Aleš Černý

Cass Business School, City, University of London

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • Cass Business School, City, University of London

SCHOLARLY PAPERS

30

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Top 2,363

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14,243

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Top 4,457

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119

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Scholarly Papers (30)

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1.

Introduction to Fast Fourier Transform in Finance

Cass Business School Research Paper
Number of pages: 29 Posted: 29 Jun 2004
Aleš Černý
Cass Business School, City, University of London
Downloads 3,997 (2,166)

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Fast Fourier transform, option pricing, binomial lattice, chirp-z transform

2.

Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets

AFA 2001 New Orleans Meetings, Cass Business School Research Paper
Number of pages: 45 Posted: 05 Oct 2000
Aleš Černý
Cass Business School, City, University of London
Downloads 1,004 (21,058)

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3.

Dynamic Programming and Mean-Variance Hedging in Discrete Time

Cass Business School Research Paper
Number of pages: 27 Posted: 05 Jul 2004
Aleš Černý
Cass Business School, City, University of London
Downloads 925 (23,707)

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Mean-variance hedging, discrete time, dynamic programming

4.

Fast Fourier Transform and Option Pricing

Cass Business School Research Paper
Number of pages: 7 Posted: 28 Feb 2008
Aleš Černý
Cass Business School, City, University of London
Downloads 891 (25,111)

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FFT, Fourier transform, option pricing, Levy process

5.

Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Cass Business School Research Paper
Number of pages: 24 Posted: 20 Mar 2008
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 837 (27,407)

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mean-variance hedging, stochastic volatility, opportunity-neutral measure, leverage effect, Heston's model, affine process, option pricing, optimal investment

6.

On the Structure of General Mean-Variance Hedging Strategies

Cass Business School Research Paper
Number of pages: 51 Posted: 03 May 2005
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 729 (33,123)

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mean-variance hedging, opportunity process, opportunity-neutral measure, incomplete market, Sharpe ratio, semimartingales

7.

Optimal Hedging with Higher Moments

Cass Business School Research Paper
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Apr 2010
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Reading - ICMA Centre, Cass Business School, City, University of London and Audencia Nantes School of Management
Downloads 659 (37,972)

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utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis

8.

The Theory of Good-Deal Pricing in Financial Markets

FORC Preprint, No. 98/90, Cass Business School Research Paper
Number of pages: 34 Posted: 02 Jul 2004
Aleš Černý and Stewart D. Hodges
Cass Business School, City, University of London and University of Warwick - Financial Options Research Centre (FORC)
Downloads 597 (43,305)

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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

9.

Hedging by Sequential Regressions Revisited

Cass Business School Research Paper
Number of pages: 27 Posted: 20 Mar 2008
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 525 (51,089)

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option, hedging, CAPM, sequential regression, opportunity-neutral measure

10.

Performance of Dynamic Hedging Strategies: The Tale of Two Trading Desks

Cass Business School Research Paper
Number of pages: 27 Posted: 26 Jan 2006
Aleš Černý
Cass Business School, City, University of London
Downloads 512 (52,688)

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Incremental Sharpe ratio, risk-adjusted returns, dynamic performance measurement, investment-hedging separation, option pricing, mean-variance hedging, Levy process

11.

Optimal Continuous-Time Hedging with Leptokurtic Returns

Downloads 461 ( 60,141)

Optimal Continuous-Time Hedging with Leptokurtic Returns

Tanaka Business School Discussion Paper No. 04/33, Cass Business School Research Paper
Number of pages: 34 Posted: 04 May 2005
Aleš Černý
Cass Business School, City, University of London
Downloads 447 (61,825)

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Hedging error, Fourier transform, mean-variance hedging, exponential Levy process, incomplete market, option pricing

Optimal Continuous-Time Hedging with Leptokurtic Returns

Mathematical Finance, Vol. 17, No. 2, pp. 175-203, April 2007
Number of pages: 29 Posted: 19 Mar 2007
Aleš Černý
Cass Business School, City, University of London
Downloads 14 (568,010)
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12.

The Impact of Changing Demographics and Pensions on the Demand for Housing and Financial Assets

Downloads 435 ( 64,525)

The Impact of Changing Demographics and Pensions on the Demand for Housing and Financial Assets

Cass Business School Research Paper
Number of pages: 29 Posted: 03 Jul 2005 Last Revised: 27 Mar 2009
Aleš Černý, David Miles and Lubomir Schmidt
Cass Business School, City, University of London, Imperial College Business School and UBS Investment Bank
Downloads 401 (70,535)

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pension reform, portfolio allocation, housing, OLG model

The Impact of Changing Demographics and Pensions on the Demand for Housing and Financial Assets

CEPR Discussion Paper No. 5143
Number of pages: 45 Posted: 17 Aug 2005
Aleš Černý, David Miles and Lubomir Schmidt
Cass Business School, City, University of London, Imperial College Business School and UBS Investment Bank
Downloads 34 (451,337)
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Pension reform, portfolio allocation, housing, OLG model

13.

An Improved Convolution Algorithm for Discretely Sampled Asian Options

Quantitative Finance, 2011, 11(3), 381-389
Number of pages: 19 Posted: 05 Jan 2009 Last Revised: 04 Nov 2013
Aleš Černý and Ioannis Kyriakou
Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 422 (66,934)

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Asian options, Discrete sampling, Convolution, FFT

14.

Risk, Return and Portfolio Allocation Under Alternative Pension Arrangements with Imperfect Financial Markets

CESifo Working Paper Series No. 441, Cass Business School Research Paper
Number of pages: 47 Posted: 14 May 2001
David Miles and Aleš Černý
Imperial College Business School and Cass Business School, City, University of London
Downloads 398 (71,824)

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Pensions, Portfolio Allocation, Demographics, Annuities, Risk-Sharing

15.

The Risk of Optimal, Continuously Rebalanced Hedging Strategies and it's Efficient Evaluation Via Fourier Transform

Cass Business School Research Paper
Number of pages: 41 Posted: 29 Jun 2004
Aleš Černý
Cass Business School, City, University of London
Downloads 368 (78,696)

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Hedging error, Fourier transform, mean-variance hedging, optimal hedging, exponential Levy process, excess kurtosis, incomplete market

16.

Minimal Martingale Measure, CAPM, and Representative Agent Pricing in Incomplete Markets

Cass Business School Research Paper
Number of pages: 18 Posted: 21 Nov 2005
Aleš Černý
Cass Business School, City, University of London
Downloads 332 (88,575)

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minimalmartingale measure, optimal portfolio, hedging, CAPM

17.

A Counterexample Concerning the Variance-Optimal Martingale Measure

Downloads 316 ( 93,533)

A Counterexample Concerning the Variance-Optimal Martingale Measure

Cass Business School Research Paper
Number of pages: 13 Posted: 03 Jul 2006
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 307 (96,016)

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variance-optimal martingale measure, duality, counterexample

A Counterexample Concerning the Variance-Optimal Martingale Measure

Mathematical Finance, Vol. 18, Issue 2, pp. 305-316, April 2008
Number of pages: 12 Posted: 12 Mar 2008
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 9 (601,098)
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18.

Market Value Margin via Mean-Variance Hedging

The final version of this article has appeared as: Tsanakas A., Wüthrich, M., Cerny, A. (2013), 'Market value margin via mean-variance hedging', ASTIN Bulletin, 43(3), p.301-322.
Number of pages: 21 Posted: 20 Sep 2012 Last Revised: 03 Jan 2014
Andreas Tsanakas, Mario V. Wuthrich and Aleš Černý
City University London - Cass Business School, RiskLab, ETH Zurich and Cass Business School, City, University of London
Downloads 212 (141,197)

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Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II

19.

On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Cass Business School Research Paper Series
Number of pages: 11 Posted: 11 Oct 2008 Last Revised: 15 Aug 2012
Aleš Černý, Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini
Cass Business School, City, University of London, Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and University of Minnesota - Twin Cities - Department of Economics
Downloads 168 (174,522)

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optimal portfolio, truncated quadratic utility, monotone mean-variance preferences, divergence preferences, HARA utility

20.

Admissible Strategies in Semimartingale Portfolio Selection

Cass Business School Research
Number of pages: 30 Posted: 05 Apr 2010 Last Revised: 14 Dec 2010
Sara Biagini and Aleš Černý
University of Pisa and Cass Business School, City, University of London
Downloads 98 (264,008)

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utility maximization, non-locally bounded semimartingale, incomplete market, sigma-localization, sigma-martingale measure, Orlicz space, convex duality

21.

Alternative Pension Reform Strategies for Japan

Cass Business School Research Paper
Number of pages: 65 Posted: 21 Nov 2005
David Miles and Aleš Černý
Imperial College Business School and Cass Business School, City, University of London
Downloads 89 (280,819)

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Aging population, pension reform, Japan

22.

Currency Crises: Strategic Game between Central Bank and Spot Speculators

Imperial College Management School Discussion Paper No. SWP9814/F
Number of pages: 23 Posted: 03 Jul 2009
Aleš Černý
Cass Business School, City, University of London
Downloads 62 (344,664)

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speculative attack, fixed exchange rate, optimal regime switch, reserves, spot speculation, constructive ambiguity

23.

A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs'

Number of pages: 2 Posted: 19 Apr 2012 Last Revised: 26 Apr 2012
Aleš Černý and Juraj Spilda
Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 59 (353,214)

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Discrete time hedging, rate of convergence, tracking error

24.

Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

Number of pages: 31 Posted: 06 Apr 2017 Last Revised: 28 Nov 2017
Pavol Brunovsky, Aleš Černý and Ján Komadel
Comenius University - Faculty of Mathematics, Physics and Informatics, Cass Business School, City, University of London and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 36 (432,718)

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optimal liquidation, price impact, square-root law, singular boundary value problem, stochastic optimal control

25.

Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

Cass Business School Research Paper
Number of pages: 19 Posted: 15 Mar 2016
Aleš Černý
Cass Business School, City, University of London
Downloads 31 (454,115)

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barrier options, quadratic hedging, Lévy model, asymptotics, calibration

26.

Risk Return and Portfolio Allocation Under Alternative Pension Systems with Imperfect Financial Markets

CEPR Discussion Paper No. 2779
Number of pages: 52 Posted: 27 Apr 2001
David Miles and Aleš Černý
Imperial College Business School and Cass Business School, City, University of London
Downloads 24 (489,546)
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Annuities, demographics, pensions, portfolio allocation, risk-sharing

27.

Convex Duality and Orlicz Spaces in Expected Utility Maximization

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 30 Nov 2017 Last Revised: 09 Mar 2019
Sara Biagini and Aleš Černý
University of Pisa and Cass Business School, City, University of London
Downloads 20 (511,938)

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utility maximization, Orlicz space, Fenchel duality, supermartingale deflator, effective market completion

28.

Simple Explicit Formula for Near-Optimal Stochastic Lifestyling

Number of pages: 21 Posted: 08 Jan 2018
Aleš Černý and Igor Melichercik
Cass Business School, City, University of London and Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics
Downloads 14 (546,665)

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optimal investment, stochastic lifestyling, Samuelson paradigm, power utility

29.

Risk, Return and Portfolio Allocation Under Alternative Pension Systems with Incomplete and Imperfect Financial Markets

Economic Journal, Vol. 116, No. 511, pp. 529-557, April 2006
Number of pages: 29 Posted: 08 May 2006
David Miles and Aleš Černý
Imperial College Business School and Cass Business School, City, University of London
Downloads 12 (558,467)
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30.

Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

Number of pages: 9 Posted: 09 Apr 2019 Last Revised: 11 Jun 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 10 (570,589)

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monotone mean–variance, monotone Sharpe ratio, free cash-flow stream