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Projects

873 projects (0,118s) •

Project

Modelling of processes on financial markets and prediction of firm default by real options (GA15-20405S)

default by real options approach. Pricing of fin. derivatives, Am. options for solving pricing problems of compound options with time-dependent free boundaries of optimal exercising. This procedure is use...

AH - Ekonomie

  • 2015 - 2018
    • •
  • 985 tis. Kč
    • •
  • 985 tis. Kč
    • •
  • GA ČR
Project

Advanced Econometric Models for Option Pricing – AdEMOP (GJ18-00522Y)

This project proposes a new innovative approach to econometric modeling of the implied volatility of options over time, where the implied volatility is considered to be a function of the strike price and the time to maturity. The p...

Economic Theory

  • 2018 - 2021
    • •
  • 3 362 tis. Kč
    • •
  • 3 362 tis. Kč
    • •
  • GA ČR
Project

Robust numerical schemes for pricing of selected options under various market conditions (GA16-09541S)

The proposed project will deal with the development, theoretical analysis, implementation and testing of new numerical methods for pricing of selected options under of efficiency measured by robustness with respect to various types ...

AH - Ekonomie

  • 2016 - 2018
    • •
  • 6 894 tis. Kč
    • •
  • 5 967 tis. Kč
    • •
  • GA ČR
Project

Advanced Econometric Models for Option Pricing II – AdEMOP2 (GA21-10768S)

asset by estimating the implied volatility (IV) of options. However, the natural of the volatility smile when progressing towards the maturity date) artificial options with a constant maturity are introduced. The IV of the artific...

Applied mathematics

  • 2021 - 2023
    • •
  • 4 395 tis. Kč
    • •
  • 4 395 tis. Kč
    • •
  • GA ČR
Project

Arbitrage-free modelling of implied volatility. (GA13-25911S)

The project deals with modelling of options implied volatility where the implied volatility is considered as a function of strike price and time to maturity is expressed in terms of state-price-density while the calendar ar...

AH - Ekonomie

  • 2013 - 2017
    • •
  • 2 955 tis. Kč
    • •
  • 2 955 tis. Kč
    • •
  • GA ČR
Project

Management of Extreme Financial Events (GA13-34480S)

This proposal suggests to study extreme financial events by relating such an event to a contingent claim that may not exist in the market, but whose price and possibly a hedge can be found using the no arbitrage principle. In this way we can...

AH - Ekonomie

  • 2013 - 2015
    • •
  • 1 765 tis. Kč
    • •
  • 1 765 tis. Kč
    • •
  • GA ČR
Project

Rough models of fractional stochastic volatility (GA18-16680S)

volatility (FSV) models. First and foremost, the option pricing task under rough FSV models will be analyzed. Since no closed pricing formulas are available, we to the option pricing task, numerically by ...

Statistics and probability

  • 2018 - 2021
    • •
  • 2 194 tis. Kč
    • •
  • 2 038 tis. Kč
    • •
  • GA ČR
Project

Asset pricing, internet data, machine learning with natural language processing in the era of sustainable and decentralized finance with uncertainty (GA24-10008S)

into closely related areas of modeling of commodity prices, climate risk in finance, credit risk, option pricing and corporate finance issues as well. their role in asset pricing. We will use advanced language lea...

Finance

  • 2024 - 2026
    • •
  • 5 994 tis. Kč
    • •
  • 5 994 tis. Kč
    • •
  • GA ČR
Project

Dynamic semi- and non-parametric models with applications in finance (1K04018)

will concentrate primarily on the estimation of the state price density (SPD) which describes the state of the market and allows pricing of exotic options. Application of the methods......

BB - Aplikovaná statistika, operační výzkum

  • 2004 - 2006
    • •
  • 861 tis. Kč
    • •
  • 298 tis. Kč
    • •
  • MŠMT
Project

Application of replication methods in pricing and hedging of financial derivatives at non-perfect market (GP402/05/P085)

In order to price and/or hedge financial derivatives we commonly apply replication methods. The strategy is based on setting-up of a portfolio that should have the same character as the replicated asset. Hence, we need to create a new "synth...

AH - Ekonomie

  • 2005 - 2007
    • •
  • 540 tis. Kč
    • •
  • 520 tis. Kč
    • •
  • GA ČR
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