Jan Vorisek

Academy of Sciences of the Czech Republic

Narodni 3, 111 42

Praha 1, 117 20

Czech Republic

SCHOLARLY PAPERS

2

DOWNLOADS

62

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Multi-Period Merton-Vasicek-Pykhtin Model

Number of pages: 52 Posted: 14 Mar 2018 Last Revised: 16 Jun 2018
Martin Smid, Jaroslav Dufek and Jan Vorisek
Institute of Information Theory and Automation, Prague, Institute of Information Theory and Automation, Prague and Academy of Sciences of the Czech Republic
Downloads 49 (418,167)

Abstract:

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Credit Risk, Structural Factor Models, Loan Portfolio Management

2.

Volatility Indices and Implied Uncertainty Measures of European Government Bond Futures

European Stability Mechanism Working Paper No. 43
Number of pages: 48 Posted: 19 May 2020
Jaroslav Baran and Jan Vorisek
European Stability Mechanism and Academy of Sciences of the Czech Republic
Downloads 13 (629,136)

Abstract:

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bond futures, market expectations, options, probability density function, SABR, VIX, volatility index