Daniel Sevcovic

Comenius University - Faculty of Mathematics, Physics and Informatics

Mlynská dolina

SK-842 48 Bratislava, 842 48

Slovakia

SCHOLARLY PAPERS

15

DOWNLOADS

1,293

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

Socio-Economic Impacts of Pandemic Influenza Mitigation Scenarios in Slovakia

Ekonomicky Casopis, Vol. 57, No. 2, pp. 163-178, 2009
Number of pages: 13 Posted: 16 Sep 2008 Last Revised: 15 Jun 2009
Comenius University - Faculty of Mathematics, Physics and Informatics, Comenius University - Faculty of Mathematics, Physics and Informatics, Comenius University - Faculty of Mathematics, Physics and Informatics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 138 (379,378)

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pandemic influenza mitigation scenarios, socio-economic impacts, Monte-Carlo simulations

2.

Transformation Methods for Evaluating Approximations to the Optimal Exercise Boundary for Linear and Nonlinear Black-Scholes Equations

NONLINEAR MODELS IN MATHEMATICAL FINANCE: NEW RESEARCH TRENDS IN OPTION PRICING, pp. 153-198, M. Ehrhardt, ed., Nova Science Publishers, Inc., Hauppauge, 2008
Number of pages: 51 Posted: 21 Aug 2008 Last Revised: 30 Jan 2009
Daniel Sevcovic
Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 129 (400,060)
Citation 8

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3.

Sensitivity Analysis for a Dynamic Stochastic Accumulation Model for Optimal Pension Savings Management

Ekonomicky casopis, Vol. 8, pp, 756-771, 2009
Number of pages: 16 Posted: 23 Feb 2009 Last Revised: 07 Jul 2010
Tibor Jakubik, Igor Melichercik and Daniel Sevcovic
affiliation not provided to SSRN, Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 105 (465,958)

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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, correlation, risk aversion, pension portfolio simulations

4.

Comparison of Numerical and Analytical Approximations of the Early Exercise Boundary of the American Put Option

Number of pages: 22 Posted: 06 Feb 2010 Last Revised: 29 Sep 2010
Martin Lauko and Daniel Sevcovic
Comenius University - Department of Economic and Financial Models and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 103 (472,565)
Citation 5

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option pricing, American put options, early exercise boundary, approximation formula

5.

On Non-Existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong-Vasicek Term Structures

Proceedings of the Czech-Japanese Seminar in Applied Mathematics 2008 Takachiho / University of Miyazaki, Miyazaki, Japan, September 1-7, pp. 40-48, 2008
Number of pages: 9 Posted: 05 Nov 2008 Last Revised: 12 Jun 2009
Beata Stehlikova and Daniel Sevcovic
Comenius University - Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 101 (479,009)

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two-factor term structure models, generalized Fong--Vasicek interest rate model, stochastic volatility, stochastic differential equation, averaging, limiting density

6.

Dynamic Stochastic Accumulation Model with Application to Pension Savings Management

Yugoslav Journal of Operations Research, Vol. 20, No. 1, pp. 1-27, 2010
Number of pages: 23 Posted: 18 Aug 2008 Last Revised: 07 Jul 2010
Igor Melichercik and Daniel Sevcovic
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 100 (482,191)

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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, risk aversion, pension portfolio simulations

7.

Approximate Formulae for Pricing Zero-Coupon Bonds and Their Asymptotic Analysis

International Journal of Numerical Analysis and Modeling, 6(2) 2009, 274-283.
Number of pages: 10 Posted: 20 Aug 2008 Last Revised: 30 Jan 2009
Beata Stehlikova and Daniel Sevcovic
Comenius University - Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 98 (488,735)

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8.

On the Singular Limit of Solutions to the Cox-Intersoll-Ross Interest Rate Model with Stochastic Volatility

Kybernetika, Vol. 40, 2008
Number of pages: 10 Posted: 05 Nov 2008
Beata Stehlikova and Daniel Sevcovic
Comenius University - Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 87 (527,109)

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Cox-Ingersoll-Ross two factors model, rapidly oscillating volatility, singular, limit of solution, asymptotic expansion

9.

Sensitivity Analysis of the Early Exercise Boundary for American Style of Asian Options

International Journal of Numerical Analysis and Modeling, Series B Computing and Information, Vol. 1, No. 1, pp. 1-18, 2011
Number of pages: 16 Posted: 17 Jan 2011
Daniel Sevcovic and Martin Takac
Comenius University - Faculty of Mathematics, Physics and Informatics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 83 (542,442)

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Option Pricing, American-Style Asian Options, Early Exercise Boundary, Fixed Domain Transformation

10.

Dynamic and Static Strategies for the Funded Pillar of the Slovak Pension System

Number of pages: 18 Posted: 18 Aug 2008
Sona Kilianova, Igor Melichercik and Daniel Sevcovic
affiliation not provided to SSRN, Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 76 (571,115)
Citation 1

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dynamic stochastic programming, funded pillar, utility function, Bellman equation, risk aversion, pension portfolio simulations

11.

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation

Number of pages: 25 Posted: 31 Dec 2009
Tomas Bokes and Daniel Sevcovic
Comenius University - Department of Economic and Financial Models and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 75 (575,429)
Citation 2

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option pricing, American-style of Asian options, early exercise boundary, limiting behavior close to expiry

12.

Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

Number of pages: 8 Posted: 08 Jul 2010 Last Revised: 28 Mar 2011
Igor Melichercik and Daniel Sevcovic
Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 74 (579,793)

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dynamic stochastic programming, funded pillar, utility function, Bellman equation, Slovak pension system, risk aversion, pension portfolio simulations

13.

Weakly Nonlinear Analysis of the Hamilton-Jacobi-Bellman Equation Arising from Pension Savings Management

International Journal of Numerical Analysis and Modeling Computing and Information, 2010
Number of pages: 20 Posted: 01 May 2009 Last Revised: 06 Nov 2009
Zuzana Macova and Daniel Sevcovic
affiliation not provided to SSRN and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 67 (611,638)

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Hamilton-Jacobi-Bellman equation, weakly nonlinear analysis, asymptotic expansion, fully nonlinear parabolic equation, stochastic dynamic programming, pension savings accumulation model

14.

On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black-Scholes Equations

Number of pages: 6 Posted: 30 Sep 2010
Daniel Sevcovic
Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 55 (674,351)

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nonlinear Black--Scholes equation, early exercise boundary

15.

Pricing American Call Options Using the Black–Scholes Equation with a Nonlinear Volatility Function

Journal of Computational Finance, 2020
Number of pages: 21 Posted: 24 Jan 2020
Maria do Rosario Grossinho, Daniel Sevcovic and Yaser Kord
University of Lisbon, Comenius University - Faculty of Mathematics, Physics and Informatics and University of Lisbon
Downloads 2 (1,102,029)
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variational inequality, finite-difference scheme, American option pricing, nonlinear Black–Scholes equation, variable transaction costs, projected successive over-relaxation (PSOR) method