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Sevcovic, Daniel's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
699 |
Total
Citations
5 |
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1.
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Stehlikova, Beata
Comenius University - Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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05 Nov 08
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Last Revised:
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12 Jun 09
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72
(166,274)
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two-factor term structure models, generalized Fong--Vasicek interest rate model, stochastic volatility, stochastic differential equation, averaging, limiting density
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2.
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Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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21 Aug 08
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Last Revised:
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30 Jan 09
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71
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2
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3.
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Brunovsky, Pavol
Comenius University - Faculty of Mathematics, Physics and Informatics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics Somorcik, Jan
Comenius University - Faculty of Mathematics, Physics and Informatics Hroncova, Dagmar
affiliation not provided to SSRN Pospisilova, Katerina
affiliation not provided to SSRN
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16 Sep 08
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Last Revised:
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15 Jun 09
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66
(174,544)
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pandemic influenza mitigation scenarios, socio-economic impacts, Monte-Carlo simulations
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4.
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Melichercik, Igor
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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18 Aug 08
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Last Revised:
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07 Jul 10
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59
(185,059)
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2
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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, risk aversion, pension portfolio simulations
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5.
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Jakubik, Tibor
affiliation not provided to SSRN Melichercik, Igor
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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23 Feb 09
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Last Revised:
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07 Jul 10
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58
(186,637)
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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, correlation, risk aversion, pension portfolio simulations
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6.
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Lauko, Martin
Comenius University - Department of Economic and Financial Models Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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06 Feb 10
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Last Revised:
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29 Sep 10
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56
(189,825)
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option pricing, American put options, early exercise boundary, approximation formula
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7.
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Stehlikova, Beata
Comenius University - Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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56
(189,825)
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Cox-Ingersoll-Ross two factors model, rapidly oscillating volatility, singular, limit of solution, asymptotic expansion
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8.
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Stehlikova, Beata
Comenius University - Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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| Posted: |
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20 Aug 08
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Last Revised:
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30 Jan 09
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53
(194,887)
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9.
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Kilianova, Sona
affiliation not provided to SSRN Melichercik, Igor
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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39
(221,542)
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dynamic stochastic programming, funded pillar, utility function, Bellman equation, risk aversion, pension portfolio simulations
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10.
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Bokes, Tomas
Comenius University - Department of Economic and Financial Models Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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38
(223,690)
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option pricing, American-style of Asian options, early exercise boundary, limiting behavior close to expiry
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11.
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Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics Takac, Martin
Comenius University - Faculty of Mathematics, Physics and Informatics
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37
(225,881)
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Option Pricing, American-Style Asian Options, Early Exercise Boundary, Fixed Domain Transformation
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12.
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Melichercik, Igor
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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| Posted: |
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08 Jul 10
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Last Revised:
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28 Mar 11
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37
(225,881)
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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, risk aversion, pension portfolio simulations
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13.
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Macova, Zuzana
affiliation not provided to SSRN Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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| Posted: |
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01 May 09
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Last Revised:
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06 Nov 09
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35
(230,461)
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1
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Hamilton-Jacobi-Bellman equation, weakly nonlinear analysis, asymptotic expansion, fully nonlinear parabolic equation, stochastic dynamic programming, pension savings accumulation model
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14.
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Sevcovic, Daniel
Comenius University - Faculty of Mathematics, Physics and Informatics
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22
(267,871)
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nonlinear Black--Scholes equation, early exercise boundary
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Records 1 -
14
of 14 matches
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