Special Session 118: Recent advances in mathematical finance
Organizer(s): Yerkin Kitapbayev , Giorgio Consigli , Jorge Zubelli

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

Parallel Session 10 :: Wednesday, 12/18, 12:30-14:30                 Capital Suite 3
12:30-13:00	Massimiliano Ferrara (University Mediterranea of Reggio Calabria, Italy)  Deep prediction and XAI on Financial Market Sequence for Enhancing economic policies

13:00-13:30

Davide La Torre (SKEMA Business School, Cote d`Azur University, France)  An exploration of different machine learning algorithms for financial forecasting in crypto markets

13:30-14:00

Adil Reghai (ADIA, United Arab Emirates)  Algorithmic Differentiation - Artificial Intelligence

14:00-14:30

Jorge P Zubelli (Khalifa University, United Arab Emirates)  Reinforcement learning for optimal constant proportion portfolio management

Parallel Session 11 :: Wednesday, 12/18, 14:45-16:45                  Capital Suite 3
14:45-15:15	David Zoltan Szabo (Corvinus University of Budapest, Hungary)  Optimal trading with regime switching: Numerical and analytic techniques applied to valuing storage in an electricity balancing market

15:15-15:45

Hessah Al-Motairi (Kuwait University, Kuwait)  Irreversible Capital Accumulation with Economic Impact

15:45-16:15

Alexandre V Antonov (ADIA, United Arab Emirates)  Ergodic optimization

16:15-16:45

Yerkin Kitapbayev (Khalifa University, United Arab Emirates)  A Coupled Optimal Stopping Approach to Pairs Trading over a Finite Horizon

Parallel Session 12 :: Wednesday, 12/18, 17:00-18:30                Capital Suite 3
17:00-17:30	ahmed alqubaisi (khalifa university, United Arab Emirates)  Investments in Mining Farms under Uncertainty: Real Options Approach

17:30-18:00

Giorgio Consigli (Khalifa University of Science and Technology, United Arab Emirates)  Dynamic portfolio risk budgeting through reinforcement learning

Parallel Session 13 :: Thursday, 12/19, 8:00-9:30                  Capital Suite 3
8:00-8:30	Diogo Gomes (KAUST, Saudi Arabia)  Price Formation Models with Common Noise: A Variational Approach

8:30-9:00

Giulio Occhionero (Al Ramz PSJC, United Arab Emirates)  The Boltzmann Equation in Finance

9:00-9:30

Dmitry Muravey (ADIA, United Arab Emirates)  Multilayer heat equations and their solutions via oscillating integral transforms