17 citations · 94 across the 49 of their papers we have counts for
6 papers · 1 filter
On the singular limit of solutions to the CIR interest rate model with stochastic volatility
B. Stehlikova, D. Sevcovic
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-…
On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
B. Stehlikova, D. Sevcovic
The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short…
A simple, fast and stabilized flowing finite volume method for solving general curve evolution equations
Karol Mikula, Daniel Sevcovic, Martin Balazovjech
A new simple Lagrangian method with favorable stability and efficiency properties for computing general plane curve evolutions is presented. The method is based on the flowing fini…
Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
Daniel Sevcovic
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American st…
Nonlinear stability of stationary solutions for curvature flow with triple junction
Harald Garcke, Yoshihito Kohsaka, Daniel Sevcovic
In this paper we analyze the motion of a network of three planar curves with a speed proportional to the curvature of the arcs, having perpendicular intersections with the outer bo…
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
Beata Stehlikova, Daniel Sevcovic
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volat…