Marek Kolman

University of Economics

Lecturer

nam. W.Churchilla 4

Prague 3, 130 67

Czech Republic

SCHOLARLY PAPERS

9

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Top 40,178

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1,060

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0

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Scholarly Papers (9)

1.

One-Factor Copula-Based Model for Credit Portfolio

Number of pages: 40 Posted: 03 Sep 2012 Last Revised: 07 Oct 2014
Marek Kolman
University of Economics
Downloads 353 (84,103)

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credit risk, portfolio, copula, VaR, capital, correlation

2.

Risky Coupon Bond Option Pricing: Intensity Approach

Number of pages: 15 Posted: 03 Sep 2012 Last Revised: 25 Nov 2012
Marek Kolman
University of Economics
Downloads 200 (151,724)

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Jarrow Turnbull, coupon bond option, risky bond option, Jamshidian

3.

Black-Scholes Model Under Arithmetic Brownian Motion

Number of pages: 15 Posted: 11 Oct 2013 Last Revised: 07 Oct 2014
Marek Kolman
University of Economics
Downloads 143 (203,206)
Citation 2

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Black-Scholes, Arithmetic Brownian motion

4.

Option Pricing Using Fourier Transform with a Focus on the Cosine Expansion

Number of pages: 23 Posted: 17 Dec 2015
Marek Kolman
University of Economics
Downloads 107 (253,078)

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Fourier, transform, expansion, option, pricing

5.

Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison

Number of pages: 19 Posted: 23 Oct 2013
Samuel Privara, Marek Kolman and Jiri Witzany
University of Economics, Prague, University of Economics and University of Economics in Prague
Downloads 84 (296,311)

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recovery rates, loss given default, retail lending, survival analysis

6.

A Defaultable Binomial Tree

Number of pages: 22 Posted: 20 Nov 2013
Marek Kolman
University of Economics
Downloads 81 (302,922)

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Default, Binomial Tree, Barrier Option, Bond Option

7.

Comparison of Copulas for CDO valuation

Number of pages: 29 Posted: 15 Mar 2017
Marek Kolman
University of Economics
Downloads 62 (350,923)

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synthetic CDO, double t-copula, gaussian copula, NIG copula

8.

Galerkin FEM for Black-Scholes PDE

Number of pages: 16 Posted: 08 Dec 2017 Last Revised: 23 Jun 2018
Marek Kolman
University of Economics
Downloads 30 (467,535)

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PDE, Finite Difference, Finite Element, Black-Scholes

9.

A One-Factor Copula-Based Model for Credit Portfolios

Journal of Risk, Vol. 17, No. 2, 2014
Number of pages: 40 Posted: 09 Jun 2016
Marek Kolman
University of Economics
Downloads 0 (669,923)
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portfolio credit risk, one-factor copula-based model, credit portfolios