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

Matthias Ehrhardt: Numerical Methods in Finance 
                   (November 2009)

Selected Numerical Topics in Computational Finance
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An iterative algorithm for evaluating approximations 
to the optimal exercise boundary for a nonlinear Black-Scholes equation

Discrete artificial boundary conditions for high-order methods to
solve nonlinear Black-Scholes equations

Finite Element Methods For American Options

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

Integrals Transform Methods for Option Pricing

Novel Grid stretching techniques in Option Pricing methods