Polvora, Pedro; Sevcovic, Daniel Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation. arXiv:2108.12598 Preprint, arXiv:2108.12598 [math.AP] (2021). MSC: 45K05 35K58 34G20 91G20 BibTeX Cite \textit{P. Polvora} and \textit{D. Sevcovic}, ``Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation'', Preprint, arXiv:2108.12598 [math.AP] (2021) Full Text: DOI arXiv OA License
Sevcovic, Daniel; Udeani, Cyril Izuchukwu Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing. arXiv:2106.10498 Preprint, arXiv:2106.10498 [q-fin.MF] (2021). MSC: 45K05 35K58 34G20 91G20 BibTeX Cite \textit{D. Sevcovic} and \textit{C. I. Udeani}, ``Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing'', Preprint, arXiv:2106.10498 [q-fin.MF] (2021) Full Text: arXiv OA License
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 1474.45064 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 45R05 60G65 91G20 PDFBibTeX XMLCite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 1474.45064) Full Text: DOI arXiv
Arregui, Iñigo; Salvador, Beatriz; Ševčovič, Daniel; Vázquez, Carlos PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution. (English) Zbl 1448.91291 Comput. Math. Appl. 79, No. 5, 1525-1542 (2020). MSC: 91G20 60G40 91G60 35Q91 35R60 65M25 65M60 PDFBibTeX XMLCite \textit{I. Arregui} et al., Comput. Math. Appl. 79, No. 5, 1525--1542 (2020; Zbl 1448.91291) Full Text: DOI
Arregui, Iñigo; Salvador, Beatriz; Ševčovič, Daniel; Vázquez, Carlos Mathematical analysis of a nonlinear PDE model for European options with counterparty risk. (Analyse mathématique d’un modèle d’EDP non linéaire pour les options européennes avec risque de contrepartie.) (English. French summary) Zbl 1411.91537 C. R., Math., Acad. Sci. Paris 357, No. 3, 252-257 (2019). MSC: 91G20 91G80 35Q91 PDFBibTeX XMLCite \textit{I. Arregui} et al., C. R., Math., Acad. Sci. Paris 357, No. 3, 252--257 (2019; Zbl 1411.91537) Full Text: DOI
Arregui, Iñigo; Salvador, Beatriz; Ševčovič, Daniel; Vázquez, Carlos Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation. (English) Zbl 1426.91261 Comput. Math. Appl. 76, No. 4, 725-740 (2018). MSC: 91G20 91G60 65M60 PDFBibTeX XMLCite \textit{I. Arregui} et al., Comput. Math. Appl. 76, No. 4, 725--740 (2018; Zbl 1426.91261) Full Text: DOI
Cruz, José M. T. S.; Ševčovic, Daniel Option pricing in illiquid markets with jumps. (English) Zbl 1411.91619 Appl. Math. Finance 25, No. 4, 389-409 (2018). MSC: 91G60 65M06 91G20 60J75 PDFBibTeX XMLCite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovic}, Appl. Math. Finance 25, No. 4, 389--409 (2018; Zbl 1411.91619) Full Text: DOI arXiv
do Rosário Grossinho, Maria; Faghan, Yaser; Ševčovič, Daniel Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (English) Zbl 1420.91457 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 129-142 (2017). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{M. do Rosário Grossinho} et al., Math. Ind. 25, 129--142 (2017; Zbl 1420.91457) Full Text: DOI arXiv
Ševčovič, Daniel Nonlinear parabolic equations arising in mathematical finance. (English) Zbl 1420.91521 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 3-15 (2017). MSC: 91G60 65M06 65M08 91G10 91G20 35Q91 93E20 PDFBibTeX XMLCite \textit{D. Ševčovič}, Math. Ind. 25, 3--15 (2017; Zbl 1420.91521) Full Text: DOI arXiv
do Rosário Grossinho, Maria; Kord Faghan, Yaser; Ševčovič, Daniel Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function. (English) Zbl 1418.91508 Asia-Pac. Financ. Mark. 24, No. 4, 291-308 (2017). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{M. do Rosário Grossinho} et al., Asia-Pac. Financ. Mark. 24, No. 4, 291--308 (2017; Zbl 1418.91508) Full Text: DOI arXiv
Ševčovič, Daniel; Žitňanská, Magdaléna Analysis of the nonlinear option pricing model under variable transaction costs. (English) Zbl 1418.91538 Asia-Pac. Financ. Mark. 23, No. 2, 153-174 (2016). MSC: 91G20 35K55 35Q91 PDFBibTeX XMLCite \textit{D. Ševčovič} and \textit{M. Žitňanská}, Asia-Pac. Financ. Mark. 23, No. 2, 153--174 (2016; Zbl 1418.91538) Full Text: DOI arXiv
Buckova, Zuzana; Stehlíková, Beáta; Ševčović, Daniel Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (English) Zbl 1411.91547 Int. J. Math. Game Theory Algebra 25, No. 2, 177-219 (2016). MSC: 91G20 60H15 91G30 91G60 PDFBibTeX XMLCite \textit{Z. Buckova} et al., Int. J. Math. Game Theory Algebra 25, No. 2, 177--219 (2016; Zbl 1411.91547) Full Text: arXiv
Ďuriš, Karol; Tan, Shih-Hau; Lai, Choi-Hong; Ševčovič, Daniel Comparison of the analytical approximation formula and Newton’s method for solving a class of nonlinear Black-Scholes parabolic equations. (English) Zbl 1330.91183 Comput. Methods Appl. Math. 16, No. 1, 35-50 (2016). MSC: 91G60 65M06 35C20 35K55 35Q91 PDFBibTeX XMLCite \textit{K. Ďuriš} et al., Comput. Methods Appl. Math. 16, No. 1, 35--50 (2016; Zbl 1330.91183) Full Text: DOI arXiv
Ševčovič, Daniel On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations. (English) Zbl 1246.91152 Günther, Michael (ed.) et al., Progress in industrial mathematics at ECMI 2010. Proceedings of the 16th European conference on mathematics for industry, Wuppertal, Germany, July 26–30, 2010. Berlin: Springer (ISBN 978-3-642-25099-6/hbk; 978-3-642-25100-9/ebook). Mathematics in Industry 17, 207-213 (2012). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{D. Ševčovič}, Math. Ind. 17, 207--213 (2012; Zbl 1246.91152) Full Text: DOI arXiv
Kandilarov, J. D.; Ševčovič, D. Comparison of two numerical methods for computation of American type of the floating strike Asian option. (English) Zbl 1354.91165 Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 8th international conference, LSSC 2011, Sozopol, Bulgaria, June 6–10, 2011. Revised selected papers. Berlin: Springer (ISBN 978-3-642-29842-4/pbk). Lecture Notes in Computer Science 7116, 558-565 (2012). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{J. D. Kandilarov} and \textit{D. Ševčovič}, Lect. Notes Comput. Sci. 7116, 558--565 (2012; Zbl 1354.91165) Full Text: DOI arXiv
Ševčovič, D.; Takáč, M. Sensitivity analysis of the early exercise boundary for American style of Asian option. (English) Zbl 1242.91206 Int. J. Numer. Anal. Model., Ser. B 2, No. 2-3, 231-247 (2011). MSC: 91G60 35K15 35K55 91G20 PDFBibTeX XMLCite \textit{D. Ševčovič} and \textit{M. Takáč}, Int. J. Numer. Anal. Model., Ser. B 2, No. 2--3, 231--247 (2011; Zbl 1242.91206) Full Text: arXiv
Bokes, Tomáš; Ševčovič, Daniel Early exercise boundary for American type of floating strike Asian option and its numerical approximation. (English) Zbl 1251.91058 Appl. Math. Finance 18, No. 5-6, 367-394 (2011). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{T. Bokes} and \textit{D. Ševčovič}, Appl. Math. Finance 18, No. 5--6, 367--394 (2011; Zbl 1251.91058) Full Text: DOI arXiv
Lauko, M.; Ševčovič, D. Comparison of numerical and analytical approximations of the early exercise boundary of American put options. (English) Zbl 1216.35182 ANZIAM J. 51, No. 4, 430-448 (2010). MSC: 35R35 62P05 65M99 91G60 91G70 91G80 PDFBibTeX XMLCite \textit{M. Lauko} and \textit{D. Ševčovič}, ANZIAM J. 51, No. 4, 430--448 (2010; Zbl 1216.35182) Full Text: DOI arXiv
Stehlíková, Beáta; Ševčovič, Daniel On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures. (English) Zbl 1381.91002 Beneš, Michal (ed.) et al., Proceedings of the Czech-Japanese seminar in applied mathematics, Miyazaki, Japan, September 1–7, 2008. Fukuoka: Kyushu University, Faculty of Mathematics. COE Lecture Note 14, 40-48 (2009). MSC: 91G20 35C20 60H10 PDFBibTeX XMLCite \textit{B. Stehlíková} and \textit{D. Ševčovič}, COE Lect. Note 14, 40--48 (2009; Zbl 1381.91002) Full Text: arXiv