Mathematical Analysis of Term Structure Models
Beáta Stehlíková
PhD thesis advisor: Daniel Ševčovič

PhD thesis - Full text    (PDF 760 K)
Synopsis    (PDF 236 K)

Summary: In the thesis we study and analyze several questions and problems that are related to short rate interest rate models. The main goals of the thesis can be summarized as follows:
Related papers

[1] B. Stehlíková and D. Ševčovič, On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility.
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)