Thursday, February 22

CP28
Finance

3:00 PM - 5:00 PM
Room: Newport Beach I - B1

Chair: Ahmet Duran
University of Michigan, Ann Arbor

3:00-3:15 Parameter Optimization Algorithm for Differential Equations in Market Return Prediction

Ahmet Duran, University of Michigan, Ann Arbor; Gunduz Caginalp, University of Pittsburgh

3:20-3:35 The Importance of Rare Events in Kelly's Algorithm

James L. Johnson, Western Washington University

Cancelled 3:40-3:55 Robust Numerical Schemes for Pricing and Hedging Exotic Options

Abdul M. Khaliq, Middle Tennessee State University

4:00-4:15 Finite Element Methods with Three Levels for Pricing American Put and Call Options

Yonghoon Kwon, POSTECH, Korea; Sunbu Kang, Korea Air Force Academy, Korea; Taekkeun Kim, Daewoo Securities, South Korea