Tomáš Tichý
Biographic Data
| ID | 4125729 |
|---|---|
| NAME | Tomáš Tichý |
| GIVEN NAMES | Tomáš |
| FAMILY NAME | Tichý |
| SIGNATURE | TICHÝ T |
| AFFILIATIONS | VSB - Technical University of Ostrava |
| ORCID | 0000-0002-6503-5330 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 3 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2008 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 1 |
Examination of Market Risk Estimation Models via DEA Approach Modelling
Measuring and managing of financial risks is an essential part of the management of financial institutions. The appropriate risk management should lead to an efficient allocation of available funds. Approaches based on Value at Risk measure have been used as a means for measuring market risk since the late 20th century, although regulators newly suggest to apply more complex method of Expected Shortfall. While evaluating models for market risk es…
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are generally not fulfilled, the BS-type models mostly p…
Examination of Portfolio Currency Risk Estimation by Means of Lévy Models
Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordin…
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. It is the reason why an improvement…
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. It is the reason why an improvement…
Examination of Portfolio Currency Risk Estimation by Means of Lévy Models
Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordin…
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. It is the reason why an improvement…
Examination of Portfolio Currency Risk Estimation by Means of Lévy Models
Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordin…
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are generally not fulfilled, the BS-type models mostly p…
Examination of Market Risk Estimation Models via DEA Approach Modelling
Measuring and managing of financial risks is an essential part of the management of financial institutions. The appropriate risk management should lead to an efficient allocation of available funds. Approaches based on Value at Risk measure have been used as a means for measuring market risk since the late 20th century, although regulators newly suggest to apply more complex method of Expected Shortfall. While evaluating models for market risk es…
Econometrics (4 works) · Economics (4 works) · Mathematics (4 works) · Statistics (4 works) · Financial economics (3 works) · Financial Risk and Volatility Modeling (3 works) · Stochastic processes and financial applications (3 works) · Actuarial science (2 works) · Computer Science (2 works) · Estimation (2 works)