Jan Pospíšil

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Challenges in automatic differentiation and numerical integration in physics-informed neural networks modelling International Journal for Numerical Methods in Engineering	2025-11-07	Paper
Robustness and sensitivity analyses of rough Volterra stochastic volatility models Annals of Finance	2024-01-10	Paper
Numerical aspects of integration in physics-informed neural networks modelling (available as arXiv preprint)	2024-01-01	Paper
Monotone iteration scheme for nonlinear PDEs in risk models	2023-06-29	Paper
Monotone iteration scheme for nonlinear PDEs in risk models (available as arXiv preprint)	2023-01-01	Paper
Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models International Journal of Computer Mathematics	2022-02-17	Paper
Isogeometric analysis in option pricing International Journal of Computer Mathematics	2022-02-16	Paper
Solution of option pricing equations using orthogonal polynomial expansion. Applications of Mathematics	2021-09-16	Paper
Decomposition formula for rough Volterra stochastic volatility models International Journal of Theoretical and Applied Finance	2021-06-18	Paper
Solution of option pricing equations using orthogonal polynomial expansion (available as arXiv preprint)	2019-12-13	Paper
Unifying pricing formula for several stochastic volatility models with jumps Applied Stochastic Models in Business and Industry	2019-02-08	Paper
Decomposition formula for jump diffusion models International Journal of Theoretical and Applied Finance	2019-01-10	Paper
Market calibration under a long memory stochastic volatility model Applied Mathematical Finance	2018-09-06	Paper
Calibration and simulation of Heston model Open Mathematics	2017-07-25	Paper
On calibration of stochastic and fractional stochastic volatility models European Journal of Operational Research	2016-10-07	Paper
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION Stochastics and Dynamics	2009-07-22	Paper
Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process Applied Mathematics and Optimization	2009-06-08	Paper
Parameter estimates for linear partial differential equations with fractional boundary noise Communications in Information and Systems	2008-08-14	Paper
scientific article; zbMATH DE number 5174058 (Why is no real title available?)	2007-07-24	Paper
Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise Stochastic Analysis and Applications	2007-06-27	Paper

Research outcomes over time

This page was built for person: Jan Pospíšil