 PM-6:00 PM 4:00 PM-6:00 PM 4:00 PM-6:00 PM Room:Lake Minnetonka - Level 5 Room:Nicollet D3 - Level 1 Room:Cedar Lake - Level 5 Chair: Stephan Sturm, Princeton University, In this minisymposium we will present Chair: Qihang Lin, Carnegie Mellon USA a panorama of practical as well as University, USA 4:00-4:15 On the Existence of Shadow theoretical issues involved in financial 4:00-4:15 Optimal Trade Execution Prices. model calibration from the perspective with Dynamic Risk Measures Giuseppe Benedetti, CREST, France; Luciano of inverse problems and numerical Qihang Lin and Javier Pena, Carnegie Campi, Université Paris 13, France; analysis. The main goal will be to Mellon University, USA Johannes Muhle-Karbe, ETH Zürich, emphasize a diversity of instruments Switzerland; Jan Kallsen, University of 4:20-4:35 An Optimal Trading Rule Kiel, Germany of interest to the financial industry under Switchable Mean Reversion including derivative pricing in different Market 4:20-4:35 Indifference Pricing with Duy Nguyen, University of Georgia, USA Uncertainty Averse Preferences contexts and regimes. To accomplish Wednesday that goal we will give a broad overview Flavia Giammarino and Pauline Barrieu, 4:40-4:55 Price Impact and Market London School of Economics, United of techniques ranging from fast scales Indifference Prices with Power Utilities Kingdom and algorithm trading applications to Nadim Sah, TU Berlin, Germany 4:40-4:55 Portfolio Optimization Based longer term ones such as commodity 5:00-5:15 Evolutionary Game derivatives and passing through the on Independent Sets of Market Dynamics Using a Non-Equilibrium Cliques calibration of volatility surfaces. Price Formation Rule for Trading with Athula D. Gunawardena, University of Market Orders Organizer: Jorge P. Zubelli Wisconsin, Whitewater, USA; Robert Gareth Q. Witten, University of Cape Town, IMPA, Brazil Meyer, University of Wisconsin, Madison, South Africa USA; Thisath Kularatna, OptSolv LLC., 4:00-4:25 Volatility Surface 5:20-5:35 Optimal Order Routing in Calibration and Relative-Entropy USA; Michael Monaghan, Blackthorne Limit Order Markets Minimization Capital Management, LLC., USA; Arseniy Kukanov, Columbia University, Marco Avellaneda, Courant Institute of Joseph Haske, University of Wisconsin, USA; Rama Cont, CNRS, France, and Mathematical Sciences, New York Whitewater, USA Columbia University, USA University, USA 5:00-5:15 Portfolio Optimization under 5:40-5:55 A Self-exciting Point 4:30-4:55 Calibrating Self-exciting Convex Incentive Schemes Process Model for Limit Order Books Marked Point Processes for Stephan Sturm and Maxim Bichuch, Ekaterina Vinkovskaya, Columbia Algorithmic Trading Princeton University, USA University, USA; Allan Andersen, Sebastian Jaimungal and Jason Ricci, 5:20-5:35 Optimal Portfolios for Hedge Copenhagen Business School, Denmark; University of Toronto, Canada Funds and Their Managers Rama Cont, CNRS, France, and Columbia Gu Wang and Paolo Guasoni, Boston 5:00-5:25 Calibrating Volatility University, USA Surfaces for Commodity Derivatives University, USA Vinicius Albani, IMPA, Brazil 5:40-5:55 An Equilibrium Approach to 5:30-5:55 An Overview of Calibration Utility-Based and Indifference Pricing Methods of Local Volatility Surfaces Daisuke Yoshikawa, Mizuho-DL Financial Jorge P. Zubelli, IMPA, Brazil Technology Co., LTD., Japan; Mark Davis, Imperial College London, United Kingdom

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Wednesday, July 11 Wednesday, July 11 Wednesday, July 11 CP12 CP13 SP5 Credit Risk Insurance Applications I.E. Block Community Lecture: 4:00 PM-5:40 PM 4:00 PM-6:00 PM Creating Reality: Room:Lake Nokomis - Level 5 Room:Lake of the Isles - Level 5 The Mathematics Behind Chair: Jeffrey Humpherys, Brigham Young Chair: Justin Sirignano, Stanford Visual Effects University, USA University, USA 4:00-4:15 Optimal Decumulation: An 4:00-4:15 On the Credit Risk of 6:15 PM - 7:15 PM Investment-Consumption Models for Secured Loans Room: Nicollet ABC - Level 1 Retirees Agnes Tourin, Polytechnic Institute of Chair: Lloyd N. Trefethen, Oxford University, New York University, USA; Fabian Jeffrey Humpherys, Brigham Young United Kingdom University, USA; David Babbel, Astic, Moody’s Investors Service, USA University of Pennsylvania, USA; Craig 4:20-4:35 Conditional Expected Film-makers have long realized one of the best Merrill, Brigham Young University, USA Default Rate Calculations for Credit ways to convince audiences that a computer- generated effect, like a stormy ocean, is real 4:20-4:35 Voluntary Retirement and Risk Applications is to numerically solve physical equations Annuity Contract Andrew Barnes, GE Global Research, describing the motion, bringing mathematics Minsuk Kwak, Korea Advanced Institute USA and scientific computing into the forefront of of Science and Technology, Korea; 4:40-4:55 Measure Changes for animation. As we progress to solving more Yong Hyun Shin, Sookmyung Women’s Reduced-Form Affine Credit Risk physics more accurately and faster, a whole University, Korea Models new way of working has emerged, “virtual 4:40-4:55 Bang-Bang Controls on Claudio Fontana, University of Padova, practical effects”, where artists set up shots Wednesday Some Optimal Insurance Problems Italy virtually as they’d want to in the real world Siu Pang Yung, University of Hong Kong, 5:00-5:15 Killed Brownian Motion and let simulated physics take over. I’ll Hong Kong, PRC with a Prescribed Lifetime demonstrate how a little mathematical analysis 5:00-5:15 Optimal Consumption and Distribution and Models of Default can make a world of difference to making a Portfolio Choice with Life Insurance Alexandru Hening, Steven Evans, and film. under Uncertainty and Borrowing Boris Ettinger, University of California, Constraints Berkeley, USA Robert Bridson University of British Columbia, Canada Xudong Zeng, Shanghai University, China 5:20-5:35 Analysis of Recovery Rate 5:20-5:35 Optimal Dividend of Non-Performing Consumer Credit Payments for the Piecewise- Markus Hoechstoetter and Abdolreza Deterministic Compound Poisson Nazemi, Karlsruhe Institute of Community Reception Risk Model Technology, Germany; Svetlozar T. Runhuan Feng, University of Wisconsin, Rachev, Stony Brook University, USA; 7:15 PM-8:15 PM Milwaukee, USA; Shuaiqi Zhang, Central CASLAV Bozic, Karlsruhe Institute of Room:Exhibit Hall - Level 1 South University, China; Chao Zhu, Technology, Germany University of Wisconsin, Milwaukee, 5:40-5:55 Maximum Likelihood USA Estimation for Large Interacting Stochastic Systems Justin Sirignano, Gustavo Schwenkler, and Kay Giesecke, Stanford University, USA

Intermission 6:00 PM-6:15 PM

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AN12 Speaker Index AN12 Speaker Index Speaker AN12

Italicized names indicate session organizers.

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Barannyk, Lyudmyla, MS14, 5:00 Mon Bocea, Marian, CP23, 4:20 Fri A Bochev, Pavel, MS39, 4:00 Tue Abzhanov, Aidos, PP1, 8:00 Tue Barg, Alexander, MS11, 5:00 Mon Bogart, Tristram C., MS23, 10:30 Tue Adams, Henry, MS2, 11:30 Mon Barnett, Alexander H., MS97, 10:30 Fri Bookman, Lake, PP1, 8:00 Tue Aholt, Chris, MS76, 11:30 Thu Barrett, Wayne, MS92, 4:00 Thu Borges, Carlos C., MS45, 4:00 Tue Akindeinde, Saheed Ojo, CP1, 12:30 Barry, Anna, MS108, 5:30 Fri Mon Baskaran, Arvind, MS103, 11:30 Fri Borges, Carlos C., PP1, 8:00 Tue Albani, Roseane A., PP1, 8:00 Tue Basu, Sukanya, CP2, 11:10 Mon Bosler, Peter A., PP1, 8:00 Tue Alldredge, Graham, PP1, 8:00 Tue Bates, Daniel J., MS16, 4:00 Mon Boubendir, Yassine, MS86, 5:00 Thu Allu, Srikanth, MS4, 11:00 Mon Bates, Daniel J., MS40, 4:00 Tue Bowers, Abigail, MS17, 4:30 Mon Ames, Brendan P., CP18, 4:00 Thu Bauman, Patricia, MS9, 12:30 Mon Boyd, John P., CP15, 12:10 Thu Anderson, Daniel M., MS88, 4:30 Thu Belik, Pavel, PP1, 8:00 Tue Bracey, Scarlett S., CP1, 11:50 Mon Antunes, Pedro R. S., MS53, 11:00 Ben Romdhane, Walid, PP1, 8:00 Tue Brandman, Jeremy, MS57, 11:30 Wed Wed Benedict, Brandy A., PP1, 8:00 Tue Braun, Richard, MS37, 4:00 Tue Aposporidis, Alexis, MS29, 12:00 Tue Bennethum, Lynn S., MS20, 4:00 Mon Braun, Richard, MS49, 10:30 Wed Appelo, Daniel, MS104, 12:00 Fri Bennethum, Lynn S., MS35, 4:00 Tue Braun, Richard, MS60, 4:00 Wed Arbogast, Todd, MS6, 11:00 Mon Bennethum, Lynn S., MS48, 10:30 Wed Braun, Richard, MS88, 4:00 Thu Arceneaux, Taniecea, MS95, 5:00 Thu Bennethum, Lynn S., MS48, 10:30 Wed Breitzman, Timothy D., MS73, 12:00 Thu Archibald, Rick, MS10, 4:00 Mon Bentata, Amel, MS71, 12:00 Thu Bremer, James, MS87, 5:00 Thu Archibald, Rick, MS10, 4:30 Mon Benzi, Michele, PD1, 6:15 Mon Bridson, Robert, SP5, 6:15 Wed Arcolano, Nicholas, MS26, 11:30 Tue Benzi, Michele, MS44, 4:00 Tue Brown, Jed, MS13, 4:00 Mon Arellano, John David, MS70, 4:00 Wed Berliner, Adam, MS102, 12:00 Fri Brune, Peter R., MS7, 12:00 Mon Arena, Orazio, MS59, 5:00 Wed Berlyand, Leonid, MS14, 5:30 Mon Bryan, Kurt, MS25, 11:00 Tue Aristotelous, Andreas, CP17, 5:20 Thu Berrill, Mark, MS4, 10:30 Mon Buckmire, Ron, MS81, 10:30 Thu Arnold, Douglas N., SP3, 2:00 Wed Berrill, Mark, MS13, 4:00 Mon Buffa, Annalisa, MS62, 5:30 Wed Assencio, Diego Cortegoso, MS33, Berrill, Mark, MS13, 5:30 Mon 11:00 Tue Bertozzi, Andrea L., MS12, 4:00 Mon Bunse-Gerstner, Angelika, CP15, 12:30 Thu Assous, Franck, CP9, 5:20 Tue Berwald, Jesse, PP1, 8:00 Tue Burkardt, John, MS10, 5:30 Mon Auchmuty, Giles, CP23, 4:00 Fri Bhowmick, Sanjukta, MS61, 4:00 Wed AN12 Speaker Index Burkett, Blake, MS32, 10:50 Tue Aurentz, Jared, CP11, 11:10 Wed Bhowmick, Sanjukta, MS61, 4:00 Wed Byrne, Erin, MS34, 4:00 Tue Auroux, Didier, CP4, 4:00 Mon Birkisson, Asgeir, MS36, 5:00 Tue Aydil, Eray, MS84, 5:30 Thu Biros, George, MS29, 11:00 Tue C Aydogmus, Ozgur, MS15, 5:30 Mon Biros, George, MS87, 4:00 Thu Cai, Hongtao, MS19, 4:00 Mon Biros, George, PD3, 6:15 Thu Calderer, Maria-Carme, MS9, 11:00 B Biros, George, MS97, 10:30 Fri Mon Bacon, Charles, MS30, 10:30 Tue Biscari, Paolo, MS9, 10:30 Mon Calderer, Maria-Carme, MS18, 5:00 Bacuta, Constantin, MS67, 4:30 Wed Biscari, Paolo, MS21, 4:00 Mon Mon Bader, David A., MS26, 10:30 Tue Biscari, Paolo, MS56, 10:30 Wed Calderer, Maria-Carme, MS57, 10:30 Wed Bader, David A., MS26, 10:30 Tue Blackburn, Simon, MS11, 4:30 Mon Calderer, Maria-Carme, MS65, 4:00 Wed Bader, David A., MS38, 4:00 Tue Blanchard, Jeffrey D., CP20, 12:10 Fri Calderer, Maria-Carme, MS73, 10:30 Thu Bader, David A., MS51, 10:30 Wed Blekherman, Greg, MS76, 10:30 Thu Calderer, Maria-Carme, MS84, 4:00 Thu Bajaj, Chandrajit, MS78, 12:00 Thu Blekherman, Greg, MS76, 10:30 Thu Calderer, Maria-Carme, MS103, 11:00 Fri Baker, Christopher G., MS94, 4:00 Thu Blekherman, Greg, MS99, 10:30 Fri Callender, Hannah L., MS93, 4:00 Thu Balhoff, Matthew, MS35, 5:30 Tue Bloshanskaya, Lidia, PP1, 8:00 Tue Callender, Hannah L., MS93, 4:00 Thu Ball, John, SP2, 2:30 Tue Boateng, Henry A., MS45, 4:30 Tue Camacho, Erika T., MS55, 10:30 Wed Ball, John, MS57, 12:00 Wed Bobaru, Florin, MS68, 4:30 Wed Ball, Katherine, MS19, 4:30 Mon

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Camacho, Erika T., MS55, 12:00 Wed Chu, Chia-Chieh, MS24, 11:30 Tue Del-Castillo-Negrete, Diego, CP14, 5:20 Wed Camacho, Erika T., MS0, 8:00 Wed Chu, Qing, CP4, 4:20 Mon Delgado, Paul M., PP1, 8:00 Tue Cano, Jose G., CP9, 4:40 Tue Chun, Hyung Wook, PP1, 8:00 Tue Demlow, Alan, MS80, 10:30 Thu Cantarero, Alejandro, MS33, 11:30 Tue Chung, Eric, MS74, 12:00 Thu Deng, Quan, MS60, 4:30 Wed Caramanis, Constantine, MS63, 4:00 Cintron-Arias, Ariel, MS83, 11:30 Thu Wed Desalvo, Stephen, PP1, 8:00 Tue Cintron-Arias, Ariel, PD3, 6:15 Thu Cardenas, Rolando, PP1, 8:00 Tue Diachin, Lori A., MS12, 5:00 Mon Cockburn, Bernardo, MS74, 10:30 Thu Carin, Larry, MS79, 11:00 Thu Diachin, Lori A., MS12, 5:30 Mon Cohen, Elaine, MS78, 11:00 Thu Carlsson, Gunnar E., IC1, 8:30 Mon Diakite, Ibrahim O., PP1, 8:00 Tue Connors, Jeffrey M., MS41, 4:30 Tue Carlsson, Gunnar E., PD1, 6:15 Mon Connors, Jeffrey M., MS58, 4:00 Wed Diaz-Castro, Jorge, PP1, 8:00 Tue Case, Elizabeth, PP1, 8:00 Tue Connors, Jeffrey M., MS58, 4:30 Wed Dillon, Geoffrey, CP12, 10:50 Wed Cassidy, Hugh, MS100, 11:00 Fri Connors, Jeffrey M., MS72, 10:30 Thu Ding, Xueru, CP2, 12:30 Mon Castillo, Jose, MS27, 10:30 Tue Constantinescu, Emil M., MS58, 4:00 Dobson, David C., MS31, 11:30 Tue Castillo, José E., MS27, 10:30 Tue Wed Dokken, Doug, PP1, 8:00 Tue Castillo-Garsow, Melissa, MS0, 9:40 Cont, Rama, MT1, 1:00 Sun Dokken, Tor, PD2, 6:15 Mon Wed Cont, Rama, MS71, 10:30 Thu Dokken, Tor, MS62, 4:00 Wed Castrodad, Alexey, MS90, 4:30 Thu Cont, Rama, MS71, 10:30 Thu Dokken, Tor, MS62, 4:00 Wed Cesana, Pierluigi, MS64, 5:00 Wed Cont, Rama, MT1, 1:00 Sun Dokken, Tor, MS78, 10:30 Thu Cesmelioglu, Aycil, MS41, 4:00 Tue Coon, Ethan T., MS4, 12:00 Mon Dong, Suchuan, CP17, 5:40 Thu Chabaud, Brandon, CP14, 4:40 Wed Crespi, Giovanni, CP18, 5:00 Thu Dorea, Chang C., PP1, 8:00 Tue Chan, Tony, IC4, 9:15 Tue Crivelli, Joseph J., MS91, 4:30 Thu Doud, Jessica, PP1, 8:00 Tue Index Speaker AN12 Chang, Mou-Hsiung, CP1, 11:30 Mon Cromer, Michael, PP1, 8:00 Tue Drapaca, Corina, MS18, 4:00 Mon Chang, Yuqing, PP1, 8:00 Tue Crook, Susan, PP1, 8:00 Tue Drapaca, Corina, MS29, 10:30 Tue Chaskalovic, Joel, CP13, 5:20 Wed Cui, Jintao, MS67, 5:00 Wed Driscoll, Tobin, MS3, 10:30 Mon Chaudhry, Jehanzeb H., MS58, 5:00 Curran, Mark C., PP1, 8:00 Tue Driscoll, Tobin, MS36, 4:30 Tue Wed Curtain, Ruth, SP4, 3:00 Wed Drummond, Leroy A., MS105, 11:30 Chelikowsky, James R., PD4, 8:15 Thu Fri Curtarolo, Stefano, MS112, 4:30 Fri Chelikowsky, James R., MS112, 4:00 Fri Du, Qiang, MS73, 11:30 Thu Cutler, Emma, MS19, 5:00 Mon Chen, Alex, MS90, 4:00 Thu Dubey, Anshu, MS30, 11:00 Tue Chen, Alex, MS90, 4:00 Thu D Dutta, Tarini K., CP22, 4:40 Fri Chen, Feng, MS113, 5:00 Fri D’Ambroise, Jennie, MS22, 10:30 Tue Duursma, Iwan, MS1, 10:30 Mon Chen, Gong, MS19, 5:30 Mon Daripa, Prabir, CP21, 4:20 Fri Duursma, Iwan, MS1, 10:30 Mon Chen, Rebecca, PP1, 8:00 Tue Darve, Eric F., MS117, 5:00 Fri Duursma, Iwan, MS11, 4:00 Mon Chen, Ying, PP1, 8:00 Tue Davidson, Ruth E., PP1, 8:00 Tue Cheng, Bin, PP1, 8:00 Tue Davis, Lisa G., CP5, 5:00 Mon E Eager, Eric A., CP10, 4:20 Tue Davis, Timothy A., CP3, 10:30 Mon Cheng, Philip, CP21, 4:40 Fri Earls, Christopher J., MS25, 10:30 Tue Davis, Timothy A., MS77, 10:30 Thu Chepushtanova, Sofya, CP20, 11:30 Fri Earls, Christopher J., MS25, 10:30 Tue Dawson, Clint, MS48, 11:00 Wed Chidyagwai, Prince, CP13, 4:00 Wed Edelstein-Keshet, Leah, MS34, 4:00 Tue Dayton, Barry H., MS40, 4:30 Tue Chityala, Ravishankar N., CP20, 10:50 Edmonds, Nick, MS51, 11:30 Wed Fri De Simone, Antonio, MS9, 10:30 Mon Edwards, H. Carter, MS82, 11:30 Thu Cho, Heyrim, CP16, 11:10 Thu De Vita, Raffaella, MS9, 10:30 Mon Efendiev, Yalchin, MS6, 11:30 Mon Choi, Minseok, CP16, 10:50 Thu De Vita, Raffaella, MS21, 4:00 Mon Efendiev, Yalchin, MS20, 5:30 Mon Chowell, Gerardo, MS0, 9:15 Wed De Vita, Raffaella, MS56, 10:30 Wed Ehlert, Ben, PP1, 8:00 Tue Chowell, Gerardo, MS83, 10:30 Thu De Vita, Raffaella, MS64, 4:00 Wed Eklund, David, MS16, 4:30 Mon Chowell, Gerardo, MS83, 10:30 Thu Del Valle, Sara, MS0, 8:00 Wed Ekren, Ibrahim, MS71, 11:00 Thu Chrislieb, Andrew, MS113, 5:30 Fri

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El Rouayheb, Salim, MS1, 12:00 Mon Gewecke, Nicholas, MS60, 4:00 Wed Halappanavar, Mahantesh, MS61, 4:00 Wed El-Bakry, Amr, PD3, 6:15 Thu Gewecke, Nicholas, MS88, 4:00 Thu Halappanavar, Mahantesh, MS61, 5:30 Elhamifar, Ehsan, MS79, 11:30 Thu Gholaminejad, Amir, PP1, 8:00 Tue Wed Eller, Matthias, MS47, 11:00 Wed Ghosh, Aditi, PP1, 8:00 Tue Hale, Nick, MS36, 4:00 Tue Ely, Geoffrey, MS42, 4:30 Tue Ghosh, Debojyoti, CP17, 4:00 Thu Hale, Nick, MS36, 4:00 Tue Emad, Nahid, MS94, 4:30 Thu Gibou, Frederic, MS33, 10:30 Tue Hammond, Jeff R., MS30, 10:30 Tue Emelianenko, Maria, MS12, 4:00 Mon Gilbert, John R., MS26, 10:30 Tue Hammond, Jeff R., MS42, 4:00 Tue Emelianenko, Maria, MS22, 10:30 Tue Gilbert, John R., MS38, 4:00 Tue Hammond, Jeff R., MS42, 5:30 Tue Epshteyn, Yekaterina, MS48, 11:30 Wed Gilbert, John R., MS51, 10:30 Wed Hanks, Danielle, PP1, 8:00 Tue Erickson, Brittany, MS22, 11:00 Tue Gilbert, John R., MS51, 12:00 Wed Hansen, Scott, MS47, 12:00 Wed Erickson, Craig, CP3, 12:10 Mon Gilbert, Robert P., MS14, 4:00 Mon Hanson, Eric, MS66, 4:30 Wed Espanol, Malena Ines, MS22, 11:30 Tue Gobbert, Matthias K., MS98, 10:30 Fri Hao, Wei-Da, CP3, 11:10 Mon Estrada, Ernesto, IP4, 9:15 Fri Gobbert, Matthias K., MS98, 10:30 Fri Hao, Wenrui, MS66, 4:00 Wed Evans, Jim W., MS106, 10:30 Fri Gobbert, Matthias K., MS111, 4:00 Fri Hao, Yiping, MS15, 5:00 Mon Evans, Jim W., MS106, 10:30 Fri Godin, Yuri, MS24, 12:00 Tue Hao, Yiping, PP1, 8:00 Tue Goldfarb, Jonathan, PP1, 8:00 Tue Harrison, Robert, MS42, 4:00 Tue F Golovaty, Dmitry, MS64, 4:30 Wed Harrod, William, PD1, 6:15 Mon Farthing, Matthew, MS72, 11:00 Thu Golovaty, Dmitry, MS65, 5:30 Wed Hauenstein, Jonathan, MS66, 4:00 Wed Fasshauer, Greg, MS3, 11:30 Mon Gonzalez, Guilmer, CP11, 11:50 Wed Hauenstein, Jonathan, MS66, 5:00 Wed Fehribach, Joseph D., CP8, 11:10 Tue Gonzalez Parra, Paula A., CP5, 4:00 Haupt, Jarvis, MS50, 12:00 Wed Feng, Zhilan, MS0, 8:25 Wed Mon Haws, David, MS109, 5:00 Fri Fink, Alex, MS46, 12:00 Wed Gorb, Yuliya, MS6, 10:30 Mon Hegemann, Jan, PP1, 8:00 Tue Finkel, Hal, MS30, 11:30 Tue Gorb, Yuliya, MS14, 4:00 Mon Hegemann, Rachel, PP1, 8:00 Tue Forest, Greg, MS64, 4:00 Wed Gorb, Yuliya, MS24, 10:30 Tue Hermi, Lotfi, MS43, 4:00 Tue Fox, Matthew, CP6, 11:50 Tue Gorb, Yuliya, MS35, 4:30 Tue Hernandez, Gerardo, MS45, 5:30 Tue Franchetti, Franz, MS30, 12:00 Tue Gounley, John, MS32, 11:10 Tue Heroux, Michael A., IC8, 8:30 Thu Friedman, Avner, MS47, 10:30 Wed Gozluklu, Burak, MS32, 11:30 Tue Heroux, Michael A., MS82, 10:30 Thu Grandine, Thomas A., PD2, 6:15 Mon Friedman, Joel, MS11, 5:30 Mon Heroux, Michael A., MS94, 4:00 Thu

AN12 Speaker Index Grandine, Thomas A., MS78, 10:30 Fu, Xiaojing, PP1, 8:00 Tue Heroux, Michael A., PD3, 6:15 Thu Thu Heroux, Michael A., MS105, 10:30 Fri G Grandine, Thomas A., MS100, 12:00 Galvin, Keith, MS28, 12:00 Tue Fri Heroux, Michael A., MS117, 4:00 Fri Gammack, David, MS93, 5:00 Thu Grant, Zachary, MS32, 10:30 Tue Hester, Susan, MS93, 5:30 Thu Gao, Da, MS84, 4:30 Thu Gravesen, Jens, MS62, 5:00 Wed Hickmann, Kyle S., PP1, 8:00 Tue Gao, Da, MS112, 4:00 Fri Grigorescu, Elena, MS1, 11:00 Mon Hicks, Illya, MS95, 4:00 Thu Hicks, Illya, MS95, 4:00 Thu Gao, Da, MS112, 5:00 Fri Grinfeld, Pavel, MS43, 5:00 Tue Hidalgo, Hugo, CP2, 12:10 Mon Garba, Salisu M., CP22, 4:20 Fri Grout, Ryan, PP1, 8:00 Tue Higgins, Raegan, MS55, 10:30 Wed Gartland, Eugene C., MS9, 12:00 Mon Gunney, Brian, MS13, 4:30 Mon Gebremedhin, Assefaw H., MS110, 4:00 Gunzburger, Max, MS10, 4:00 Mon Hillar, Christopher, MS46, 11:30 Wed Fri Gunzburger, Max, MS10, 5:00 Mon Ho, Kenneth L., MS97, 11:30 Fri Gebremedhin, Assefaw H., MS110, 4:00 Fri Guo, Feng, PP1, 8:00 Tue Hoemmen, Mark, MS105, 11:00 Fri Gelashvili, Koba, CP18, 6:00 Thu Hofstrand, Andrew M., PP1, 8:00 Tue Gewecke, Nicholas, MS37, 4:00 Tue H Hogan, Emilie, MS61, 4:30 Wed Gewecke, Nicholas, MS37, 5:30 Tue Haam, Eddie, PP1, 8:00 Tue Hogben, Leslie, MS92, 4:00 Thu Gewecke, Nicholas, MS49, 10:30 Wed Hager, William, MS77, 10:30 Thu

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Hogben, Leslie, MS92, 4:30 Thu Kahng, Byungik, CP1, 10:50 Mon Krasny, Robert, MS3, 11:00 Mon Hogben, Leslie, MS102, 10:30 Fri Kannan, Ramaseshan, PP1, 8:00 Tue Krishnan, Sanjeevi, MS2, 11:00 Mon Holmes, Douglas, MS21, 5:00 Mon Kao, Chiu-Yen, MS31, 10:30 Tue Kuegler, Philipp, CP6, 11:10 Tue Holzer, Matt, PP1, 8:00 Tue Kao, Chiu-Yen, MS43, 4:00 Tue Kumar, Satish, MS49, 10:30 Wed Hooper, Russell W., CP14, 5:00 Wed Kao, Chiu-Yen, MS53, 10:30 Wed Kumar, Satish, MS101, 11:00 Fri Kao, Chiu-Yen, MS53, 12:00 Wed Horn, Mary Ann, MS59, 4:30 Wed Kvernadze, George, PP1, 8:00 Tue Kao, Justin, MS37, 5:00 Tue Horntrop, David J., CP16, 10:30 Thu Kwon, Byong Y., PP1, 8:00 Tue Hornung, Richard, MS13, 5:00 Mon Kaper, Tasso J., PD1, 6:15 Mon Hou, Hongyan, PP1, 8:00 Tue Kaper, Tasso J., MS44, 4:00 Tue L Labovsky, Alexander, MS17, 4:00 Mon Hower, Valerie, MS85, 5:30 Thu Katagiri, Takahiro, MS105, 12:00 Fri Keefe, Daniel, MS18, 5:30 Mon Labovsky, Alexander, MS28, 10:30 Hu, Cheng-Feng, CP18, 4:20 Thu Tue Kees, Chris, MS48, 12:00 Wed Hu, Guanghui, MS116, 5:30 Fri Labovsky, Alexander, MS28, 10:30 Tue Kemajou, Elisabeth, PP1, 8:00 Tue Hu, Jingwei, PP1, 8:00 Tue Labovsky, Alexander, MS41, 4:00 Tue Kepner, Jeremy, MS26, 10:30 Tue Huang, Lunmei, PP1, 8:00 Tue Lacave, Christophe, CP23, 5:00 Fri Kepner, Jeremy, MS26, 12:00 Tue Huang, Wanwan, PP1, 8:00 Tue Lakoba, Taras, CP12, 11:30 Wed Kepner, Jeremy, MS38, 4:00 Tue Huchette, Joseph, MS8, 11:00 Mon Lasiecka, Irena M., MS47, 10:30 Wed Kepner, Jeremy, MS51, 10:30 Wed Humpherys, Jeffrey, MS81, 11:00 Mon Lasiecka, Irena M., MS59, 4:00 Wed Keyfitz, Barbara Lee, SP1, 2:45 Mon Humpherys, Jeffrey, MS98, 12:00 Fri Lasiecka, Irena M., MS75, 10:30 Thu Kim, Changho, CP8, 11:50 Tue Hungerford, James T., MS77, 10:30 Laubenbacher, Reinhard, MS73, 11:00 Thu Kim, Chris, PP1, 8:00 Tue Thu Hunter, Blake, MS90, 5:00 Thu Kim, Christopher, PP1, 8:00 Tue Laubenbacher, Reinhard, MS109, 4:00 Index Speaker AN12 Fri Hwang, Sung Jin, PP1, 8:00 Tue Kim, Jibum, CP20, 11:10 Fri Lauter, Kristin, IC2, 9:15 Mon Hyman, James (Mac), MS0, 8:00 Wed Kim, Joungdong, CP19, 10:50 Fri Lavor, Carlile, MS5, 12:00 Mon Hyman, James (Mac), MS0, 8:50 Wed Kim, Peter S., MS91, 4:00 Thu Kim, Peter S., MS91, 4:00 Thu LeBris, Claude, IC6, 9:15 Wed I Kim, Yangjin, MS91, 5:00 Thu Lee, Hyesuk, MS17, 5:30 Mon Ibragimov, Akif, MS35, 5:00 Tue Kime, Katherine, PP1, 8:00 Tue Lee, Jeonghun, PP1, 8:00 Tue Ihde, Steven L., MS40, 5:30 Tue Kirby, Mike, MS86, 4:30 Thu Lee, Shine-Der, CP18, 5:40 Thu Iliescu, Traian, MS41, 5:00 Tue Kissler, Stephen M., PP1, 8:00 Tue Lee, Tsung-Lin, CP11, 12:10 Wed J Kjerland, Marc, PP1, 8:00 Tue Lehoucq, Richard B., MS68, 5:00 Wed Jensen, Anders, MS46, 10:30 Wed Klentzman, Jill, MS60, 5:30 Wed Lenhart, Suzanne M., MS55, 11:30 Wed Jiang, Shidong, MS87, 5:30 Thu Knepley, Matthew G., MS94, 5:30 Thu Lenhart, Suzanne M., MS75, 10:30 Jilkine, Alexandra, MS34, 4:30 Tue Knoll, Dana, MS117, 4:30 Fri Thu Jimenez, Silvia, MS24, 11:00 Tue Kohn, Robert V., MS57, 10:30 Wed Lenth, Kevin, CP14, 4:00 Wed Jones, Christopher S., PP1, 8:00 Tue Kolda, Tamara G., PD1, 6:15 Mon Lerman, Gilad, MS50, 10:30 Wed Kolda, Tamara G., MS79, 10:30 Thu Jones, Jaylan S., MS113, 4:30 Fri Lerman, Gilad, MS63, 4:00 Wed Jost, Christine, PP1, 8:00 Tue Kolda, Tamara G., PD4, 8:15 Thu Lerman, Gilad, MS79, 10:30 Thu Jovanovic, Mihailo R., MS36, 5:30 Tue Koltakov, Sergey, PP1, 8:00 Tue Lerman, Gilad, MS90, 5:30 Thu Joyner, Michele, CP5, 4:20 Mon Koltakov, Sergey, CP20, 10:30 Fri Leskovec, Jure, MS38, 4:00 Tue Jurayev, Isom, CP12, 12:30 Wed Kondrashov, Dmitry A., MS93, 4:00 Thu Leslie, Barrett A., PP1, 8:00 Tue Kondrashov, Dmitry A., MS93, 4:30 Thu Leung, Shingyu, MS74, 10:30 Thu K Kostelich, Eric J., MS111, 5:00 Fri Leung, Shingyu, MS86, 4:00 Thu Kaboudian, Abouzar, CP13, 5:40 Wed Kozdon, Jeremy E., PP1, 8:00 Tue Leung, Shingyu, MS96, 10:30 Fri Kadioglu, Samet Y., MS72, 11:30 Thu Kraemer, Boris, PP1, 8:00 Tue Levin, Simon, IP2, 2:00 Thu

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Levin, Simon, MS0, 8:00 Wed Manning, Cammey Cole, MS22, 10:30 Tue Moore, Tanya, MS83, 10:30 Thu Levy, Rachel, MS88, 4:00 Thu Manning, Cammey Cole, MS34, 4:00 Tue Moore, Tanya, MS95, 4:00 Thu Leykekhman, Dmitriy, MS52, 11:30 Manning, Matthew, CP13, 5:00 Wed Morales, Romarie, PP1, 8:00 Tue Wed Manning, Cammey Cole, PD3, 6:15 Thu Morales-Butler, Emmanuel J., MS83, 12:00 Thu Leykin, Anton, MS40, 5:00 Tue Manon, Christopher A., MS23, 11:00 Li, Longfei, MS49, 12:00 Wed Tue Mori, Yoichiro, MS101, 10:30 Fri Li, Peijun, MS107, 12:00 Fri Manore, Carrie A., PP1, 8:00 Tue Mori, Yoichiro, MS114, 4:00 Fri Mori, Yoichiro, MS114, 4:00 Fri Li, Wenbin, MS96, 12:00 Fri Manzini, Gianmarco, PP1, 8:00 Tue Moskow, Shari, MS24, 10:30 Tue Li, Xingjie, MS39, 5:00 Tue Mao, Youli, MS67, 4:00 Wed Moskow, Shari, MS116, 4:30 Fri Li, Yan, CP17, 4:20 Thu Marcia, Roummel F., MS70, 5:00 Wed Motta, Francis C., CP8, 11:30 Tue Liang, Xiangdong, MS53, 10:30 Wed Margetis, Dionisios, MS106, 10:30 Fri Mottram, Nigel, MS56, 10:30 Wed Lim, Lek-Heng, MS99, 11:00 Fri Margetis, Dionisios, MS106, 11:30 Fri Moulton, Jeffrey, MS8, 10:30 Mon Lin, Fu, CP1, 12:10 Mon Martel, Jordan M., PP1, 8:00 Tue Muench, Andreas, MS60, 5:00 Wed Lin, Junshan, MS107, 11:30 Fri Martin, Paul A., CP21, 5:00 Fri Muite, Benson K., MS65, 5:00 Wed Lions, Pierre-Louis, IP1, 9:15 Thu Martin, William J., MS1, 10:30 Mon Murillo, Anarina, MS55, 11:00 Wed Lipnikov, Konstantin, MS20, 5:00 Mon Martin, William J., MS11, 4:00 Mon Martin, William J., MS11, 4:00 Mon Lipton, Robert P., MS6, 10:30 Mon Martinelli, Sheri L., CP2, 10:50 Mon N Lipton, Robert P., MS73, 10:30 Thu Nakajima, Kengo, MS82, 10:30 Thu Lipton, Robert P., MS73, 10:30 Thu Martinez-Rivera, Xavier, CP3, 11:30 Nakajima, Kengo, MS94, 4:00 Thu Mon Lipton, Robert P., MS84, 4:00 Thu Nakajima, Kengo, MS105, 10:30 Fri Mattis, Steven A., PP1, 8:00 Tue Liu, Di, MS107, 10:30 Fri Nakajima, Kengo, MS105, 10:30 Fri May, Elebeoba E., MS12, 4:00 Mon Liu, Di, MS116, 4:00 Fri Napoli, Gaetano, MS9, 11:30 Mon May, Eleboeba E., MS34, 4:00 Tue Liu, Fung-Bao, CP9, 5:40 Tue Narayan, Sivaram, MS92, 5:30 Thu Mayes, Maricris, MS42, 5:00 Tue Liu, Hui, CP11, 11:10 Wed Nardinocchi, Paola, MS21, 4:30 Mon Mayo, Talea, MS45, 5:00 Tue Liu, Jingchen, MS104, 11:00 Fri Nectow, Alexander, PP1, 8:00 Tue McCoy, Michael, MS50, 11:30 Wed Lou, Yifei, MS22, 12:00 Tue Neerchal, Nagaraj, MS98, 10:30 Fri Mccoy, Tim M., MS16, 5:00 Mon Lu, Ya Yan, MS96, 10:30 Fri Neerchal, Nagaraj, MS111, 4:00 Fri McDonald, Judith J., MS102, 11:30 Fri Lugowski, Adam, MS51, 11:00 Wed Negahban, Sahand, MS50, 11:00 Wed AN12 Speaker Index McGarrity, Kimberly S., CP7, 11:10 Luli, Dori, PP1, 8:00 Tue Neilan, Michael J., MS52, 10:30 Wed Tue Luo, Songting, MS86, 5:30 Thu Neilan, Michael J., MS52, 11:00 Wed McGehee, Richard, MS108, 5:00 Fri Luo, Songting, MS116, 5:00 Fri Neilan, Michael J., MS67, 4:00 Wed Medina, Francis P., PP1, 8:00 Tue Luskin, Mitchell, MS39, 4:00 Tue Neilan, Michael J., MS80, 10:30 Thu Mercurio, Fabio, MT1, 1:00 Sun Lyche, Tom, MS62, 4:30 Wed Nguyen, Hoai Minh, MS57, 10:30 Wed Meshkat, Nicolette, MS109, 4:30 Fri Nguyen, Hoai Minh, MS65, 4:00 Wed M Miller, Laura A., MS21, 5:30 Mon Nguyen, Hoai-Minh, MS65, 4:30 Wed Ma, Yi, MS63, 5:00 Wed Miller, Owen D., MS43, 5:30 Tue Nicholas, Mike, PP1, 8:00 Tue Macauley, Matthew, MS85, 5:00 Thu Milligan, Thomas, MS102, 11:00 Fri Nichols, Jonathan, MS25, 11:30 Tue Madduri, Kamesh, MS38, 5:00 Tue Minkoff, Susan E., PP1, 8:00 Tue Nie, Qing, MS72, 10:30 Thu Mahdavi Hosseini, Shaudi, PP1, 8:00 Mirzargar, Mahsa, MS89, 5:00 Thu Nigam, Nilima, MS97, 11:00 Fri Tue Miura, Keiji, CP6, 10:50 Tue Nordstrom, Jan, CP17, 5:00 Thu Maier, Christine, MS32, 11:50 Tue Montovan, Kathryn, CP5, 4:40 Mon Norris, Boyana, MS110, 4:30 Fri Maki, Kara L., MS88, 5:00 Thu Moore, Tanya, MS33, 10:30 Tue Nuno, Miriam, CP10, 5:00 Tue Makrakis, George, MS96, 11:00 Fri Moore, Tanya, MS45, 4:00 Tue Nuno, Miriam, MS83, 11:00 Thu Malhotra, Dhairya, PP1, 8:00 Tue Moore, Tanya, MS55, 10:30 Wed Nuno, Miriam, PD4, 8:15 Thu Manning, Cammey Cole, MS12, 4:00 Mon Moore, Tanya, MS70, 4:00 Wed

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Nusbaum, Kurtis L., MS82, 11:00 Thu Peterson, Chris, MS16, 4:00 Mon Rebholz, Leo, MS17, 4:00 Mon Nutz, Marcel, MS71, 11:30 Thu Peterson, Ellen, MS37, 4:00 Tue Rebholz, Leo, MS28, 10:30 Tue Peterson, Ellen, MS37, 4:00 Tue Rebholz, Leo, MS41, 4:00 Tue O Peterson, Ellen, MS49, 10:30 Wed Reed, Heather M., CP9, 4:20 Tue Obeidat, Abdalla A., PP1, 8:00 Tue Peterson, Ellen, MS60, 4:00 Wed Reinhardt, Steve, MS51, 10:30 Wed Oestreicher, Samantha, MS108, 4:30 Fri Peterson, Ellen, MS88, 4:00 Thu Rejto, Peter, MS47, 11:30 Wed Olbermann, Heiner, MS65, 4:00 Wed Petiton, Serge G., MS82, 10:30 Thu Ren, Kui, MS116, 4:00 Fri Ortega, Omayra, PP1, 8:00 Tue Petiton, Serge G., MS82, 10:30 Thu Ren, Weiqing, MS115, 4:00 Fri Osting, Braxton, MS31, 10:30 Tue Petiton, Serge G., MS94, 4:00 Thu Ren, Zhuyin, MS72, 12:00 Thu Osting, Braxton, MS31, 10:30 Tue Petiton, Serge G., MS105, 10:30 Fri Restrepo, Juan M., CP2, 10:30 Mon Osting, Braxton, MS43, 4:00 Tue Petra, Noemi, CP9, 4:00 Tue Osting, Braxton, MS53, 10:30 Wed Restrepo, Juan M., CP10, 4:00 Tue Phan, Dzung, MS77, 12:00 Thu Ou, Yvonne, MS14, 4:30 Mon Reynolds, Daniel R., MS7, 11:00 Mon Philip, Bobby, MS4, 10:30 Mon Oyarzua, Ricardo, MS80, 11:00 Thu Reznick, Bruce, MS99, 10:30 Fri Philip, Bobby, MS4, 10:30 Mon Rhebergen, Sander, MS80, 11:30 Thu Philip, Bobby, MS13, 4:00 Mon P Richardson, Mark, CP15, 11:30 Thu Pal, Nabendu, MS111, 4:30 Fri Philip, Bobby, CP11, 10:30 Wed Richey, Matthew, PD3, 6:15 Thu Pal, Ranjan, CP18, 5:20 Thu Phillips, Daniel, MS56, 11:30 Wed Richins, Russell B., MS107, 11:00 Fri Pandey, Abhishek, PP1, 8:00 Tue Pinar, Ali, MS26, 11:00 Tue Riener, Cordian B., MS76, 11:00 Thu Pantula, Sastry, PD1, 6:15 Mon Potter, Harrison, MS60, 4:00 Wed Rios-Soto, Karen, MS34, 5:00 Tue Pao, Karen I., MS117, 4:00 Fri Pottmann, Helmut, IC7, 8:30 Thu Rios-Soto, Karen, MS0, 8:00 Wed

Pao, Karen I., MS117, 5:30 Fri Pottmann, Helmut, MS89, 4:30 Thu Index Speaker AN12 Roberts, Joseph P., PP1, 8:00 Tue Papanicolaou, George C., JP1, 2:00 Prakash, Aditya, MS38, 4:30 Tue Rome, Scott, PP1, 8:00 Tue Mon Promislow, Keith, IC10, 8:30 Fri Rong, Libin, MS15, 4:00 Mon Park, Jeonghyung, MS18, 4:00 Mon Promislow, Keith, MS103, 10:30 Fri Rossi, Louis F., MS3, 10:30 Mon Park, Jun-Koo, MS5, 11:30 Mon Promislow, Keith, MS113, 4:00 Fri Rossi, Louis F., CP12, 10:30 Wed Patel, Amit, MS2, 12:00 Mon Puri, Ishwar, MS21, 4:00 Mon Roualdes, Edward, MS85, 4:30 Thu Paterson, Colin, PP1, 8:00 Tue Rubensson, Emanuel H., CP8, 10:30 Paulsen, William, CP13, 4:20 Wed Q Qian, Jianliang, MS74, 10:30 Thu Tue Pavarino, Luca F., CP11, 11:30 Wed Qian, Jianliang, MS86, 4:00 Thu Rubin, Jonathan E., CP6, 10:30 Tue Pawlowski, Roger, MS4, 11:30 Mon Qian, Jianliang, MS96, 10:30 Fri Rudberg, Elias, CP8, 10:50 Tue Pearl, Jennifer, MS98, 11:30 Fri Qin, Zhenyun, PP1, 8:00 Tue Russell, David, MS59, 5:30 Wed Pence, Thomas, MS101, 11:30 Fri Quaife, Bryan D., MS87, 4:00 Thu Rust, Bert W., CP10, 4:40 Tue Pencheva, Gergina, MS6, 12:30 Mon Quaife, Bryan D., MS87, 4:00 Thu Peshkov, Ilya, CP7, 10:30 Tue Quaife, Bryan D., MS97, 10:30 Fri S Saad, Yousef, IP5, 2:00 Fri Peszynska, Malgorzata, MS20, 4:00 Mon Quaini, Annalisa, MS17, 5:00 Mon Saad, Yousef, MS112, 4:00 Fri Peszynska, Malgorzata, MS20, 6:00 Queiroz, Tiago Etiene, MS100, 10:30 Fri Mon Sadiq, Burhan, CP15, 10:50 Thu Peszynska, Malgorzata, MS35, 4:00 Tue R Saito, Naoki, MS43, 4:30 Tue Peszynska, Malgorzata, MS48, 10:30 Wed Rajan, Krishna, MS112, 4:00 Fri Samaey, Giovanni, CP16, 11:50 Thu Peters, Jorg, MS89, 4:00 Thu Rajaram, Rajeev, CP1, 11:10 Mon Samanta, Amit, MS104, 10:30 Fri Peters, Jorg, MS89, 5:30 Thu Ranjan, Gyan, CP3, 10:50 Mon Samanta, Amit, MS104, 11:30 Fri Peters, Thomas J., MS100, 10:30 Fri Rao, Anil, MS110, 5:00 Fri Samanta, Amit, MS115, 4:00 Fri Peters, Thomas, MS100, 11:30 Fri Ratsch, Christian, MS106, 11:00 Fri Sampath, Rahul S., CP11, 10:50 Wed Peters, Travis, CP3, 11:50 Mon Rayfield, William Z., MS95, 5:30 Thu Sanchez, Eduardo, MS27, 11:30 Tue Petersen, Kellen, PP1, 8:00 Tue Rebholz, Leo, MS17, 4:00 Mon Sandstede, Bjorn, PP1, 8:00 Tue

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Santosa, Fadil, MS31, 11:00 Tue Smereka, Peter, MS86, 4:00 Thu Triggiani, Roberto, MS75, 10:30 Thu Sawyer, Megan, PP1, 8:00 Tue Smereka, Peter, MS106, 12:00 Fri Trogdon, Thomas D., CP12, 11:10 Wed Sayas, Francisco J., MS52, 10:30 Wed Smolka, Linda, MS37, 4:30 Tue Trykozko, Anna, MS6, 12:00 Mon Sayas, Francisco J., MS52, 10:30 Wed Sosa, Anibal, CP9, 5:00 Tue Turner, John, MS58, 5:30 Wed Sayas, Francisco J., MS67, 4:00 Wed Srinivasan, Sriram, PP1, 8:00 Tue Turner, Peter R., MS69, 5:30 Wed Sayas, Francisco J., MS80, 10:30 Thu Stanley, Sarah, MS8, 11:30 Mon Turner, Peter R., MS54, 5:30 Wed Scheibe, Timothy D., IC9, 8:30 Fri Stefanov, Plamen, MS74, 11:00 Thu Turner, Peter R., MS8, 10:30 Mon Scherrer, Chad, MS61, 5:00 Wed Steinberg, Stanly L., MS27, 12:00 Tue Turner, Peter R., MS19, 4:00 Mon Seefeldt, Benjamin, MS82, 12:00 Thu Stewart, Iain W., MS56, 11:00 Wed Turner, Peter R., MS32, 10:30 Tue Turner, Peter R., MS54, 10:30 Wed Seibold, Benjamin, CP22, 4:00 Fri Stoyanov, Miroslav, MS41, 5:30 Tue Turner, Peter R., MS69, 4:00 Wed Sell, George, MS59, 4:00 Wed Sullivant, Seth, MS85, 4:00 Thu Turner, Peter R., MS81, 10:30 Thu Serna, Susana, MS74, 10:30 Thu Sullivant, Seth, MS109, 4:00 Fri Turner, Peter R., MS111, 4:00 Fri Serna, Susana, MS74, 11:30 Thu Sullivant, Seth, MS109, 5:30 Fri Serna, Susana, MS86, 4:00 Thu Turzi, Stefano, MS56, 12:00 Wed Serna, Susana, MS96, 10:30 Fri T Tutberidze, Mikheil, CP12, 11:50 Wed Seshaiyer, Padmanabhan, MS98, 11:00 Takhirov, Aziz, MS67, 5:30 Wed Fri Tal-Ezer, Hillel, CP13, 4:40 Wed U Ugander, John, MS38, 5:30 Tue Setayeshgar, Leila, CP10, 5:40 Tue Tan, Likun, CP7, 11:50 Tue Uminsky, David T., MS3, 12:00 Mon Shahvali, Mohammad, CP2, 11:50 Tang, Qinglin, PP1, 8:00 Tue Utke, Jean, MS110, 5:30 Fri Mon Tang, Sunli, PP1, 8:00 Tue Shapeev, Alexander V., MS39, 5:30 Tania, Nessy, MS34, 5:30 Tue Tue V Tapia, Richard A., IP3, 2:45 Thu Vahab, Mehdi, CP19, 10:30 Fri Shapiro, Avi, CP19, 11:10 Fri Taylor, Mark A., MS27, 11:00 Tue van der Holst, Hein, MS102, 10:30 Fri Shearer, Michael, MS88, 5:30 Thu Taylor, Steve, MS47, 10:30 Wed Van Koten, Brian, MS39, 4:30 Tue Sheils, Natalie, PP1, 8:00 Tue Taylor, Steve, MS59, 4:00 Wed Varatharajah, Rajah P., CP7, 12:10 Tue Shiflet, Angela B., MS111, 5:30 Fri Taylor, Steve, MS75, 10:30 Thu Vasylkivska, Veronika S., PP1, 8:00 Tue Shontz, Suzanne M., MS18, 4:00 Mon Tchelepi, Hamdi, MS7, 10:30 Mon Veerapaneni, Shravan, MS87, 4:30 Thu Shontz, Suzanne M., MS29, 10:30 Tue Tchier, Fairouz, CP10, 5:20 Tue Vejdemo Johansson, Mikael, MS2, 10:30 Shontz, Suzanne M., MS29, 10:30 Tue

AN12 Speaker Index Teran, Joseph, MS33, 10:30 Tue Mon Shontz, Suzanne M., PD3, 6:15 Thu Teran, Joseph, MS33, 12:00 Tue Vejdemo Johansson, Mikael, MS2, 10:30 Showalter, Ralph, MS20, 4:30 Mon Teranishi, Keita, MS94, 5:00 Thu Mon Shuckburgh, Emily, IC3, 8:30 Tue Teranishi, Keita, PD4, 8:15 Thu Velasco, Mauricio, MS23, 12:00 Tue Siddique, Javed, MS49, 11:00 Wed Thompson, Karmethia C., CP1, 10:30 Velasco, Mauricio, MS99, 12:00 Fri Sidman, Jessica, MS46, 11:00 Wed Mon Veliz Cuba, Alan, MS85, 4:00 Thu Siefert, Christopher, PD3, 6:15 Thu Thorenson, Jennifer, CP14, 5:40 Wed Venkataramanan, Lalitha, CP2, 11:30 Mon Siegel, Ronald, MS114, 5:00 Fri Tolkacheva, Elena, CP6, 11:30 Tue Venkataramanan, Lalitha, PD2, 6:15 Sifuentes, Josef, MS70, 4:30 Wed Tolman, William B., MS84, 5:00 Thu Mon Sigmund, Ole, MS31, 12:00 Tue Toriello, Alejandro, MS95, 4:30 Thu Vergara, Christian, CP17, 4:40 Thu Silber, Mary, MS108, 4:00 Fri Torrejon, Diego, MS32, 12:10 Tue Verschelde, Jan, MS40, 4:00 Tue Silling, Stewart, MS68, 5:30 Wed Torrejon, Diego, PP1, 8:00 Tue Vianello, Maurizio, MS64, 5:30 Wed Toundykov, Daniel, MS75, 11:30 Thu Simoncini, Valeria, IC5, 8:30 Wed Villalobos, Cristina, MS33, 10:30 Tue Trefethen, Lloyd N., CP15, 11:10 Thu Simpson, Gideon, MS115, 4:30 Fri Villalobos, Cristina, MS45, 4:00 Tue Trenchea, Catalin S., MS28, 11:30 Tue Sit, Atilla, MS5, 11:00 Mon Villalobos, Cristina, MS55, 10:30 Wed Triggiani, Roberto, MS47, 10:30 Wed Skraba, Primoz, MS2, 10:30 Mon Villalobos, Cristina, MS70, 4:00 Wed Triggiani, Roberto, MS59, 4:00 Wed Smereka, Peter, MS57, 11:00 Wed Villalobos, Cristina, MS70, 5:30 Wed

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Villalobos, Cristina, MS83, 10:30 Thu Wilkie, Kathleen P., MS18, 4:30 Mon Yi, Son-Young, MS20, 4:00 Mon Villalobos, Cristina, MS95, 4:00 Thu Willcox, Karen E., IP6, 2:45 Fri Yi, Son-Young, MS35, 4:00 Tue Vinals, Jorge, MS84, 4:00 Thu Willett, Rebecca, MS79, 12:00 Thu Yi, Son-Young, MS35, 4:00 Tue Vinzant, Cynthia, MS99, 11:30 Fri Williams, Matthew K., PP1, 8:00 Tue Yi, Son-Young, MS48, 10:30 Wed Vishwakarma, Sumit K., CP7, 10:50 Williams, Tiffani L., MS12, 4:30 Mon Yong, Alexander, MS23, 11:30 Tue Tue Winstead, Vincent, CP18, 4:40 Thu Young, Michael, MS92, 5:00 Thu Viswanath, Divakar, CP15, 11:50 Thu Wirkus, Stephen, MS33, 10:30 Tue Younis, Rami M., MS7, 10:30 Mon Voller, Zachary D., MS5, 10:30 Mon Wirkus, Stephen, MS45, 4:00 Tue Younis, Rami M., MS7, 11:30 Mon Voller, Zachary D., MS5, 10:30 Mon Wirkus, Stephen, MS55, 10:30 Wed Yu, Josephine, MS23, 10:30 Tue Von Glehn, Ingrid, PP1, 8:00 Tue Wirkus, Stephen, MS70, 4:00 Wed Yu, Josephine, MS46, 10:30 Wed Wirkus, Stephen, MS83, 10:30 Thu W Wirkus, Stephen, MS95, 4:00 Thu Z Wade, Jeremy, CP15, 10:30 Thu Zahedi, Sara, CP19, 11:30 Fri Woodward, Carol S., MS7, 10:30 Mon Wagner, Barbara, MS49, 11:30 Wed Zemlyanova, Anna, MS68, 4:00 Wed Woodward, Carol S., MS12, 4:00 Mon Wagner, Urs, MS1, 11:30 Mon Zeng, Yun, PP1, 8:00 Tue Woodward, Carol S., MS22, 10:30 Tue Walton, Jay R., MS68, 4:00 Wed Woodward, Carol S., MS58, 4:00 Wed Zeng, Zhonggang, MS16, 5:30 Mon Wampler, Charles, PD2, 6:15 Mon Woodward, Carol S., MS72, 10:30 Thu Zhang, Bo, MS97, 12:00 Fri Wampler, Charles, MS66, 5:30 Wed Woodward, Paul R., PP1, 8:00 Tue Zhang, Guannan, MS10, 4:00 Mon Wang, Chi-Jen, CP23, 5:20 Fri Wright, Grady B., MS3, 10:30 Mon Zhang, Jiangyan, PP1, 8:00 Tue Wang, Kainan, CP4, 4:40 Mon Wright, Grady B., PP1, 8:00 Tue Zhang, Jing, PP1, 8:00 Tue Wang, Kevin, CP21, 5:20 Fri Wu, Qiliang, PP1, 8:00 Tue Zhang, Teng, MS63, 4:30 Wed AN12 Speaker Index Speaker AN12 Wang, Li, MS76, 12:00 Thu Wu, Zhijun, MS5, 10:30 Mon Zhang, Yongjie, MS29, 11:30 Tue Wang, Liqun, CP21, 4:00 Fri Wu, Zhijun, MS15, 4:00 Mon Zhang, Yongjie, MS78, 11:30 Thu Wang, Yi, MS63, 5:30 Wed Zhang, Zhongqiang, CP16, 11:30 Thu Wang, Zhian, MS91, 5:30 Thu X Zhao, Longhua, MS101, 10:30 Fri Xia, Jianlin, MS96, 11:30 Fri Wang, Zhian, CP23, 5:40 Fri Zhou, Wen, MS15, 4:00 Mon Xiao, Bo, PP1, 8:00 Tue Wang, Zhu, PP1, 8:00 Tue Zhou, Wen, MS15, 4:30 Mon Xu, Jin, CP12, 12:10 Wed Ward, Rachel, MS12, 4:00 Mon Zhou, Xiang, MS104, 10:30 Fri Xu, Xiang, MS107, 12:30 Fri Ward, Rachel, MS50, 10:30 Wed Zhou, Xiang, MS115, 4:00 Fri Xu, Zhengfu, MS103, 12:00 Fri Wares, Joanna, MS91, 4:00 Thu Zhou, Xiang, MS115, 5:00 Fri Xue, Fei, PP1, 8:00 Tue Warnberg, Nathan, PP1, 8:00 Tue Zhu, Qiang, MS112, 5:30 Fri Weare, Jonathan, MS104, 10:30 Fri Y Zhu, Quanyan, PP1, 8:00 Tue Webb, Jared, PP1, 8:00 Tue Yan, Baisheng, MS75, 11:00 Thu Zweck, John W., PP1, 8:00 Tue Webb, Matthew, PP1, 8:00 Tue Yang, Bo, PP1, 8:00 Tue Webster, Clayton G., MS10, 4:00 Mon Yang, Chao, MS107, 10:30 Fri Webster, Clayton G., MS28, 11:00 Tue Yang, Xiu, CP14, 4:20 Wed Weekes, Suzanne L., MS45, 4:00 Tue Yang, Yi, CP20, 11:50 Fri Wei, Guowei, MS113, 4:00 Fri Yang, Yongliang, MS89, 4:00 Thu Weinberger, Hans, MS75, 12:00 Thu Yao, Lingxing, MS101, 10:30 Fri Werneck, Renato F., MS77, 11:00 Thu Yao, Lingxing, MS114, 4:00 Fri Wetton, Brian R., MS103, 10:30 Fri Yao, Lingxing, MS114, 4:30 Fri Wetton, Brian R., MS103, 10:30 Fri Yaple, Haley, PP1, 8:00 Tue Wetton, Brian R., MS113, 4:00 Fri Yashtini, Maryam, PP1, 8:00 Tue Wheeler, Mary F., MS20, 4:00 Mon Yeh, Li-Ming, CP23, 4:40 Fri Widiasih, Esther, MS108, 4:00 Fri Yeralan, Nuri, MS77, 11:30 Thu

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FM12 Speaker Index

Italicized names indicate session organizers. FM12 Speaker Index

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A Chen, PengChu, MS11, 5:00 Mon Giesecke, Kay, MS16, 4:00 Tue Achtsis, Nico, CP9, 10:30 Wed Cheridito, Patrick, MS9, 5:30 Mon Gnoatto, Alessandro, MS29, 4:30 Wed Albani, Vinicius, MS30, 5:00 Wed Choi, Jin Hyuk, MS2, 12:00 Mon Gong, Ruoting, CP3, 12:10 Tue Alos, Elisa, MS19, 4:00 Tue Cialenco, Igor, MS12, 4:00 Mon Grandine, Thomas, PD2, 6:15 Mon Alos, Elisa, MS19, 4:00 Tue Cont, Rama, MT1, 1:00 Sun Grand’maison, Jerome, CP8, 11:10 Wed Al-Saadony, Muhannad, CP8, 10:30 Cont, Rama, MS1, 10:30 Mon Grasselli, Martino, MS29, 5:00 Wed Wed Cont, Rama, MS10, 4:00 Mon Gross, Bastian, PP1, 8:00 Tue Amini, Hamed, MS10, 5:30 Mon Cont, Rama, MS15, 4:00 Tue Gu, Yu, MS26, 11:30 Wed Cont, Rama, MS26, 10:30 Wed Arnold, Douglas N., SP3, 2:00 Wed Guasoni, Paolo, MS23, 10:30 Wed Cuchiero, Christa, MS29, 4:00 Wed Astic, Fabian, CP13, 4:00 Wed Gueant, Olivier, MS8, 4:00 Mon Curtain, Ruth, SP4, 3:00 Wed Avellaneda, Marco, MS30, 4:00 Wed Gunawardena, Athula D., CP11, 4:40 Czichowsky, Christoph, MS23, 11:00 Wed Wed B Guo, Xin, IC5, 8:30 Wed Ball, John, SP2, 2:30 Tue Bannör, Karl F., CP5, 11:10 Tue D Dai Pra, Paolo, MS16, 5:30 Tue H Barnes, Andrew, CP13, 4:20 Wed Hadjiliadis, Olympia, CP5, 12:10 Tue Detering, Nils, CP4, 11:10 Tue Bayraktar, Erhan, MS9, 4:00 Mon Han, Chuan-Hsiang, CP8, 11:30 Wed Dias, José C., MS13, 5:30 Mon Bayraktar, Erhan, MS9, 4:00 Mon Harrod, William, PD1, 6:15 Mon Dodson, John A., CP4, 11:30 Tue Benedetti, Giuseppe, CP11, 4:00 Wed He, Xuedong, MS22, 11:00 Wed Dokken, Tor, PD2, 6:15 Mon Bentata, Amel, MS26, 10:30 Wed Henderson, Vicky, MS22, 10:30 Wed Drapeau, Samuel, MS12, 4:00 Mon Benzi, Michele, PD1, 6:15 Mon Hening, Alexandru, CP13, 5:00 Wed Bernard, Carole, MS22, 10:30 Wed E Hieber, Peter, CP3, 11:10 Tue Bichuch, Maxim, MS2, 10:30 Mon El Farouq, Naïma, MS5, 11:30 Mon Hinz, Juri, MS28, 5:00 Wed Bichuch, Maxim, MS2, 10:30 Mon Eriksson, Marcus, CP2, 11:10 Tue Horst, Ulrich, MS28, 4:30 Wed Bielecki, Tomasz, MS12, 4:00 Mon Ewald, Christian, MS28, 5:30 Wed Hu, Xueying, MS14, 4:30 Mon

Birge, John, MS17, 4:30 Tue Eyjolfsson, Heidar I., MS25, 12:00 Huang, Wanwan, CP9, 10:50 Wed Index Speaker FM12 Blanchet, Jose, MS3, 11:00 Mon Wed Huang, Yu-Jui, MS20, 5:30 Tue Borovkova, Svetlana, CP3, 11:50 Tue F Humpherys, Jeffrey, CP12, 4:00 Wed Boyarchenko, Svetlana, MS14, 5:00 Feehan, Paul, MS5, 10:30 Mon Mon Feehan, Paul, MS5, 11:00 Mon I Breuer, Thomas, MS24, 10:30 Wed Ichiba, Tomoyuki, MS4, 10:30 Mon Feng, Liming, MS7, 12:00 Mon Breuer, Thomas, MS24, 10:30 Wed Feng, Runhuan, CP5, 11:30 Tue J Breuer, Thomas, MS27, 4:00 Wed Figueroa-Lopez, Jose E., MS18, 4:00 Jacquier, Antoine, MS19, 4:30 Tue Bridson, Robert, SP5, 6:15 Wed Tue Jaimungal, Sebastian, MS8, 4:00 Mon Brunick, Gerard, MS5, 10:30 Mon Fontana, Claudio, CP13, 4:40 Wed Jaimungal, Sebastian, MS8, 5:30 Mon C Fouque, Jean Pierre, MS10, 4:30 Mon Jin, Hanqing, MS22, 11:30 Wed Campi, Luciano, MS25, 11:00 Wed Fournie, David, MS26, 12:00 Wed Jin, Zhuo, MS20, 4:30 Tue Capponi, Agostino, MS3, 10:30 Mon Frei, Christoph, CP7, 10:50 Wed Johnson, Paul V., CP6, 11:10 Tue Carlsson, Gunnar E., PD1, 6:15 Mon Friedman, Craig A., MS24, 11:00 Wed Johnston, Douglas, MS11, 5:30 Mon Carmona, Rene, MS25, 10:30 Wed K Carmona, Rene, MS25, 10:30 Wed G Geng, Jian, CP8, 10:50 Wed Kalkbrener, Michael, MS27, 5:00 Wed Carmona, Rene, MS28, 4:00 Wed Giammarino, Flavia, CP11, 4:20 Wed Kang, Boda, CP1, 11:10 Tue Cartea, Alvaro, MS8, 5:00 Mon Giesecke, Kay, MS3, 10:30 Mon Kang, Chulmin, MS29, 5:30 Wed Cerný, Aleš, MS14, 5:30 Mon Giesecke, Kay, MS16, 4:00 Tue Cetin, Coskun, CP7, 10:30 Wed

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Kaper, Tasso, PD1, 6:15 Mon McKeown, Jack, MS27, 5:30 Wed Ricci, Jason, MS30, 4:30 Wed Karatzas, Ioannis, IC2, 9:15 Mon Mendoza-Arriaga, Rafael, MS7, 11:00 Rudloff, Birgit, MS12, 5:00 Mon Mon Karatzas, Ioannis, MS4, 10:30 Mon Ruijter, Marjon, MS6, 11:30 Mon Karliczek, Martin, MS12, 4:00 Mon Mercurio, Fabio, MT1, 1:00 Sun Kebaier, Ahmed, CP9, 11:10 Wed Mijatovic, Aleksandar, MS18, 5:00 Tue S Sah, Nadim, CP10, 4:40 Wed Keller-Ressel, Martin, MS18, 5:30 Tue Moallemi, Ciamac C., MS1, 11:00 Mon Salmi, Santtu, MS13, 5:00 Mon Keyfitz, Barbara Lee, SP1, 2:45 Mon Muhle-Karbe, Johannes, MS2, 10:30 Mon Saporito, Yuri, MS19, 5:00 Tue Khagleeva, Inna, CP8, 11:50 Wed Muhle-Karbe, Johannes, MS2, 11:00 Mon Schied, Alexander, MS1, 11:30 Mon Khaliq, Abdul M., MS13, 4:30 Mon Schroeder, Philipp, CP9, 12:10 Wed Kim, JinBeom, MS15, 5:00 Tue N Schuermann, Til, MS24, 11:30 Wed Kim, Yongsik, CP9, 11:30 Wed Nadarajah, Selvaprabu, MS17, 4:00 Tue Schweizer, Martin, IC6, 9:15 Wed Kokholm, Thomas, MS15, 4:00 Tue Nadarajah, Selvaprabu, MS17, 4:00 Tue Schweizer, Martin, MS23, 10:30 Wed Kolda, Tamara G., PD1, 6:15 Mon Nadtochiy, Sergey, SP6, 9:15 Tue Schwenkler, Gustavo, MS3, 12:00 Mon Kukanov, Arseniy, CP10, 5:20 Wed Nadtochiy, Sergey, MS4, 11:00 Mon Secomandi, Nicola, MS17, 4:00 Tue Kupiec, Paul, MS24, 12:00 Wed Nazemi, Abdolreza, CP13, 5:20 Wed Seydel, Ruediger U., PP1, 8:00 Tue Kupper, Michael, MS12, 4:30 Mon Nguyen, Duy, CP10, 4:20 Wed Shreve, Steven E., IC1, 8:30 Mon Kwak, Minsuk, CP12, 4:20 Wed Nistor, Victor, MS5, 10:30 Mon Shreve, Steven E., MS1, 10:30 Mon L Nistor, Victor, MS5, 12:00 Mon Singor, Stefan, MS6, 12:00 Mon Lai, Yongzeng, CP9, 11:50 Wed Nunes, Joao Pedro V., CP1, 11:50 Tue Siorpaes, Pietro, CP7, 11:50 Wed Lange, Nina, CP2, 11:30 Tue Nutz, Marcel, MS9, 4:30 Mon Sircar, Ronnie, MS25, 10:30 Wed Larsson, Martin, MS3, 11:30 Mon Sircar, Ronnie, MS28, 4:00 Wed Lawryshyn, Yuri, CP6, 11:30 Tue O Sircar, Ronnie, MS28, 4:00 Wed Obloj, Jan, MS23, 11:30 Wed Lee, Roger, MS19, 5:30 Tue Sirignano, Justin, CP13, 5:40 Wed Oosterlee, Cornelis W., MS6, 10:30 Mon Leung, Tim, MS7, 10:30 Mon Skovmand, David, MS29, 4:00 Wed Oosterlee, Cornelis W., MS13, 4:00 Mon Levendorskii, Sergei, MS14, 4:00 Mon Skovmand, David, MS29, 4:00 Wed Ostrov, Dan, MS2, 11:30 Mon Levendorskii, Sergei, MS14, 4:00 Mon Song, Qingshuo, MS20, 4:00 Tue Liang, Gechun, CP7, 11:10 Wed Spiliopoulos, Konstantinos, MS16, 4:30 P Tue Lim, Andrew, MS9, 5:00 Mon Pal, Ranjan, CP2, 11:50 Tue Stadje, Mijda, MS12, 5:30 Mon Lim, Dongjae, MS21, 5:00 Tue Pantula, Sastry, PD1, 6:15 Mon Stiller, Sebastian, MS15, 5:30 Tue Lin, Peter, CP1, 11:30 Tue Papanicolaou, George C., JP1, 2:00 Stoikov, Sasha F., MS1, 12:00 Mon Lin, Qihang, CP10, 4:00 Wed Mon Strong, Winslow C., MS4, 11:30 Mon Linetsky, Vadim, MS21, 4:00 Tue Pedersen, David, MS21, 5:30 Tue

FM12 Speaker Index Sturm, Stephan, CP11, 5:00 Wed Linetsky, Vadim, MS21, 4:00 Tue Pham, Huyen, MS8, 4:30 Mon Sulem, Agnès, MS25, 11:30 Wed Lionnet, Arnaud, CP7, 11:30 Wed Pickova, Radka, MS4, 12:00 Mon Summer, Martin, MS27, 4:30 Wed Lorig, Matthew, MS21, 4:30 Tue Pironneau, Olivier, MS6, 10:30 Mon Ludkovski, Michael, MS16, 5:00 Tue Pironneau, Olivier, MS6, 10:30 Mon Pironneau, Olivier, MS13, 4:00 Mon T Tanaka, Keiichi, CP6, 11:50 Tue Pollak, Ilya, MS11, 4:00 Mon M Tankov, Peter, IC3, 8:30 Tue Mah, Olivia, CP8, 12:10 Wed Pollak, Ilya, MS11, 4:00 Mon Tankov, Peter, MS18, 4:00 Tue Malioutov, Dmitry, MS11, 4:30 Mon Pop, Camelia A., MS26, 11:00 Wed Teng, Gerald, CP3, 11:30 Tue Matteson, David S., CP4, 11:50 Tue Thompson, Matt, MS17, 5:00 Tue Mazieres, Denis, MS17, 5:30 Tue R Todorov, Viktor, MS18, 4:30 Tue Toivanen, Jari, MS6, 10:30 Mon Toivanen, Jari, MS13, 4:00 Mon

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Toivanen, Jari, MS13, 4:00 Mon Tsatsaronis, Konstantinos, MS27, 4:00 Wed U Uzunoglu, Bahri, CP2, 12:10 Tue V Venkataramanan, Lalitha, PD2, 6:15 Mon Veraart, Luitgard, MS10, 5:00 Mon Vinkovskaya, Ekaterina, CP10, 5:40 Wed Vyncke, David, CP4, 12:10 Tue W Wagalath, Lakshithe, MS10, 4:00 Mon Wampler, Charles, PD2, 6:15 Mon Wang, Gu, CP11, 5:20 Wed Wilson, Byron, PP1, 8:00 Tue Witten, Gareth Q., CP10, 5:00 Wed Wu, Tao L., CP1, 12:10 Tue Wystup, Uwe, CP6, 12:10 Tue Y Yamazaki, Kazutoshi, MS7, 10:30 Mon Yang, Jie, MS20, 4:00 Tue Yoshikawa, Daisuke, CP11, 5:40 Wed FM12 Speaker Index Speaker FM12 Yu, Jie, MS20, 5:00 Tue Yu, Xiang, MS22, 12:00 Wed Yung, Siu Pang, CP12, 4:40 Wed Z Zeng, Xudong, CP12, 5:00 Wed Zeng, Yong, MS7, 11:30 Mon Zhang, Bowen, MS6, 11:00 Mon Zheng, Harry, MS23, 12:00 Wed Zhou, Qixiang, CP5, 11:50 Tue Zhu, Chao, MS20, 4:00 Tue Zhu, Chao, CP12, 5:20 Wed ZHU, Haoxiang, MS15, 4:30 Tue Zubelli, Jorge P., MS30, 4:00 Wed Zubelli, Jorge P., MS30, 5:30 Wed

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SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME) www.siam.org/activity/fme

A GREAT WAY TO GET invOlvEd!

Collaborate and interact with mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, to foster the use of mathematical and computational tools in quantitative finance in the public and private sector.

ACTIVITES INCLUDE: • Special sessions at SIAM Annual Meetings • Biennial conference • SIAG/FME Junior Scientist Prize • FM12 prize lecture, invited speakers, and select minisymposia will be available online via “SIAM Presents” in the fall. • Website

BENEFITS OF SIAG/FME MEMBErShIp: • Listing in the SIAG’s online membership directory • Electronic communications about recent developments in your specialty • Eligibility for candidacy for SIAG/FME office • Participation in the selection of SIAG/FME officers

ELIGIBILITY: • Be a current SIAM member

COST:

• $10 per year • Student SIAM members can join 2 activity groups for free!

2011-2012 SIAG/FME OFFICErS: • Chair: Rama Cont, Columbia University • Vice Chair: Ronnie Sircar, Princeton University • Program Director: Mike Ludkovski, University of California Santa Barbara • Secretary: Kay Giesecke, Stanford University TO JOIN: SIAG/FME: my.siam.org/forms/join_siag.htm SIAM: www.siam.org/joinsiam

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Notes

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Notes

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Conference Budget Conference Budget Conference

FM12program-A.indd 143 6/7/2012 11:59:09 AM Hyatt Regency Minneapolis Hotel

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