In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval.The...

In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

In this paper we generalize and analyze the model for pricing American-style Asian options due to Hansen and Jorgensen by including a continuous dividend rate q and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise...

Since January 2005, pensions in Slovakia are operated by a three-pillar system proposed by the World Bank. The paper discusses and mathematically captures principles of the pension reform in Slovakia. We also discuss the impact of the reform on the deficit of the pension system. We mainly focus...

We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross...

The aim of this paper is to assess the expected socio-economic impacts of various scenarios of pandemic influenza mitigation on the economy and mortality for Slovakia. The paper relies on data accessible in the literature as well as on data supplied by pharmaceutical and health insurance...

We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We derive the order of accuracy of the analytical...

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an...

The purpose of this paper is to study the generalized Fong - Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it follows a non-negative process with...