### Parallel Sessions

All presentations take place in or near the Neilson Room at the Heldrich Hotel, 10 Livingston Avenue, New Brunswick, New Jersey 08901.*Kilmer Room*: Computational Finance I

*Chair: Ruihua Liu *

10:30-10:50

**Ruihua Liu**(University of Dayton)
A tree method for option pricing in switching models with state dependent switching rates

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10:50-11:10

**Duy Nguyen**(Mass College of Liberal Arts)Numerical schemes for pricing asian options under state-dependent regime-switching jump-diffusion models

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*Scott Room*: Pricing of Financial Derivatives I

*Chair: Mackenzie Wildman*

10:30-10:50

**Mackenzie Wildman**(Lehigh University)
A gaussian markov alternative to fractional brownian motion for pricing financial derivatives

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10:50-11:10

**Siyan Zhang**(Penn State University)
Option pricing under SABR model with mean reversion

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*Waksman Room*: Systemic Perspective of Market

*Chair: Birgit Rudloff*

3:50-4:10

**Lakshithe Wagalath**(IESEG School of Management)
Institutional investors and the dependence structure of asset returns

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*Dickson Room*: Stability of Market

*Chair: Konstantinos Spiliopoulos*

10:30-10:50

**Konstantinos Spiliopoulos**(Boston University)
Indifference pricing for contingent claims: large deviations effects

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10:50-11:50

**Kim Weston**(Carnegie Mellon University)
Stability of utility maximization in nonequivalent markets

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*Neilson Room*: SDEs in Finance

*Chair: Alexander Shklyarevsky*

10:30-10:50

**Ram Sharan Adhikari**(University of Wisconsin, Milwaukee)A weak simpson method for a class of stochastic differential equation and numerical stability results

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10:50-11:10

**Alexander Shklyarevsky**(Model Risk Management, AIG)
Certain developments in ODE, SDE, PDE, PIDE and related analytical approaches and their applications to physics and quantitative finance and insurance

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*Kilmer Room*: Computational Finance II

*Chair: Dan Pirjol*

3:10-3:30

**Mustapha Pemy**(Townson University)
Optimal algorithms for trading large positions

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3:30-3:50

**Dan Pirjol**Explosive behavior in discrete time log-normal interest rate models

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*Scott Room*: Pricing of Financial Derivatives II

*Chair: Maxim Bichuch*

3:10-3:30

**Maxim Bichuch**(Worcester Polytechnic Institute)
Arbitrage-free pricing of XVA

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*Waksman Room*: Risk Sensitive Utility Maximization in Finance

*Chair: Oleksii Mostovyi*

3:10-3:30

**Asaf Cohen**(University of Michigan)
Risk Sensitive Control of the Lifetime Ruin Problem

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3:30-3:50

**Oleksii Mostovyi**(The University of Texas at Austin)
An Expansion in the Model Space in the Context of Utility Maximization

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*Dickson Room*: Optimal Trading Strategy

*Chair: Agnes Tourin*

3:10-3:30

**Kihun Nam**(Rutgers University)
Multidimensional quadratic BSDEs which are related to stochastic differential game

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3:30-3:50

**Agnes Tourin**(NYU Polytechnic School of Engineering)
A dynamic model for pairs trading strategies

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*Neilson Room*: Theoretical Development

*Chair: Andrey Sarantsev*

3:10-3:30

**Christian Keller**(University of Southern California)
Pathwise viscosity solutions of stochastic PDEs

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