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Cerny, Ales's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
11,711 |
Total
Citations
121 |
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1.
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Cerny, Ales
Cass Business School
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2,773
(1,572)
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7
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Fast Fourier transform, option pricing, binomial lattice, chirp-z transform
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2.
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Cerny, Ales
Cass Business School
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941
(10,202)
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27
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3.
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Cerny, Ales
Cass Business School
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842
(12,190)
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6
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Mean-variance hedging, discrete time, dynamic programming
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4.
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Cerny, Ales
Cass Business School
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778
(13,733)
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FFT, Fourier transform, option pricing, Levy process
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5.
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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758
(14,282)
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5
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mean-variance hedging, stochastic volatility, opportunity-neutral measure, leverage effect, Heston's model, affine process, option pricing, optimal investment
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6.
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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704
(15,853)
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13
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mean-variance hedging, opportunity process, opportunity-neutral measure, incomplete market, Sharpe ratio, semimartingales
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7.
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Brooks, Chris
University of Reading - ICMA Centre Cerny, Ales
Cass Business School Miffre, Joelle
EDHEC Business School
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20 Mar 08
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Last Revised:
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22 Apr 10
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572
(21,329)
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1
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utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis
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8.
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Cerny, Ales
Cass Business School Hodges, Stewart D.
University of Warwick - Financial Options Research Centre (FORC)
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537
(23,189)
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18
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arbitrage, good deal, virtually desirable claim, state price functional, incomplete market, reward for risk measure, Generalized Sharpe Ratio, admissible price region, equivalent martingale measure
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9.
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Cerny, Ales
Cass Business School
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463
(28,242)
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Incremental Sharpe ratio, risk-adjusted returns, dynamic performance measurement, investment-hedging separation, option pricing, mean-variance hedging, Levy process
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10.
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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459
(28,583)
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2
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option, hedging, CAPM, sequential regression, opportunity-neutral measure
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11.
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Optimal Continuous-Time Hedging with Leptokurtic Returns
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Cerny, Ales
Cass Business School
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Posted:
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04 May 05
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Last Revised:
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02 Oct 07
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424
(31,655)
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6
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Cerny, Ales
Cass Business School
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13
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6
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Cerny, Ales
Cass Business School
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411
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5
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Hedging error, Fourier transform, mean-variance hedging, exponential Levy process, incomplete market, option pricing
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12.
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Miles, David
The Bank of England Cerny, Ales
Cass Business School
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369
(37,692)
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7
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Pensions, Portfolio Allocation, Demographics, Annuities, Risk-Sharing
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13.
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Cerny, Ales
Cass Business School
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345
(40,899)
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2
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Hedging error, Fourier transform, mean-variance hedging, optimal hedging, exponential Levy process, excess kurtosis, incomplete market
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14.
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The Impact of Changing Demographics and Pensions on the Demand for Housing and Financial Assets
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Cerny, Ales
Cass Business School Miles, David
The Bank of England Schmidt, Lubomir
UBS Investment Bank
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Posted:
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03 Jul 05
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Last Revised:
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27 Mar 09
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341
(41,484)
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4
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Cerny, Ales
Cass Business School Miles, David
The Bank of England Schmidt, Lubomir
UBS Investment Bank
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33
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4
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Pension reform, portfolio allocation, housing, OLG model
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Cerny, Ales
Cass Business School Miles, David
The Bank of England Schmidt, Lubomir
UBS Investment Bank
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03 Jul 05
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Last Revised:
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27 Mar 09
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308
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4
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pension reform, portfolio allocation, housing, OLG model
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15.
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Cerny, Ales
Cass Business School Kyriakou, Ioannis
City University London - Sir John Cass Business School
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05 Jan 09
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Last Revised:
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30 Oct 11
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334
(42,546)
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3
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Asian options, discrete sampling, convolution, FFT
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16.
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A Counterexample Concerning the Variance-Optimal Martingale Measure
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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Posted:
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03 Jul 06
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Last Revised:
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04 Apr 08
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304
(47,461)
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2
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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9
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2
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Cerny, Ales
Cass Business School Kallsen, Jan
Munich University of Technology
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295
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2
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variance-optimal martingale measure, duality, counterexample
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17.
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Cerny, Ales
Cass Business School
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287
(50,800)
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2
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minimalmartingale measure, optimal portfolio, hedging, CAPM
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18.
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Cerny, Ales
Cass Business School Maccheroni, Fabio
Bocconi University - Department of Decision Sciences Marinacci, Massimo
University of Turin - Department of Statistics and Applied Mathematics Rustichini, Aldo
University of Minnesota - Twin Cities - Department of Economics
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11 Oct 08
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Last Revised:
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15 Aug 12
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121
(117,422)
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1
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optimal portfolio, truncated quadratic utility, monotone mean-variance preferences, divergence preferences, HARA utility
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19.
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Biagini, Sara
University of Pisa Cerny, Ales
Cass Business School
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05 Apr 10
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Last Revised:
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14 Dec 10
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92
(143,195)
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utility maximization, non-locally bounded semimartingale, incomplete market, sigma-localization, sigma-martingale measure, Orlicz space, convex duality
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20.
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Tsanakas, Andreas
City University London - Cass Business School Wuthrich, Mario V.
ETH Zurich, RiskLab, Department of Mathematics Cerny, Ales
Cass Business School
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| Posted: |
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20 Sep 12
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Last Revised:
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01 Apr 13
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85
(151,869)
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Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II
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21.
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Miles, David
The Bank of England Cerny, Ales
Cass Business School
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74
(164,147)
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1
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Aging population, pension reform, Japan
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22.
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Cerny, Ales
Cass Business School
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39
(222,154)
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speculative attack, fixed exchange rate, optimal regime switch, reserves, spot speculation, constructive ambiguity
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23.
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Cerny, Ales
Cass Business School Spilda, Juraj
City University London - Sir John Cass Business School
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| Posted: |
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19 Apr 12
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Last Revised:
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26 Apr 12
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33
(235,824)
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Discrete time hedging, rate of convergence, tracking error
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24.
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Miles, David
The Bank of England Cerny, Ales
Cass Business School
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24
(261,769)
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7
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Annuities, demographics, pensions, portfolio allocation, risk-sharing
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25.
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Miles, David
The Bank of England Cerny, Ales
Cass Business School
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12
(303,999)
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7
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