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Daniel Sevcovic

Identifiers

  • name variant Daniel Sevcovic 0.60 · backfill

Papers (34)

  1. Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi Bellman equation q-fin.PM · 2019 · author #2
  2. Option Pricing in Illiquid Markets with Jumps q-fin.MF · 2019 · author #2
  3. Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization q-fin.PM · 2018 · author #2
  4. On Construction of Upper and Lower Bounds for the HOMO-LUMO Spectral Gap math.OC · 2018 · author #2
  5. On a Construction of Integrally Invertible Graphs and their Spectral Properties math.CO · 2017 · author #2
  6. Nonlinear Parabolic Equations arising in Mathematical Finance q-fin.PR · 2017 · author #1
  7. Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function q-fin.CP · 2017 · author #3
  8. Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations q-fin.CP · 2017 · author #3
  9. Invertibility of graphs with a unique perfect matching math.CO · 2016 · author #2
  10. Maximization of the Spectral Gap for Chemical Graphs by means of a Solution to a Mixed Integer Semidefinite Program math.OC · 2016 · author #2
  11. Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function q-fin.MF · 2016 · author #3
  12. Numerical and analytical methods for bond pricing in short rate convergence models of interest rates q-fin.MF · 2016 · author #3
  13. Analysis of the nonlinear option pricing model under variable transaction costs q-fin.PR · 2016 · author #1
  14. Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations q-fin.PR · 2015 · author #4
  15. Application of the Enhanced Semidefinite Relaxation Method to Construction of the Optimal Anisotropy Function math.OC · 2014 · author #1
  16. Computational studies of conserved mean-curvature flow math.NA · 2014 · author #3
  17. Solution to the Inverse Wulff Problem by Means of the Enhanced Semidefinite Relaxation Method math.OC · 2014 · author #1
  18. Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem q-fin.PM · 2013 · author #2
  19. On a gradient flow of plane curves minimizing the anisoperimetric ratio math.DG · 2012 · author #1
  20. On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints q-fin.PM · 2011 · author #2
  21. Sensitivity analysis of the early exercise boundary for American style of Asian options q-fin.CP · 2011 · author #1
  22. On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations q-fin.CP · 2010 · author #1
  23. Evolution of plane curves with a curvature adjusted tangential velocity math.NA · 2010 · author #1
  24. Comparison of numerical and analytical approximations of the early exercise boundary of the American put option q-fin.CP · 2010 · author #2
  25. Early exercise boundary for American type of floating strike Asian option and its numerical approximation q-fin.PR · 2009 · author #2
  26. Numerical aspects of evolution of plane curves satisfying the fourth order geometric equation math.NA · 2009 · author #2
  27. Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management q-fin.PM · 2009 · author #2
  28. A simple, fast and stabilized flowing finite volume method for solving general curve evolution equations math.NA · 2008 · author #2
  29. Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations q-fin.CP · 2008 · author #1
  30. Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis q-fin.PR · 2008 · author #2
  31. Nonlinear stability of stationary solutions for curvature flow with triple junction math.DS · 2008 · author #3
  32. On tangential stabilization in curvature driven flows of planar curves math.NA · 2007 · author #2
  33. Comparison study for Level set and Direct Lagrangian methods for computing Willmore flow of closed planar curves math.NA · 2007 · author #4
  34. An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation q-fin.CP · 2007 · author #1

Mentions

  • 1511.05661 #4 · backfill · confidence 0.70 Daniel Sevcovic
  • 1402.6917 #3 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 1203.2238 #1 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 1009.2588 #1 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0905.1433 #2 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0810.1745 #2 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0805.0611 #1 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0802.3039 #2 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0710.5314 #2 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0710.5305 #4 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 0710.5301 #1 · arxiv_oai · confidence 0.70 Daniel Sevcovic
  • 1405.4382 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1402.6917 #3 · backfill · confidence 0.70 Daniel Sevcovic
  • 1402.5668 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1307.3672 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 1203.2238 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1108.1035 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 1101.3071 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1009.5973 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1009.2588 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 1002.0979 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0912.1321 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0905.1433 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0905.0155 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0810.1745 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0805.0611 #1 · backfill · confidence 0.70 Daniel Sevcovic
  • 0802.3039 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0802.3036 #3 · backfill · confidence 0.70 Daniel Sevcovic
  • 0710.5314 #2 · backfill · confidence 0.70 Daniel Sevcovic
  • 0710.5305 #4 · backfill · confidence 0.70 Daniel Sevcovic
  • 0710.5301 #1 · backfill · confidence 0.70 Daniel Sevcovic

Frequent Coauthors