Černý, Aleš
- Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
2021/10/18 by Aleš Černý, Černý, Aleš, Christoph Czichowsky +3 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Hedging in Lévy Models and the Time Step Equivalent of Jumps
2013/09/30 by Černý, Aleš, Denkl, Stephan, Kallsen, Jan · 1 citation
#60G51 #90C59 #91G20 #Computational Finance (q-fin.CP) #FOS: Economics and business #Risk Management (q-fin.RM)