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