Cheng, Yin-Hei2013-04-222013-04-222013-04-222013-04-09http://hdl.handle.net/10012/7413In this thesis, we provide several applications of Gram-Charlier expansions in derivative pricing. We first give an exposition on how to calculate swaption prices under the the CIR2 model. Then we extend this method to CIR2++ model. We also develop a procedure to calculate European call options under Heston’s model of stochastic volatility by Gram-Charlier Expansions.enderivativesGram-CharlierMaster ThesisQuantitative Finance