Presentations of the theoretical part of the

Thesis Projects of Financial Mathematics

June 1-2, 2009, Haldasalen

Master's programme in Financial Mathematics, Halmstad University

At the Master's programme for Financial Mathematics, students make theses projects ending their studies at the programme. The programme corresponds to 60 ECTS credits and the thesis work corresponds to 15 ECTS credits. Here are the presentations of the theoretical part of these theses. Each presentation consists of a 25 minutes talk and a 5 minutes discussion. Everybody who are interested are welcome to attend these presentations. Monday, June 1, 2009 in Haldasalen 9.00 Maria Boguta A new space-time model for interacting agents in the financial market Supervisor: E. JÄRPE   External referee: V. ROUBTSOV 9.30 Agnieszka Pszczola and Grzegorz Walachowski Testing for jumps in face of the financial crisis. Application of Barndorff-Nielsen - Shephard test and the Kou model Supervisor: J.O. JOHANSSON   External referee: V. ROUBTSOV 10.30 Coffee break 10.45 Olessia Vasilieva A new method of pricing multi-options by using Mellin transforms and integral equations Supervisor: M. EHRHARDT   External referee: V. ROUBTSOV 11.15 Marcin Krzysztofik Application of data envelopment analysis in credit scoring Supervisor: E. JÄRPE   External referee: D. SEVCOVIC 11.45 Anna Mikaelyan Analytical study of the Schonbucher-Wilmott model of the feedback effect in illiquid markets Supervisor: L.A. BORDAG   External referee: V. ROUBTSOV 12.15 Lunch 13.30 Natalia Poreba and Patrycja Przytula The impact of estimation errors on the option pricing. An application of the normal inverse Gaussian model of the Nordic market Supervisor: J.O. JOHANSSON   External referee: D. SEVCOVIC 14.30 Irena Zajac Modeling of financial data time-series using the Cusum method Supervisor: E. JÄRPE   External referee: V. ROUBTSOV 15.00 Coffee break 15.15 Anton Mezentsev and Anton Pomelninkov Valuation of instalment options Supervisor: M. EHRHARDT   External referee: D. SEVCOVIC 16.15 End of day 1

Tuesday, June 2, 2009 in Haldasalen 9.00 Joanna Kozak The reliability of Value at Risk predictions based on the assumption of a Normal Inverse Gaussian model during high volatility market periods versus low volatility market periods Supervisor: J.O. JOHANSSON   External referee: D. SEVCOVIC 9.30 Jolanta Pielaszkiewicz and Magdalena Kucharska NIG distribution in modeling stock returns with assumption about stochastic volatility. Estimation of parameters and application to VaR and ETL Supervisor: J.O. JOHANSSON   External referee: D. SEVCOVIC 10.30 Coffee break 10.45 Monika Kuta and Michal Kowalewski Modeling dependence structures of Swedish large cap stocks by using copula functions Supervisor: E. JÄRPE   External referee: D. SEVCOVIC 11.45 Ekaterina Dremkova A high-order compact method for non-linear Black-Scholes option pricing equations with transaction costs Supervisor: M. EHRHARDT   External referee: D. SEVCOVIC 12.15 Lunch 13.30 Liudmila Petrova and Liubov Ivkina Study of the group properties of the Sircal-Papanicolaou model in case of a non-linear utility function Supervisor: L.A. BORDAG   External referee: V. ROUBTSOV 14.30 Artur Bondyra Monitoring of financial data time-series using weighted moving average methods Supervisor: E. JÄRPE   External referee: D. SEVCOVIC 15.00 Coffee break 15.15 Vera Egorova and Anastasia Ivanova High-order compact methods for the American option pricing problem Supervisor: M. EHRHARDT   External referee: V. ROUBTSOV 16.15 Discussions 17.00 End of day 2