Aleš Černý

Bayes Business School, City, University of London

Professor

Northampton Square

London, EC1V 0HB

United Kingdom

  • Bayes Business School, City, University of London

SCHOLARLY PAPERS

37

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21,531

SSRN CITATIONS
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Top 14,401

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60

CROSSREF CITATIONS

46

Ideas:
“  Simpler stochastic calculus for jump processes is proposed in 3752072 (European J. Oper. Res., 2021); for the underlying theory see 3633638 (Electronic J. Probab., 2022). Further applications of simplified stochastic calculus in 3633622 (Stoch. Process. Appl. 2023).  ”

  • Bayes Business School, City, University of London

Scholarly Papers (37)

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1.

Introduction to Fast Fourier Transform in Finance

Research paper
Number of pages: 21 Posted: 29 Jun 2004 Last Revised: 28 Oct 2021
Aleš Černý
Bayes Business School, City, University of London
Downloads 7,404 (1,836)
Citation 4

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

2.

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: 23 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 1,124 (37,914)
Citation 6

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Mean-variance hedging, discrete time, dynamic programming

3.

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: 22 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 1,105 (38,883)
Citation 6

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4.

Simplified Stochastic Calculus With Applications in Economics and Finance

European Journal of Operational Research, 2021, 293(2), 547-560
Number of pages: 30 Posted: 23 Dec 2019 Last Revised: 19 Apr 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics
Downloads 1,093 (39,528)

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drift, Émery formula, Girsanov's theorem, simplified stochastic calculus

5.

Fast Fourier Transform and Option Pricing

Preprint
Number of pages: 7 Posted: 28 Feb 2008 Last Revised: 22 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 997 (45,070)

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FFT, Fourier transform, option pricing, Levy process

6.

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

Mathematical Finance, 2008, 18(3), 473-492
Number of pages: 19 Posted: 20 Mar 2008 Last Revised: 22 Sep 2022
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 971 (46,737)
Citation 8

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

7.

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: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 779 (63,176)
Citation 9

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

8.

Optimal Hedging with Higher Moments

Journal of Futures Markets, 2012, 32 (10), 909-944
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Reading - ICMA Centre, Bayes Business School, City, University of London and Audencia Business School
Downloads 749 (66,465)
Citation 5

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

9.

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: 22 Jun 2020
Aleš Černý and Stewart D. Hodges
Bayes Business School, City, University of London and University of Warwick - Financial Options Research Centre (FORC)
Downloads 682 (75,024)
Citation 1

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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

10.

Hedging by Sequential Regressions Revisited

Mathematical Finance, 2009, 19(4), 591-617
Number of pages: 27 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 602 (87,732)
Citation 2

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

11.

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

Imperial College Business School Working Paper
Number of pages: 27 Posted: 26 Jan 2006 Last Revised: 22 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 571 (93,860)

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

12.

Optimal Continuous-Time Hedging with Leptokurtic Returns

Imperial College Business School Discussion Paper No. 04/33, Mathematical Finance, 2007, 17(2), 175-203
Number of pages: 34 Posted: 04 May 2005 Last Revised: 22 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 544 (99,774)
Citation 1

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

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: 22 Jun 2020
Aleš Černý and Ioannis Kyriakou
Bayes Business School, City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 515 (106,732)
Citation 5

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Asian options, Discrete sampling, Convolution, FFT

14.

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

Downloads 502 (110,155)
Citation 6

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

Journal of Pension Economics and Finance, 2010, 9(3), 393-420
Number of pages: 29 Posted: 03 Jul 2005 Last Revised: 22 Jun 2020
Aleš Černý, David Miles and Lubomir Schmidt
Bayes Business School, City, University of London, Imperial College Business School and UBS Investment Bank
Downloads 468 (118,374)
Citation 6

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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
Bayes Business School, City, University of London, Imperial College Business School and UBS Investment Bank
Downloads 34 (879,356)
Citation 1
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Pension reform, portfolio allocation, housing, OLG model

15.

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

CESifo Working Paper Series No. 441
Number of pages: 47 Posted: 14 May 2001
David Miles and Aleš Černý
Imperial College Business School and Bayes Business School, City, University of London
Downloads 432 (131,540)

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

16.

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: 23 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 426 (133,597)
Citation 2

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

17.

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

Imperial College Management School Working Paper
Number of pages: 18 Posted: 21 Nov 2005 Last Revised: 22 Jun 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 404 (142,109)
Citation 1

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minimalmartingale measure, optimal portfolio, hedging, CAPM

18.

A Counterexample Concerning the Variance-Optimal Martingale Measure

Mathematical Finance, 2008, 18(2), 305-316
Number of pages: 13 Posted: 03 Jul 2006 Last Revised: 22 Jun 2020
Aleš Černý and Jan Kallsen
Bayes Business School, City, University of London and Munich University of Technology
Downloads 358 (162,584)
Citation 4

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variance-optimal martingale measure, duality, counterexample

19.

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
Bayes Business School (formerly Cass), City, University of London, RiskLab, ETH Zurich and Bayes Business School, City, University of London
Downloads 264 (223,899)
Citation 5

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

20.

Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation

Author accepted manuscript. To appear in Mathematics of Operations Research
Number of pages: 39 Posted: 19 Oct 2021 Last Revised: 08 Apr 2023
Aleš Černý, Christoph Czichowsky and Jan Kallsen
Bayes Business School, City, University of London, London School of Economics & Political Science (LSE) - Department of Mathematics and CAU Kiel
Downloads 226 (260,622)
Citation 1

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mean-variance portfolio selection, quadratic hedging, numeraire change, oblique projection, opportunity-neutral measure

21.

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

Journal of Mathematical Economics 48(6), 386-395, 2012
Number of pages: 11 Posted: 11 Oct 2008 Last Revised: 22 Jun 2020
Aleš Černý, Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini
Bayes 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 209 (280,352)

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

22.

Simplified Stochastic Calculus via Semimartingale Representations

Electronic Journal of Probability, 2022, 27, paper no.3, 1-32
Number of pages: 32 Posted: 23 Jun 2020 Last Revised: 19 Apr 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics
Downloads 166 (344,663)
Citation 1

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Complex-valued process; generalized Yor formula; Émery formula; Itô formula

23.

Supplement to: Simplified stochastic calculus with applications in Economics and Finance

Number of pages: 4 Posted: 11 Feb 2021 Last Revised: 15 Jun 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics
Downloads 155 (365,127)
Citation 1

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24.

Simplified Calculus for Semimartingales: Multiplicative Compensators and Changes of Measure

Stochastic Processes and Their Applications, 2023, 161, 572-602
Number of pages: 25 Posted: 23 Jun 2020 Last Revised: 01 Nov 2023
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics
Downloads 151 (373,066)
Citation 1

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Girsanov, Lévy-Khintchin, Mellin transform, predictable compensator, process with independent increments, semimartingale representation

25.

The Hansen Ratio in Mean-Variance Portfolio Theory

Arxiv preprint 2007.15980
Number of pages: 11 Posted: 10 Aug 2020 Last Revised: 17 Aug 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 132 (414,990)

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Hansen Ratio, Hansen-Jagannathan Inequality, Efficient Frontier, Monotone Mean-Variance Preference

26.

Admissible Strategies in Semimartingale Portfolio Selection

SIAM Journal on Control and Optimization, 2011, 49(1), 42-72
Number of pages: 30 Posted: 05 Apr 2010 Last Revised: 23 Jun 2020
Sara Biagini and Aleš Černý
LUISS University and Bayes Business School, City, University of London
Downloads 126 (430,065)
Citation 1

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

27.

Alternative Pension Reform Strategies for Japan

Imperial College Business School Working Paper
Number of pages: 65 Posted: 21 Nov 2005 Last Revised: 22 Jun 2020
David Miles and Aleš Černý
Imperial College Business School and Bayes Business School, City, University of London
Downloads 120 (446,358)
Citation 1

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Aging population, pension reform, Japan

28.

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
Bayes Business School, City, University of London and City University London - The Business School
Downloads 98 (516,383)

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Discrete time hedging, rate of convergence, tracking error

29.

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
Bayes Business School, City, University of London
Downloads 95 (527,021)

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

30.

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
Bayes Business School, City, University of London
Downloads 91 (541,791)
Citation 1

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

31.

Convex Duality and Orlicz Spaces in Expected Utility Maximization

Mathematical Finance 30(1), 85-127, 2020
Number of pages: 42 Posted: 30 Nov 2017 Last Revised: 07 Jul 2022
Sara Biagini and Aleš Černý
LUISS University and Bayes Business School, City, University of London
Downloads 84 (568,927)
Citation 2

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

32.

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, Bayes Business School, City, University of London and Comenius University - Faculty of Mathematics, Physics and Informatics
Downloads 76 (602,744)

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

33.

Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

Mathematical Finance 30(3), 1168-1178, 2020
Number of pages: 9 Posted: 09 Apr 2019 Last Revised: 01 Jul 2020
Aleš Černý
Bayes Business School, City, University of London
Downloads 72 (621,078)

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

34.

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
Bayes Business School, City, University of London and Comenius University - Faculty of Mathematics, Physics and Informatics; Department of Applied Mathematics and Statistics
Downloads 71 (625,761)

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

35.

The Law of One Price in Quadratic Hedging and Mean–Variance Portfolio Selection

Number of pages: 34 Posted: 31 Oct 2022 Last Revised: 20 Sep 2024
Aleš Černý and Christoph Czichowsky
Bayes Business School, City, University of London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 68 (640,245)

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Law of one price, E-density, efficient frontier, quadratic hedging, mean-variance portfolio selection

36.

Hedging in Lévy models and the time step equivalent of jumps

arXiv preprint 1309.7833
Number of pages: 30 Posted: 18 Nov 2021
Aleš Černý, Stephan Denkl and Jan Kallsen
Bayes Business School, City, University of London, affiliation not provided to SSRN and CAU Kiel
Downloads 45 (772,303)
Citation 1

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excess kurtosis rate, quadratic hedging, Lévy processes, Black-Scholes sensitivities (Greeks)

37.

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

Number of pages: 52 Posted: 27 Apr 2001
David Miles and Aleš Černý
Imperial College Business School and Bayes Business School, City, University of London
Downloads 24 (946,078)
Citation 1
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Annuities, demographics, pensions, portfolio allocation, risk-sharing