According to our database1, Daniel Sevcovic authored at least 13 papers between 2001 and 2020.
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PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.
Comput. Math. Appl., 2020
Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation.
Comput. Math. Appl., 2018
Computational analysis of the conserved curvature driven flow for open curves in the plane.
Math. Comput. Simul., 2016
Comparison of the Analytical Approximation Formula and Newton's Method for Solving a Class of Nonlinear Black-Scholes Parabolic Equations.
Comput. Methods Appl. Math., 2016
Proceedings of the Numerical Mathematics and Advanced Applications - ENUMATH 2015, 2015
SIAM J. Sci. Comput., 2014
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option.
Proceedings of the Large-Scale Scientific Computing - 8th International Conference, 2011
On the Singular Limit of Solutions to the Cox-Ingersoll-Ross Interest Rate Model with Stochastic Volatility.
Proceedings of the 2007 IEEE Computer Society Conference on Computer Vision and Pattern Recognition (CVPR 2007), 2007
Evolution of Plane Curves Driven by a Nonlinear Function of Curvature and Anisotropy.
SIAM J. Appl. Math., 2001