### Parallel Sessions

All presentations take place in or near the Neilson Room at the Heldrich Hotel, 10 Livingston Avenue, New Brunswick, New Jersey 08901.*Neilson Room*: American Options and Stochastic Control

*Chair: Jian Song*

4:10-4:25

**Huibin Cheng**(University of Pittsburg)Regularity of the free boundary for the American
put option

view abstract
4:25-4:40

**Yu-Jui Huang**(University of Michigan)On the multi-dimensional controller-and-stopper
games

view abstract
4:40-4:55

**Camelia Pop**(Rutgers University)Stochastic representations of solutions to
degenerate variational equalities and inequalities

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*Janeway Room*: Implied Volatility

*Chair: Johannes Ruf*

4:10-4:25

**Min Dai**(National University of Singapore)Optimal Trend Following Trading Rules

view abstract
4:40-4:55

**Stephan Sturm**(Princeton University)
On the implied volatility surface of stochastic volatility models
under indifference pricing

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*Meyer Room*: Numerical Solution of Partial Integro-Differential Equations

*Chair: Ionut Florescu*

4:10-4:25

**Ionut Florescu**(Stevens Institute of Technology)
Numerical solutions to partial integro-differential equations appearing in
financial mathematics

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4:25-4:40

**Wen Cheng**(Penn State University)Closed-form asymptotics and numerical
approximations of 1D parabolic equations with applications to option
pricing

view abstract
4:40-4:55

**Alexander Shklyarevsky**(Bank of America)
Analytical approaches to the solution of PDEs and PIDEs and their
application to pricing and risk-managing derivative securities and
their portfolios

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*Bishop Room*: Incomplete Markets

*Chair: Youngna Choi*

4:10-4:25

**Youngna Choi**(Montclair State University)Financial crisis dynamics: Attempt to define a market
instability indicator

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4:25-4:40

**Kasper Larsen**(Carnegie Mellon University)
Horizon dependence of utility optimizers in incomplete models

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4:40-4:55

**Tim Siu-Tang Leung**(Johns Hopkins University)
Optimal timing to buy options in incomplete markets

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*Waldron Room*: Transaction Costs and Optimal Investment

*Chair: Maxim Bichuch*

4:10-4:25

**Maxim Bichuch**(Princeton University)
Asymptotic Analysis for Optimal Investment with Transaction Costs in
Finite Time

view abstract
4:25-4:40

**Hasanjan Sayit**(Worcester Polytechnic Institute) Arbitrage-free models in markets with transaction
costs

view abstract
4:40-4:55

**Tao Wu**(Illinois Institute of Technology)
An equilibrium model with buy and hold investors

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