### 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*: Transaction Cost Modeling

*Chair: Paul Feehan*

10:20-10:40

**Andreas Hamel**(Yeshiva University)A set-valued approach to utility maximization in markets with transaction costs

view abstract
10:40-11:00

**Birgit Rudloff**(Princeton University)Superhedging in markets with transaction costs

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*Janeway Room*: Foundations of Mathematical Finance I

*Chair: Kasper Larsen*

10:20-10:40

**Kasper Larsen**(Carnegie-Mellon University)
Unspanned endowment and face-lifting

view abstract
10:40-11:00

**Hasanjan Sayit**(Worcester Polytechnic Institute)A note on consistent price systems

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*Meyer Room*: Computational Finance I

*Chair: Mathew Lorig*

10:20-10:40

**Matthew Lorig**(Princeton University) Pricing derivatives on multiscale diffusions: simplicity through spectral theory

view abstract
10:40-11:00

**Olympia Hadjiliadis**(The City University of New York)Preventing market crashes through insuring the speed of drawdowns

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*Bishop Room*: Financial Engineering I

*Chair: Michael Okelola*

10:20-10:40

**Michael Okelola**(University of KwaZulu-Natal, South Africa)Group analysis of exotic options

view abstract
10:40-11:00

**Guan Jun Wang**(Florida A & M University)Explaining the forward rate bias puzzle

view abstract
*Neilson Room*: Fundations of Mathematical Finance II

*Chair: Daniel Ocone*

3:10-3:30

**Gerard Brunick**(University of Texas, Austin, and University of California, Santa Barbara)
Weak uniqueness for a class of degenerate diffusions with continuous covariance

view abstract
3:30-3:50

**Camelia Pop**(Rutgers University)Mimicking theorem for generalized Heston-like processes

view abstract
3:50-4:10

**Jian Song**(Rutgers University) A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density
of the solution

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*Janeway Room*: Optimal Investments and Incomplete Markets

*Chair: Maxim Bichuch*

3:10-3:30

**Maxim Bichuch**(Princeton University)Pricing a contingent claim liability using asymptotic analysis for optimal investment in finite time with transaction costs

view abstract
3:30-3:50

**Tim Leung**(Columbia University)Derivatives purchase timing under risk-neutral and risk-averse pricing rules

view abstract
3:50-4:10

**Oleksii Mostovyi**(Carnegie Mellon University) Necessary and sufficient conditions in the problem of optimal consumption from investment in incomplete markets

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*Meyer Room*: Computational Finance II

*Chair: Ionut Florescu*

3:10-3:30

**Ionut Florescu**(Stevens Institute of Technology)Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

view abstract
3:30-3:50

**Abdul Khaliq**(Middle Tennessee State University)
Efficient numerical schemes for pricing exotic path-dependent American options with transaction cost

view abstract
3:50-4:10

**Alexander Shklyarevsky**(Bank of America) Analytical approaches to the solution of ODEs, PDEs and PIDEs and their application in physics and quantitative finance

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*Bishop Room*: Financial Engineering II

*Chair: Andrew Barnes*

3:10-3:30

**Andrew Barnes**(GE Global Research Center, Niskayuna, New York)Conditional expected default rate calculations for credit risk applications

view abstract
3:30-3:50

**Xuedong He**(Columbia University) Optimal Insurance Design under Rank Dependent Utility

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