[1] B. Stehlíková and D. Ševčovič,
On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility.
Submitted.
Full text (PDF 239 K)
[2] B. Stehlíková and D. Ševčovič,
On non-existence of a one factor interest rate model for volatility averaged generalized Fong--Vasicek term structures.
To appear in COE Lecture Note Series, Faculty of Mathematics, Kyushu University.
Full text (PDF 166 K)
[3] B. Stehlíková and D. Ševčovič,
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis.
To appear in International Journal of Numerical Analysis and Modeling.
Full text (PDF 161 K)
[4] B. Stehlíková,
Averaged Bond Prices for Fong-Vasicek and the Generalized Vasicek Interest Rates Models.
Proceeding of MMEI, 2007, pp. 166-175.
Full text (PDF 167 K)
[5] 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.
Full text (PDF 80 K)
[6] 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.
Full text (PDF 162 K)
[7] 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.
Full text (PDF 2.3 M)
[8] B. Stehlíková and D. Ševčovič,
On a Volatility Averaging in a Two-Factor Interest Rate Model.
Proceedings of Algoritmy 2005, pp. 325-333.
Full text (PDF 218 K)