Jan Pospíšil

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Person:323463

Available identifiers

zbMath Open pospisil.janMaRDI QIDQ323463

List of research outcomes

PublicationDate of PublicationType
Robustness and sensitivity analyses of rough Volterra stochastic volatility models2024-01-10Paper
Monotone iteration scheme for nonlinear PDEs in risk models2023-06-29Paper
Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models2022-02-17Paper
Isogeometric analysis in option pricing2022-02-16Paper
Solution of option pricing equations using orthogonal polynomial expansion.2021-09-16Paper
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS2021-06-18Paper
Solution of option pricing equations using orthogonal polynomial expansion2019-12-13Paper
Unifying pricing formula for several stochastic volatility models with jumps2019-02-08Paper
DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS2019-01-10Paper
Market calibration under a long memory stochastic volatility model2018-09-06Paper
Calibration and simulation of Heston model2017-07-25Paper
On calibration of stochastic and fractional stochastic volatility models2016-10-07Paper
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION2009-07-22Paper
Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process2009-06-08Paper
Parameter estimates for linear partial differential equations with fractional boundary noise2008-08-14Paper
https://portal.mardi4nfdi.de/entity/Q52943052007-07-24Paper
Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise2007-06-27Paper

Research outcomes over time


Doctoral students

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