Beata Stehlikova

Comenius University - Department of Applied Mathematics and Statistics

Mlynsk√° dolina

SK-842 48 Bratislava, 842 48

Slovakia

SCHOLARLY PAPERS

4

DOWNLOADS

641

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model

Number of pages: 15 Posted: 27 Jan 2014
Beata Stehlikova and Luca Capriotti
Comenius University - Department of Applied Mathematics and Statistics and University College London
Downloads 409 (87,371)
Citation 4

Abstract:

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Stochastic processes, Black-Karasinski, derivative pricing, power series expansions

2.

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 84 (354,978)

Abstract:

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

3.

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 78 (370,916)

Abstract:

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4.

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 70 (393,913)

Abstract:

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