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Aleš Černý
Aleš Černý
Professor of Finance, Bayes Business School, City, University of London
Dirección de correo verificada de city.ac.uk
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Citado por
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Mathematical techniques in finance: Tools for incomplete markets
A Černý
Princeton University Press, 2009
1752009
On the structure of general mean-variance hedging strategies
A Černý, J Kallsen
Annals of Probability 35 (4), 1479-1531, 2007
1552007
Generalised Sharpe ratios and asset pricing in incomplete markets
A Černý
Review of Finance 7 (2), 191-233, 2003
1242003
The theory of good-deal pricing in incomplete markets
A Černý, S Hodges
Mathematical Finance–Bachelier Congress 2000, 175-202, 2002
109*2002
An improved convolution algorithm for discretely sampled Asian options
A Černý, I Kyriakou
Quantitative Finance 11 (3), 381-389, 2011
722011
Introduction to fast Fourier transform in Finance
A Černý
Journal of Derivatives 12 (1), 73-88, 2004
682004
Dynamic programming and mean‐variance hedging in discrete time
A Černý
Applied Mathematical Finance 11 (1), 1-25, 2004
622004
Hedging by sequential regressions revisited
A Černý, J Kallsen
Mathematical Finance 19 (4), 591-617, 2009
612009
Mean–variance hedging and optimal investment in Heston's model with correlation
A Černý, J Kallsen
Mathematical Finance 18 (3), 473-492, 2008
572008
Optimal hedging with higher moments
C Brooks, A Černý, J Miffre
Journal of Futures Markets 32 (10), 909-944, 2012
53*2012
Risk, return, and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets
D Miles, A Černý
Economic Journal 116 (511), 529-557, 2006
50*2006
The impact of changing demographics and pensions on the demand for housing and financial assets
A Černý, DK Miles, Ľ Schmidt
Journal of Pension Economics and Finance 9 (3), 393-420, 2010
282010
Optimal continuous‐time hedging with leptokurtic returns
A Černý
Mathematical Finance 17 (2), 175-203, 2007
262007
Admissible strategies in semimartingale portfolio selection
S Biagini, A Černý
SIAM Journal on Control and Optimization 49 (1), 42-72, 2011
222011
Market value margin via mean-variance hedging
A Tsanakas, M Wuthrich, A Černý
ASTIN Bulletin 43 (3), 301-322, 2013
202013
A counterexample concerning the variance‐optimal martingale measure
A Černý, J Kallsen
Mathematical Finance 18 (2), 305-316, 2008
162008
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
A Černý, F Maccheroni, M Marinacci, A Rustichini
Journal of Mathematical Economics 48 (6), 386-395, 2012
152012
Semimartingale theory of monotone mean-variance portfolio allocation
A Černý
Mathematical Finance 30 (3), 1168-1178, 2020
132020
Characterization of the oblique projector U (VU)† V with application to constrained least squares
A Černý
Linear Algebra and Its Applications 431 (9), 1564-1570, 2009
132009
Alternative pension reform strategies for Japan
A Černý, DK Miles
The Economics of Social Security in Japan, ESRI Studies on Ageing, 75-135, 2004
13*2004
El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.
Artículos 1–20