Parallel Session 9 :: Wednesday, 12/18, 8:00-10:00


Special Session 118 Recent advances in mathematical finance
Organizer(s): Yerkin Kitapbayev , Giorgio Consigli , Jorge Zubelli 		Capital Suite 3
 8:00-8:30  Michael Tehranchi (University of Cambridge, England)
 No-arbitrage perturbations of implied volatility
 8:30-9:00  Jorgen Blomall (Linkoping university, Sweden)
 Optimal hedging of the interest rate swap book
 9:00-9:30  Alessandro Milazzo (University of Turin, Italy)
 An optimal stopping problem for variable annuities
 9:30-10:00  Rakhymzhan Kazbek (Astana IT University, Kazakhstan)
 Finite Element Method for HJB in Option Pricing with Stock Borrowing Fees