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

31

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18

CROSSREF CITATIONS

53

Scholarly Papers (31)

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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 4,174 (2,175)
Citation 3

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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, Review of Finance, 2003, 7(2), 191-233
Number of pages: 45 Posted: 05 Oct 2000 Last Revised: 30 Sep 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 1,007 (22,294)

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3.

Dynamic Programming and Mean-Variance Hedging in Discrete Time

Applied Mathematical Finance, 2004, 11(1), 1-25
Number of pages: 27 Posted: 05 Jul 2004 Last Revised: 30 Sep 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 929 (25,095)
Citation 4

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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 895 (26,471)

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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, Mathematical Finance, 2008, 18(3), 473-492
Number of pages: 24 Posted: 20 Mar 2008 Last Revised: 30 Sep 2019
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 854 (28,305)
Citation 6

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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

The Annals of Probability, 2007, 35(4), 1479-1531
Number of pages: 51 Posted: 03 May 2005 Last Revised: 29 Sep 2019
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 731 (35,076)
Citation 6

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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, Journal of Futures Markets, 2012, 32 (10), 909-944
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 30 Sep 2019
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 669 (39,524)
Citation 4

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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, Geman H., Madan D., Pliska S., Vorst T.(eds.): Mathematical Finance – Bachelier Congress 2000, 175-202, Springer
Number of pages: 34 Posted: 02 Jul 2004 Last Revised: 30 Sep 2019
Aleš Černý and Stewart D. Hodges
Cass Business School, City, University of London and University of Warwick - Financial Options Research Centre (FORC)
Downloads 598 (45,960)

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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, Mathematical Finance, 2009, 19(4), 591-617
Number of pages: 27 Posted: 20 Mar 2008 Last Revised: 30 Sep 2019
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 530 (53,606)
Citation 2

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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 517 (55,318)

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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 463 ( 63,466)
Citation 3

Optimal Continuous-Time Hedging with Leptokurtic Returns

Tanaka Business School Discussion Paper No. 04/33, Mathematical Finance, 2007, 17(2), 175-203
Number of pages: 34 Posted: 04 May 2005 Last Revised: 30 Sep 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 449 (65,197)
Citation 1

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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 (600,438)
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12.

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

Downloads 445 ( 66,537)
Citation 6

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

Cass Business School Research Paper, Journal of Pension Economics and Finance, 2010, 9(3), 393-420
Number of pages: 29 Posted: 03 Jul 2005 Last Revised: 30 Sep 2019
Aleš Černý, David Miles and Lubomir Schmidt
Cass Business School, City, University of London, Imperial College Business School and UBS Investment Bank
Downloads 411 (72,682)
Citation 5

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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 (476,568)
Citation 1
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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 424 (70,595)
Citation 2

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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 400 (75,702)

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

15.

The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation Via Fourier Transform

Imperial College Management School Discussion Paper
Number of pages: 41 Posted: 29 Jun 2004 Last Revised: 30 Sep 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 372 (82,335)
Citation 1

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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 337 (92,164)
Citation 1

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minimalmartingale measure, optimal portfolio, hedging, CAPM

17.

A Counterexample Concerning the Variance-Optimal Martingale Measure

Downloads 319 ( 97,921)
Citation 1

A Counterexample Concerning the Variance-Optimal Martingale Measure

Cass Business School Research Paper, Mathematical Finance, 2008, 18(2), 305-316
Number of pages: 13 Posted: 03 Jul 2006 Last Revised: 30 Sep 2019
Aleš Černý and Jan Kallsen
Cass Business School, City, University of London and Munich University of Technology
Downloads 310 (100,485)
Citation 1

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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 (636,476)
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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 (149,162)
Citation 3

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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

Appeared in Journal of Mathematical Economics 48(6), 386-395, 2012
Number of pages: 11 Posted: 11 Oct 2008 Last Revised: 29 Sep 2019
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 173 (179,582)

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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, SIAM Journal on Control and Optimization, 2011, 49(1), 42-72
Number of pages: 30 Posted: 05 Apr 2010 Last Revised: 30 Sep 2019
Sara Biagini and Aleš Černý
University of Pisa and Cass Business School, City, University of London
Downloads 99 (276,680)

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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 90 (294,108)

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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 63 (360,646)
Citation 1

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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 60 (369,573)

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Discrete time hedging, rate of convergence, tracking error

24.

Finance Without Brownian Motions: An Introduction to Simplified Stochastic Calculus

Cass Business School Research Paper, 2019
Number of pages: 31 Posted: 23 Dec 2019 Last Revised: 08 Jan 2020
Aleš Černý and Johannes Ruf
Cass Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 39 (444,038)

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Émery formula, semimartingale representation, simplified calculus, multiplicative compensator, Girsanov's theorem

25.

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

European Journal of Operational Research, 2019
Number of pages: 31 Posted: 06 Apr 2017 Last Revised: 29 Sep 2019
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 (456,576)

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

26.

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

J. Kallsen and A. Papapantoleon (eds.), Advanced Modeling in Mathematical Finance, 257-275, Springer, 2016
Number of pages: 19 Posted: 15 Mar 2016 Last Revised: 29 Sep 2019
Aleš Černý
Cass Business School, City, University of London
Downloads 31 (479,383)

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

27.

Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

Mathematical Finance, Forthcoming
Number of pages: 9 Posted: 09 Apr 2019 Last Revised: 26 Jan 2020
Aleš Černý
Cass Business School, City, University of London
Downloads 29 (489,278)

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

28.

Simple Explicit Formula for Near-Optimal Stochastic Lifestyling

Cass Business School Research Paper; final version available in European Journal of Operational Research (2020, doi:10.1016/j.ejor.2019.12.032)
Number of pages: 24 Posted: 08 Jan 2018 Last Revised: 02 Jan 2020
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 24 (516,875)

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optimal investment, stochastic lifestyling, Samuelson paradigm, power utility, stochastic optimal control

29.

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 (516,875)
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Annuities, demographics, pensions, portfolio allocation, risk-sharing

30.

Convex Duality and Orlicz Spaces in Expected Utility Maximization

Mathematical Finance 30(1), 85-127, 2020
Number of pages: 46 Posted: 30 Nov 2017 Last Revised: 06 Jan 2020
Sara Biagini and Aleš Černý
University of Pisa and Cass Business School, City, University of London
Downloads 23 (522,684)
Citation 1

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

31.

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 (590,804)
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