Search results
- 1.0452190 - ÚTIA 2016 RIV CN eng C - Conference Paper (international conference)
Kopa, Miloš - Vitali, Sebastiano - Tichý, Tomáš
On the implied volatility extraction and the selection of suitable kernel.
Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015). Beijing: Atlantis press, 2015 - (Ding, J.), s. 456-459. ISBN 9789462520844. ISSN 2352-538X.
[2015 International Conference on Computer Science and Intelligent Communication. Zhengzhou (CN), 18.07.2015-19.07.2015]
R&D Projects: GA ČR GA13-25911S
Institutional support: RVO:67985556
Keywords : arbitrage opportunity * implied volatility * option pricing * time grid * state price density
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/kopa-0452190.pdf
Permanent Link: http://hdl.handle.net/11104/0253695 - 2.0437675 - ÚTIA 2015 RIV CZ eng C - Conference Paper (international conference)
Tichý, Tomáš - Kopa, Miloš - Vitali, S.
On the pricing of illiquid options with Black-Scholes formula.
Proceedings of Managing and Modelling of Financial Risks. Ostrava: VŠB-Technická univerzita Ostrava, 2014 - (Čulík, M.), s. 807-815. ISBN 978-80-248-3631-7.
[Řízení a modelování finančních rizik. Ostrava (CZ), 08.09.2014-09.09.2014]
R&D Projects: GA ČR(CZ) GA13-25911S
Institutional support: RVO:67985556
Keywords : BS formula * German option market * illiquid option * implied parameters option valuation
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2014/E/kopa-0437675.pdf
Permanent Link: http://hdl.handle.net/11104/0241899 - 3.0437673 - ÚTIA 2015 RIV BE eng C - Conference Paper (international conference)
Sutiene, K. - Kabasinskas, A. - Strebeika, D. - Kopa, Miloš - Reichardt, R.
ESTIMATION OF VAR AND CVAR FROM FINANCIAL DATA USING SIMULATED ALPHA-STABLE RANDOM VARIABLES.
28th European Simulation and Modelling Conference Proceedings. Ostend: ETI - The European Technology Institute, 2014 - (Brito, A.; Tavares, J.; de Oliveira, C.), s. 159-163. ISBN 978-90-77381-86-1.
[28th European Simulation and Modelling Conference. FEUP - University of Porto (PT), 22.10.2014-24.10.2014]
R&D Projects: GA ČR(CZ) GA13-25911S
Institutional support: RVO:67985556
Keywords : Stable model * mixed-stable model * financial modelling
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2014/E/kopa-0437673.pdf
Permanent Link: http://hdl.handle.net/11104/0241897 - 4.0385930 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Kopa, Miloš
Value at Risk application to FSD portfolio efficiency testing.
Proceedings of Managing and Modelling of Financial Risks 2012. Ostrava: VŠB-Technická univerzita Ostrava, Ekonomická fakulta, 2012, s. 320-325. ISBN 978-80-248-2835-0.
[Managing and modeling of financial risks 2012. Ostrava (CZ), 10.09.2012-11.09.2012]
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Value at Risk * first order stochastic dominance * portfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf
Permanent Link: http://hdl.handle.net/11104/0216178 - 5.0364869 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Kopa, Miloš
Comparison of various approaches to portfolio efficiency.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 351-356. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Liptovský Ján (SK), 06.09.2011]
R&D Projects: GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : portfolio efficiency * second-order stochastic dominance * mean-risk models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2011/E/kopa-comparison of various approaches to portfolio efficiency.pdf
Permanent Link: http://hdl.handle.net/11104/0200239 - 6.0329687 - ÚTIA 2010 RIV CZ eng C - Conference Paper (international conference)
Kopa, Miloš
Stability of SSD portfolio efficiency - monthly versus yearly returns.
[Stabilita SSD eficience portfolia - měsíční versus roční výnosy.]
Proceedings of 27th International Conference Mathematical Methods in Economics 2009. Prague: Czech University of Life Sciences Prague, 2009 - (Brožová, H.), s. 184-187. ISBN 978-80-213-1963-9.
[27th International Conference Mathematical Methods in Economics 2009. Kostelec nad Černými lesy (CZ), 09.09.2009-11.09.2009]
R&D Projects: GA ČR GA402/07/1113
Grant - others:GA ČR(CZ) GP201/07/P107
Institutional research plan: CEZ:AV0Z10750506
Keywords : second-order stochastic dominance * portfolio inefficiency * scenario approach
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2009/E/kopa-stability of ssd portfolio efficiency - monthly versus yearly returns.pdf
Permanent Link: http://hdl.handle.net/11104/0175654