Zobrazeno 1 - 10
of 62
pro vyhledávání: '"Aleš, Černý"'
Autor:
Aleš Černý
Publikováno v:
Studia Historica Brunensia, Vol 68, Iss 2 (2021)
The presented study is trying to analyze the development of the image of the president's birthday celebrations in 1919–1953. The day was one of the most important rituals during the common year. It was also one of the key factors in forming of the
Externí odkaz:
https://doaj.org/article/871484e2ecec473ebdac2e8a305b9e0b
Autor:
Ales Cerný
Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised se
Publikováno v:
Mathematics of Operations Research.
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfc0dd3650ca7051b062db3e5035ac33
https://doi.org/10.1287/moor.2023.1374
https://doi.org/10.1287/moor.2023.1374
Autor:
Johannes Ruf, Aleš Černý
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment of real-va
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ab0a10067698e64b884528b8cc033b53
http://eprints.lse.ac.uk/112929/
http://eprints.lse.ac.uk/112929/
Autor:
Aleš Černý, Christoph Czichowsky
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d9d8d5a56ae092104136e86934248630
https://doi.org/10.2139/ssrn.4260768
https://doi.org/10.2139/ssrn.4260768
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92ede5bdabb2c3ab95cd2e3e4c6bb3fa
https://doi.org/10.2139/ssrn.4241075
https://doi.org/10.2139/ssrn.4241075
Autor:
Johannes Ruf, Aleš Černý
Publikováno v:
Bernoulli. 27
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev, 2003, II.1.5), the new integral is closed under stochastic integratio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67acd586255af24c7cd720768d81cf59
https://doi.org/10.3150/21-bej1325
https://doi.org/10.3150/21-bej1325
Autor:
Aleš Černý
It is shown that the ratio between the mean and the $L^2$-norm leads to a particularly parsimonious description of the mean-variance efficient frontier and the dual pricing kernel restrictions known as the Hansen-Jagannathan (HJ) bounds. Because this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b970de849815172cc7c9c7f4f976a4d
http://arxiv.org/abs/2007.15980
http://arxiv.org/abs/2007.15980
Autor:
Aleš Černý, Johannes Ruf
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-valued semimartingale with independent increments becomes a true martin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a424cefa050f2694e53aeffb5890b172
http://arxiv.org/abs/2006.12765
http://arxiv.org/abs/2006.12765