Publications of Beáta Stehlíková

Books

  1. 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).

  2. 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

Book chapters

  1. Zuzana Bučková, Beáta Stehlíková, Daniel Ševčovič Numerical and analytical methods for bond pricing in short rate convergence models of interest rates.Advances in Mathematics Research. - New York : Nova Science Publishers, 2017. - pp. 93-148

Research papers in reviewed journals

  1. M. Jánoši, B. Stehlíková: Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates Mathematica Moravica, Vol. 28, No. 1 (2024), 29-38.

  2. A. Babiš, B. Stehllíková: Time series clustering based on time-varying Hurst exponent. Metodološki zvezki - Advances in Methodology and Statistics 18 (2021), 73-88.

  3. B. Stehlíková: New Approximations to Bond Prices in the Cox-Ingersoll-Ross Convergence Model with Dynamic Correlation. Mathematics 9 (2021), 1469.

  4. V. Mosný, B. Stehlíková: Estimating the short rate from term structures in the Chan-Karolyi-Longstaff-Sanders model. Acta Mathematica Universitatis Comenianae 89 (2020), 361-375

  5. Z. Bučková, Z. Girová, Beáta Stehlíková: Estimating the domestic short rate in a convergence model of interest rates. Tatra Mountains Mathematical Publications 75 (2020), 33-48

  6. B. Stehlíková: On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation. Mathematica Slovaca 70 (2020), 995-1002

  7. Z. Girová and B. Stehlíková. Effect of correlation on bond prices in short rate models of interest rates. Mathematica Moravica, 22 (2018), 89-101.

  8. B. Stehlíková: Zhlukovanie časových radov dlhodobých úrokových mier. Forum Statisticum Slovacum 2 (2018), 51-60 [in Slovak]

  9. B. Stehlíková: Perturbation analysis of a nonlinear equation arising in the Schaefer - Schwartz model of interest rates. Mathematica Slovaca 68 (2018), 617-624

  10. J. Halgašová, B. Stehlíková, Z. Bučková: Estimating the short rate from the term structures in the Vasicek model. Tatra Mountains Mathematical Publications. - Vol. 61 (2014), s. 87-103

  11. B. Stehlíková, L. Capriotti: Effective Approximations for Arrow-Debreu Prices in Short Rate Models. International Journal of Theoretical and Applied Finance 17, 2014, 1450037.

  12. 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

  13. Z. Zíková and B. Stehlíková: Convergence model of interest rates of CKLS type. Kybernetika 48 (3), 2012, 567-586.

  14. 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.

  15. 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.

  16. 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.

Papers in conference proceedings

  1. Beáta Stehlíková: Archetypal Analysis of Interest Rates in Selected European Union Countries. Proceedings of International Relations 2023: Current issues of world economy and politics, 2023, pp. 453-462.

  2. Mária Rudolfová, Beáta Stehlíková, Patrícia Ustaníková: Calibration of a Convergence Model of Interest Rates Using the Grey Wolf Optimization Algorithm. Proceedings of Economic, Political and Legal Issues of International Relations, 2023, pp. 206-217

  3. Tatiana Jašurková, Beáta Stehlíková: Calibration of the Vasicek model of interest rates using bicriteria optimization. Proceedings of Algoritmy, 2020, 211-220

  4. Beáta Stehlíková, Zuzana Bučková: Dynamic correlation in a convergence model of interest rates. Proceedings of Algoritmy, 2020, 201-210

  5. Radka Litvajová, Beáta Stehlíková: A clustering coefficient in the correlation network of long-term interest rates. Conference proceedings, International Relations 2018: Current issues of world economy and politics, Publishing Ekonóm, 2018, pp. 444-452

  6. Slavi Georgiev, Beáta Stehlíková: Numerical computation of the implied volatility surface from real-time market data using Leland model. Financial Mathematics and Informatics 2018 (57), Rusenski universitet "Angel Kančev", 2018, pp. 41-46

  7. Zuzana Bučková, Jana Halgašová, Beáta Stehlíková: Short rate as a sum of two CKLS-type processes. 6th International Conference on Numerical Analysis and Its Applications, NAA 2016. - Cham : Springer, 2017. - pp. 243-251

  8. B. Stehlíková and Z. Zíková: A three-factor convergence model of interest rates. Proceedings of Algoritmy 2012, pp. 95-104.

  9. 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.

  10. B. Stehlíková: Averaged Bond Prices for Fong-Vasicek and the Generalized Vasicek Interest Rates Models. Proceeding of MMEI, 2007, pp. 166-175.

  11. 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.

  12. 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.

  13. 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.

  14. B. Stehlíková and D. Ševčovič: On a Volatility Averaging in a Two-Factor Interest Rate Model. Proceedings of Algoritmy 2005, pp. 325-333.

Papers in reviewed journals on undergraduate mathematics

  1. Beáta Stehlíková, Slavomíra Gregušová: Náhodné stretnutia viacerých ľudí v čase. Obzory matematiky, fyziky a informatiky. - Roč. 42, č. 3 (2013), s. 19-34

  2. Beáta Stehlíková: Zaujímavý integrál. Obzory matematiky, fyziky a informatiky. - Roč. 42, č. 1 (2013), s. 19-26