### Parallel Sessions

All presentations take place in or near the Neilson Room at the Heldrich Hotel, 10 Livingston Avenue, New Brunswick, New Jersey 08901.*Waksman Room*: Interest rate derivative

*Chair: Alexandre Roch*

10:00-10:20

**Alexandre Roch**(ESG UQAM, Monteal, Canada)Term structure of interest rates with liquidity risk

view abstract
10:20-10:40

**Mingxin Xu**(University of Nort h Carolina, Charlotte)Forward Stopping Rule Within HJM Framework

view abstract
10:40-11:00

**Dan Pirjol**(JP Morgan, New York)Hogan-Weintraub singularity and phase transition in the Black, Derman, Toy model

view abstract
*Dickson Room*: Option pricing I

*Chair: Tim Leung*

10:00-10:20

**Tim Leung**(Columbia University)Implied Volatility of Leveraged ETF Options

view abstract
10:20-10:40

**Michael Oancea**(University of Connecticut)
Stochastic dominance option pricing under a multivariate diffusion of the underlying returns

view abstract
10:40-11:00

**Agostino Capponi**(Johns Hopkins University)
Pricing Vulnerable Claims in a Lévy Driven Model

view abstract
*Meyer Room*: Financial engineering I

*Chair: Inna Khagleeva*

10:00-10:20

**Inna Khagleeva**(University of Illinois at Chicago)Understanding jumps in the high-frequency VIX

view abstract
10:20-10:40

**Peter Lin**(Johns Hopkins University)A new trinomial recombination tree algorithm and its applications

view abstract
*Janeway Room*: Transaction costs and optimal investment

*Chair: Arash Fahim*

10:00-10:20

**Arash Fahim**(Florida State University)Balancing small fixed and proportional transaction cost in trading strategies

view abstract
10:20-10:40

**Oleksii Mostovyi**(University of Texas, Austin)An approximation of utility maximization in incomplete markets

view abstract
*Neilson Room*: Asymptotic expansions and implied volatility surfaces

*Chair: Routing Gong*

10:00-10:20

**Ruoting Gong**(Rutgers University, New Brunswick)Feynman-Kac formulae for solutions to degenerate elliptic boundary
value problems with Dirichlet boundary conditions

view abstract
10:20-10:40

**Matt Lorig**(Princeton University)Pricing variance swaps on time-changed Markov processes

view abstract
10:40-11:00

**Jun Hu**(Tampere University of Technology)Series solutions to stochastic volatility models

view abstract
*Waksman Room*: Computational finance

*Chair: Ahmed Derar Islim*

3:30-3:50

**Ahmed Derar Islim**(Florida State University, Tallahassee)
Pricing exotics with sharp profiles using high resolution finite difference schemes

view abstract
*Dickson Room*: Financial engineering II

*Chair: Michael Spector*

3:10-3:30

**Lijun Bo**(Xidian University)
Bilateral Credit Valuation Adjustment for Large Credit D
erivatives Portfolios

view abstract
3:30-3:50

**Jungmin Choi**(East Carolina University)Approximation and application of the Musiela stochastic PDE
in forward rate models

view abstract
*Meyer Room*: PDEs and SPDEs in finance

*Chair: Alexander Shklyarevsky*

3:10-3:30

**Michael O. Okelola**(University of KwaZulu-Natal, Sou th Africa)Solving a PDE associated with the pricing of powe
r options with time dependent parameters

view abstract
3:30-3:50

**Alexander Shklyarevsky**(Bank of America, New York)Mutual benefit of ODE, PDE, PIDE and related analytical approaches developed in and applied to physics and quantitative finance

view abstract
3:50-4:10

**Hector Chang**(Columbia University)Hölder estimates for fully nonlinear parabolic integro-differential equations

view abstract
*Janeway Room*: Game theory and optimal trading strategies

*Chair: Giovanni Di Crescenzo*

3:10-3:30

**Giovanni Di Crescenzo**(Applied Communication Sciences, New Jersey)On strategy comparisons and sensitivity for a generalized El Farol problem

view abstract
3:30-3:50

**Giancarlo Facchi**(Pennsylvania State University)Optimal bidding strategies in a continuum limit order book

view abstract
3:50-4:10

**Damir Kinzebulatov**(The Fields Institute for Mathematical Sciences, Toronto)Algorithmic Trading with Learning: Informed versus Uniformed

view abstract
*Neilson Room*: Portfolio optimization

*Chair: Maxim Bichuch*

3:10-3:30

**Maxim Bichuch**(Princeton University)Portfolio optimization under convex incentive schemes

view abstract
3:30-3:50

**Xin Li**(Columbia University) An Optimal Timing Approach to Mean-Reversion Trading

view abstract
3:50-4:10

**Stephan Sturm**( Worcester Polytechnic Institute, Massachusetts)Optimal incentives for delegated portfolio optimization

view abstract