Master's program in Financial Mathematics
(organized by Prof. Ljudmila A. Bordag) 
Halmstad University, Sweden.

Matthias Ehrhardt: Numerical Methods in Finance 


Selected Numerical Topics in Computational Finance
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A fast optimal compact finite difference algorithm for American Options

An iterative algorithm for evaluating approximations 
to the optimal exercise boundary for a nonlinear Black-Scholes equation

Finite Element Methods For American Options

Instalment Options: A Closed-Form Solution and the Limiting Case

Pricing of Multi-Asset Options using the Mellin transformation

Quadratic Convergence for Valuing American Options Using a Penalty Method 

Robust Numerical Methods for PDE Models 

Universal Option Valuation Using Quadrature Methods 

Using Meshfree Approximation for Multi-Asset American Option Problems 

On the numerical pricing of swing options and the seasonality of derivative securities
from the electricity market

Modeling and Simulating of Weather Derivatives

Modeling, Pricing and Risk Management of Power Derivatives in Energy Markets