Details about Daniel Sevcovic

Access statistics for papers by Daniel Sevcovic.

Last updated 2011-02-20. Update your information in the RePEc Author Service.

Short-id: pse277

Working Papers

2010

1. Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
   Papers, arXiv.org View citations (7)

2009

2. Early exercise boundary for American type of floating strike Asian option and its numerical approximation
   Papers, arXiv.org View citations (3)
3. Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
   Papers, arXiv.org View citations (1)

2008

4. Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
   Papers, arXiv.org
5. On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
   Papers, arXiv.org
6. On the singular limit of solutions to the CIR interest rate model with stochastic volatility
   Papers, arXiv.org
7. Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
   Papers, arXiv.org View citations (2)

2007

8. An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
   Papers, arXiv.org View citations (5)

Journal Articles

2006

1. A Dynamic Accumulation Model for the Second Pillar of the Slovak Pension System
   Czech Journal of Economics and Finance (Finance a uver), 2006, 56, (11-12), 506-521