Search Results - "Sevcovic, Daniel"

On traveling wave solutions to a Hamilton–Jacobi–Bellman equation with inequality constraints by Ishimura, Naoyuki, Ševčovič, Daniel

“…The aim of this paper is to construct and analyze solutions to a class of Hamilton–Jacobi–Bellman equations with range bounds on the optimal response variable…”
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ON THE RISK-ADJUSTED PRICING-METHODOLOGY-BASED VALUATION OF VANILLA OPTIONS AND EXPLANATION OF THE VOLATILITY SMILE by Jandacka, Martin, Cevcovic, Daniel

“…We analyse a model for pricing derivative securities in the presence of both transaction costs as well as the risk from a volatile portfolio. The model is…”
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On the Moore-Penrose pseudo-inversion of block symmetric matrices and its application in the graph theory by Pavlíková, Soňa, Ševčovič, Daniel

“…The purpose of this paper is to analyze the Moore-Penrose pseudo-inversion of symmetric real matrices with application in the graph theory. We introduce a…”
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Evolution of Plane Curves Driven by a Nonlinear Function of Curvature and Anisotropy by Mikula, Karol, Ševčovič, Daniel

“…In this paper we study evolution of plane curves satisfying a geometric equation v = β(k, ν), where v is the normal velocity and k and v are the curvature and…”
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Extreme and statistical properties of eigenvalue indices of simple connected graphs by Pavlíková, Soňa, Ševčovič, Daniel, Širáň, Jozef

“…We analyze graphs attaining the extreme values of various spectral indices in the class of all simple connected graphs, as well as in the class of graphs which…”
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On a construction of integrally invertible graphs and their spectral properties by Pavlíková, Soňa, Ševčovič, Daniel

“…Godsil (1985) defined a graph to be invertible if it has a non-singular adjacency matrix whose inverse is diagonally similar to a nonnegative integral matrix;…”
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Application of maximal monotone operator method for solving Hamilton–Jacobi–Bellman equation arising from optimal portfolio selection problem by Udeani, Cyril Izuchukwu, Ševčovič, Daniel

“…In this paper, we investigate a fully nonlinear evolutionary Hamilton–Jacobi–Bellman (HJB) parabolic equation utilizing the monotone operator technique. We…”
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Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton–Jacobi–Bellman equation by Kilianová, Soňa, Ševčovič, Daniel

“…In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility…”
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Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing by Ševčovič, Daniel, Udeani, Cyril Izuchukwu

“…The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. Such class…”
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Curvature driven flow of a family of interacting curves with applications by Beneš, Michal, Kolář, Miroslav, Ševčovič, Daniel

“…In this paper, we investigate a system of geometric evolution equations describing a curvature‐driven motion of a family of planar curves with mutual…”
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Computational analysis of the conserved curvature driven flow for open curves in the plane by Kolář, Miroslav, Beneš, Michal, Ševčovič, Daniel

“…The paper studies the constrained curvature flow for open planar curves with fixed endpoints by means of its numerical solution. This law originates in the…”
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Computational and qualitative aspects of motion of plane curves with a curvature adjusted tangential velocity by Ševčovič, Daniel, Yazaki, Shigetoshi

“…In this paper, we investigate a time‐dependent family of plane closed Jordan curves evolving in the normal direction with a velocity that is assumed to be a…”
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Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs by Sevcovic, Daniel, Itanská, Magdaléna

“…In this paper we analyze a nonlinear Black–Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear…”
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Evolution of plane curves with a curvature adjusted tangential velocity by Ševčovič, Daniel, Yazaki, Shigetoshi

“…We study evolution of a closed embedded plane curve with the normal velocity depending on the curvature, the orientation and the position of the curve. We…”
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On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models by Cruz, José M. T. S., Ševčovič, Daniel

“…In this paper we focus on qualitative properties of solutions to a nonlocal nonlinear partial integro-differential equation (PIDE). Using the theory of…”
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Risks Due to Variability of K-Day Extreme Precipitation Totals and Other K-Day Extreme Events by Brunovský, Pavol, Lapin, Milan, Melichercík, Igor, Somorcík, Ján, Sevcovic, Daniel

“…Risks Due to Variability of K-Day Extreme Precipitation Totals and Other K-Day Extreme Events Several alternative definitions of extreme events are proposed…”
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Option Pricing in Illiquid Markets with Jumps by Cruz, José M. T. S., Ševčovič, Daniel

“…The classical linear Black-Scholes model for pricing derivative securities is a popular model in the financial industry. It relies on several restrictive…”
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Editorial by Ehrhardt, Matthias, Grossinho, Maria do Rosário, Lai, Choi-Hong, Oosterlee, Kees, Sevcovic, Daniel, Vázquez, Carlos

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Editorial by Ehrhardt, Matthias, Maria do Rosário Grossinho, Choi-Hong, Lai, Oosterlee, Kees, Sevcovic, Daniel, Vázquez, Carlos

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A Simple, Fast and Stabilized Flowing Finite Volume Method for Solving General Curve Evolution Equations by Karol Mikula, Karol Mikula, Daniel Ševčovič, Daniel Ševčovič, Martin Balažovjech, Martin Balažovjech

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