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Bayes Business School, City St George's, University of London: London, GB

Employment
Source: Self-asserted source
Aleš Černý

Works (39)

On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models

European Journal of Operational Research
2025-01 | Journal article
DOI: 10.1016/j.ejor.2024.08.009
Contributors: Margaréta Halická; Mária Trnovská; Aleš Černý
Source: check_circle
Crossref

Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation

Mathematics of Operations Research
2024-05 | Journal article
DOI: 10.1287/moor.2023.1374
Contributors: Aleš Černý; Christoph Czichowsky; Jan Kallsen
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis

European Journal of Operational Research
2024-01 | Journal article
DOI: 10.1016/j.ejor.2023.06.039
Contributors: Margaréta Halická; Mária Trnovská; Aleš Černý
Source: check_circle
Crossref

Simplified calculus for semimartingales: Multiplicative compensators and changes of measure

Stochastic Processes and Their Applications
2023-05-09 | Journal article
DOI: 10.1016/j.spa.2023.04.010
DOI: 10.2139/ssrn.3633622
EID:

2-s2.0-85110192397

Part of ISSN: 15565068
ARXIV: arXiv:2006.12765v2
Source: Self-asserted source
Aleš Černý
grade
Preferred source (of 3)‎

Simplified stochastic calculus via semimartingale representations

Electronic Journal of Probability
2022-01-12 | Journal article
DOI: 10.1214/21-ejp729
Part of ISSN: 1083-6489
Source: Self-asserted source
Aleš Černý

Pure-jump semimartingales

Bernoulli
2021 | Journal article
DOI: 10.3150/21-BEJ1325
EID:

2-s2.0-85114749002

Part of ISSN: 13507265
Contributors: Černý, A.; Ruf, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier
grade
Preferred source (of 3)‎

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

SSRN
2021 | Other
DOI: 10.2139/ssrn.3752072
EID:

2-s2.0-85110748294

Part of ISSN: 15565068
Contributors: Černý, A.; Ruf, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Simplified stochastic calculus with applications in Economics and Finance

European Journal of Operational Research
2021-01-14 | Journal article
DOI: 10.1016/j.ejor.2020.12.037
DOI: 10.2139/ssrn.3500384
EID:

2-s2.0-85099450333

Part of ISSN: 03772217
EID:

2-s2.0-85106708294

Part of ISSN: 23318422
EID:

2-s2.0-85110483745

Part of ISSN: 15565068
Source: Self-asserted source
Aleš Černý
grade
Preferred source (of 5)‎

Convex duality and Orlicz spaces in expected utility maximization

Mathematical Finance
2020 | Journal article
DOI: 10.1111/mafi.12209
EID:

2-s2.0-85062896889
Contributors: Biagini, S.; Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Semimartingale theory of monotone mean–variance portfolio allocation

Mathematical Finance
2020 | Journal article
DOI: 10.1111/mafi.12241
EID:

2-s2.0-85082311322

Part of ISSN: 14679965 09601627
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier
grade
Preferred source (of 3)‎

Simple explicit formula for near-optimal stochastic lifestyling

European Journal of Operational Research
2020-07 | Journal article
DOI: 10.1016/j.ejor.2019.12.032
DOI: 10.2139/ssrn.3095887
EID:

2-s2.0-85078016863

Part of ISSN: 03772217
EID:

2-s2.0-85094467634

Part of ISSN: 23318422
EID:

2-s2.0-85115497573

Part of ISSN: 15565068
Source: Self-asserted source
Aleš Černý

The Hansen ratio in mean--variance portfolio theory

2020-07-31 | Preprint
DOI: 10.2139/ssrn.3664641
ARXIV: arXiv:2007.15980v1
EID:

2-s2.0-85095561526

Part of ISSN: 23318422
EID:

2-s2.0-85110268285

Part of ISSN: 15565068
Source: Self-asserted source
Aleš Černý

Simplified stochastic calculus via semimartingale representations

2020-06-21 | Preprint
DOI: 10.2139/ssrn.3633638
EID:

2-s2.0-85095373884

Part of ISSN: 23318422
EID:

2-s2.0-85110175737

Part of ISSN: 15565068
ARXIV: arXiv:2006.11914v2
Source: Self-asserted source
Aleš Černý

Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions

European Journal of Operational Research
2018 | Journal article
DOI: 10.1016/j.ejor.2017.07.054
EID:

2-s2.0-85028337337
Contributors: Brunovský, P.; Černý, A.; Komadel, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Erratum to: A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics (Applied Mathematics & Optimization, (2013), 68, 2, (255-274), 10.1007/s00245-013-9205-5)

Applied Mathematics and Optimization
2017 | Journal article
DOI: 10.1007/s00245-016-9398-5
EID:

2-s2.0-85007439955
Contributors: Brunovský, P.; Černý, A.; Winkler, M.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

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

Springer Proceedings in Mathematics & Statistics
2016 | Book chapter
DOI: 10.1007/978-3-319-45875-5_12
Part of ISBN: 9783319458731
Part of ISBN: 9783319458755
Part of ISSN: 2194-1009
Part of ISSN: 2194-1017
Source: Self-asserted source
Aleš Černý
grade
Preferred source (of 2)‎

A singular differential equation stemming from an optimal control problem in financial economics

Applied Mathematics and Optimization
2013 | Journal article
DOI: 10.1007/s00245-013-9205-5
EID:

2-s2.0-84887620984
Contributors: Brunovský, P.; Černý, A.; Winkler, M.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Market value margin via mean-variance hedging

ASTIN Bulletin
2013 | Journal article
DOI: 10.1017/asb.2013.18
EID:

2-s2.0-84882393371
Contributors: Tsanakas, A.; Wüthrich, M.V.; Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility

Journal of Mathematical Economics
2012 | Journal article
DOI: 10.1016/j.jmateco.2012.08.006
EID:

2-s2.0-84867894669
Contributors: Černý, A.; Maccheroni, F.; Marinacci, M.; Rustichini, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Optimal hedging with higher moments

Journal of Futures Markets
2012 | Journal article
DOI: 10.1002/fut.20542
EID:

2-s2.0-84864752988
Contributors: Brooks, C.; Černý, A.; Miffre, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Admissible strategies in semimartingale portfolio selection

SIAM Journal on Control and Optimization
2011 | Journal article
DOI: 10.1137/090774458
EID:

2-s2.0-79952309768
Contributors: Biagini, S.; Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

An improved convolution algorithm for discretely sampled Asian options

Quantitative Finance
2011 | Journal article
DOI: 10.1080/14697680903397667
EID:

2-s2.0-79951594851
Contributors: Černý, A.; Kyriakou, I.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

The impact of changing demographics and pensions on the demand for housing and financial assets

Journal of Pension Economics and Finance
2010 | Journal article
DOI: 10.1017/S1474747209990047
EID:

2-s2.0-77957608974
Contributors: Černý, A.; Miles, D.; Schmidt, L.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Fourier Transform

Encyclopedia of Quantitative Finance
2010-05-15 | Encyclopedia entry
DOI: 10.1002/9780470061602.eqf12008
ISBN: 9780470057568
ISBN: 9780470061602
Source: Self-asserted source
Aleš Černý

Characterization of the oblique projector U (VU)<sup>†</sup> V with application to constrained least squares

Linear Algebra and Its Applications
2009 | Journal article
DOI: 10.1016/j.laa.2009.05.025
EID:

2-s2.0-68349130495
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Hedging by sequential regressions revisited

Mathematical Finance
2009 | Journal article
DOI: 10.1111/j.1467-9965.2009.00381.x
EID:

2-s2.0-72449197678
Contributors: Černý, A.; Kallsen, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Mathematical techniques in finance: Tools for incomplete markets (second edition)

Mathematical Techniques in Finance: Tools for Incomplete Markets (Second Edition)
2009 | Book
EID:

2-s2.0-84883966698
Contributors: Cernỳ, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Review of Derivatives Research: Preface

Review of Derivatives Research
2009 | Journal article
DOI: 10.1007/s11147-009-9035-4
EID:

2-s2.0-67349166621
Contributors: Bank, P.; Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

A counterexample concerning the variance-optimal martingale measure

Mathematical Finance
2008 | Journal article
DOI: 10.1111/j.1467-9965.2007.00334.x
EID:

2-s2.0-40549083053
Contributors: Černý, A.; Kallsen, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Mean-variance hedging and optimal investment in Heston's model with correlation

Mathematical Finance
2008 | Journal article
DOI: 10.1111/j.1467-9965.2008.00342.x
EID:

2-s2.0-45149103743
Contributors: Černý, A.; Kallsen, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

On the structure of general mean-variance hedging strategies

Annals of Probability
2007 | Journal article
DOI: 10.1214/009117906000000872
EID:

2-s2.0-40549134772
Contributors: Černý, A.; Kallsen, J.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Optimal continuous-time hedging with leptokurtic returns

Mathematical Finance
2007 | Journal article
DOI: 10.1111/j.1467-9965.2007.00299.x
EID:

2-s2.0-33947327574
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Risk, return and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets

Economic Journal
2006 | Journal article
DOI: 10.1111/j.1468-0297.2006.01091.x
EID:

2-s2.0-33645472665
Contributors: Miles, D.; Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Alternative pension reform strategies for Japan

The Economics of Social Security In Japan
2004 | Book
Part of DOI: 10.4337/9781845420758.00010
EID:

2-s2.0-84896174453
Contributors: Miles, D.; Cerny, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Dynamic programming and mean-variance hedging in discrete time

Applied Mathematical Finance
2004 | Journal article
DOI: 10.1080/1350486042000196164
EID:

2-s2.0-1842763703
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Introduction to fast Fourier transform in finance

Journal of Derivatives
2004 | Journal article
DOI: 10.3905/jod.2004.434538
EID:

2-s2.0-33749526944
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

Generalised Sharpe Ratios and asset pricing in incomplete markets

European Finance Review
2003 | Journal article
DOI: 10.1023/A:1024568429527
EID:

2-s2.0-4043081259
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier

The Theory of Good-Deal Pricing in Financial Markets

Springer Finance
2002 | Book chapter
DOI: 10.1007/978-3-662-12429-1_9
Part of ISBN: 9783642087295
Part of ISBN: 9783662124291
Part of ISSN: 1616-0533
Part of ISSN: 2195-0687
Source: Self-asserted source
Aleš Černý

Currency crises: Introduction of spot speculators

International Journal of Finance and Economics
1999 | Journal article
EID:

2-s2.0-0039180027
Contributors: Černý, A.
Source: Self-asserted source
Aleš Černý via Scopus - Elsevier
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