Publications

:: Books ::

[2] D. Ševčovič, B. Stehlíková, K. Mikula: Analytical and numerical methods for pricing financial derivatives. Nova Science Publishers, Inc., Hauppauge, 2011.
ISBN: 978-1-61728-780-0 (Hardcover), ISBN: 978-1-61761-350-0 (ebook).
Analytické a numerické metódy oceňovania finančných derivátov
[1] D. Ševčovič, B. Stehlíková, K. Mikula: Analytické a numerické metódy oceňovania finančných derivátov. Nakladateľstvo STU, Bratislava 2009, 200 pages. In Slovak.
ISBN 978-80-227-3014-3
Analytické a numerické metódy oceňovania finančných derivátov

:: Papers in reviewed journals ::

[6] B. Stehlíková, L. Capriotti: Effective Approximations for Arrow-Debreu Prices in Short Rate Models. International Journal of Theoretical and Applied Finance 17, 2014, 1450037.  
[5] B. Stehlíková: A simple analytic approximation formula for the bond price in the Chan-Karolyi-Longstaff-Sanders model. International Journal of Numerical Analysis and Modeling - Series B, Volume 4, Number 3, 2013, pp. 224-234  
[4] Z. Zíková and B. Stehlíková: Convergence model of interest rates of CKLS type. Kybernetika 48 (3), 2012, 567-586. pdf
[pdf file]
[3] T. Chernogorova and B. Stehlíková: A Comparison of Asymptotic Analytical Formulae with Finite-Difference Approximations for Pricing Zero Coupon Bond. Numerical Algorithms 59 (4), 2012, pp. 571-588. pdf
[pdf file]
[2] B. Stehlíková and D. Ševčovič: On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility. Kybernetika 45(4), 2009, 670-680. pdf
[pdf file]
[1] B. Stehlíková and D. Ševčovič: Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis. International Journal of Numerical Analysis and Modeling, 6(2) 2009, 274-283. pdf
[pdf file]

:: Papers in proceedings ::

[8] J. Halgašová, B. Stehlíková, Z. Bučková: Estimating the short rate from the term structures in the Vasicek model. Tatra Mountains Mathematical Pubications 61 (2014), pp. 87-104  
[7] B. Stehlíková and Z. Zíková: A three-factor convergence model of interest rates. Proceedings of Algoritmy 2012, pp. 95-104. pdf
[pdf file]
[6] B. Stehlíková and D. Ševčovič: 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, pp. 40-48. pdf
[pdf file]
[5] B. Stehlíková: Averaged Bond Prices for Fong-Vasicek and the Generalized Vasicek Interest Rates Models. Proceeding of MMEI, 2007, pp. 166-175. pdf
[pdf file]
[4] B. Stehlíková: Averaged Bond Prices in Generalized Cox-Ingersoll-Ross Model of Interest Rates. Proceedings of 5th Actuarial and Financial Mathematics Day, 2007, pp.77-87. pdf
[pdf file]
[3] B. Stehlíková: Fast Mean Reverting Volatility in Fong-Vasicek Model of Interest Rates. Journal of Electrical Engineering, 57, No.12/s, 2006, pp.-65-97. pdf
[pdf file]
[2] B. Stehlíková: Modeling Volatility Clusters with Application to Two-Factor Interest Rate Models. Journal of Electrical Engineering, 56, No.12/s, 2005, pp.90-93. pdf
[pdf file]
[1] B. Stehlíková and D. Ševčovič: On a Volatility Averaging in a Two-Factor Interest Rate Model. Proceedings of Algoritmy 2005, pp. 325-333. pdf
[pdf file]


Beáta Stehlíková
Department of Applied Mathematics and Statistics
Faculty of Mathematics, Physics and Informatics
Comenius University
Bratislava
Slovak Republic


E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://pc2.iam.fmph.uniba.sk/institute/stehlikova/

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