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| [...] | Jan Matas and Jan Pospíšil, "Robustness and sensitivity analyses for rough Volterra stochastic volatility models", submitted, Manuscript under review (submitted 2021-07-26).
[arXiv] |
| [...] | Jan Matas and Jan Pospíšil, "On simulation of rough Volterra stochastic volatility models", submitted, Manuscript under review (submitted 2021-07-26).
[arXiv] |
| [...] | Falco Baustian, Martin Fencl, Jan Pospíšil and Vladimír Švígler, "A note on a PDE approach to option pricing under xVA", submitted, Manuscript under review (submitted 2021-04-30).
[arXiv] |
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| [36] | Falko Baustian, Kateřina Filipová and Jan Pospíšil, "Solution of option pricing equations using orthogonal polynomial expansion", Appl. Math., Acad. Sci. Czech Repub. Inst. Math., vol. 66, no. 4, Prague, pp. 553–582, 2021.
[doi] [arXiv] |
| [35] | Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen and Josep Vives, "Decomposition formula for rough Volterra stochastic volatility models", Int. J. Theor. Appl. Finance, World Scientific, vol. 24, no. 2, pp. 2150008, 2021.
[doi] [wos] [scopus] [arXiv] |
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| [34] | Josef Daněk and Jan Pospíšil, "Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models", Int. J. Comput. Math., Taylor & Fancis, vol. 97, no. 6, pp. 1268–1292, 2020.
[doi] [wos] [scopus] [mr] [arXiv] |
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| [33] | Jan Pospíšil, Tomáš Sobotka and Philipp Ziegler, "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure", Empir. Econ., Springer Verlag, vol. 57, no. 6, pp. 1935–1958, 2019.
[doi] [wos] [scopus] [riv Jimp] [arXiv] |
| [32] | Jan Pospíšil and Vladimír Švígler, "Isogeometric analysis in option pricing", Int. J. Comput. Math., Taylor & Fancis, vol. 96, no. 11, pp. 2177–2200, 2019.
[doi] [wos] [scopus] [mr] [riv Jimp] [arXiv] |
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| [31] | Raúl Merino, Jan Pospíšil, Tomáš Sobotka and Josep Vives, "Decomposition formula for jump diffusion models", Int. J. Theor. Appl. Finance, World Scientific, vol. 21, no. 8, pp. 1850052, 2018.
[doi] [wos] [scopus] [mr] [zbl] [riv Jsc] [arXiv] |
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| [30] | Falco Baustian, Milan Mrázek, Jan Pospíšil and Tomáš Sobotka, "Unifying pricing formula for several stochastic volatility models with jumps", Appl. Stoch. Models Bus. Ind., John Wiley & Sons Inc., vol. 33, no. 4, pp. 422–442, 2017.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] |
| [29] | Milan Mrázek and Jan Pospíšil, "Calibration and Simulation of Heston Model", Open Math., De Gruyter Open, vol. 15, no. 1, Warsaw, pp. 679–704, 2017.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] |
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| [28] | Jan Pospíšil and Tomáš Sobotka, "Market calibration under a long memory stochastic volatility model", Appl. Math. Finance, Taylor & Francis, Ltd., vol. 23, no. 5, pp. 323–343, 2016.
[url] [doi] [scopus] [mr] [zbl] [riv Jsc] |
| [27] | Jan Pospíšil and Tomáš Sobotka, "Test data sets for calibration of stochastic and fractional stochastic volatility models", Data in Brief, vol. 8, no. C, pp. 628–630, 2016.
[url] [doi] [wos] [scopus] [riv Jsc] |
| [26] | Milan Mrázek, Jan Pospíšil and Tomáš Sobotka, "On calibration of stochastic and fractional stochastic volatility models", European J. Oper. Res., vol. 254, no. 3, pp. 1036–1046, 2016.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] |
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| [25] | Josef Daněk and Jan Pospíšil, "Numerical integration of inaccurately evaluated functions", In Technical Computing Prague 2015, University of Chemistry Technology, Prague, Czech Republic, pp. 1-11, 2015, TCP 2015, November 4, 2015, Prague, Czech Republic.
[url] [riv D] |
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| [24] | Milan Mrázek, Jan Pospíšil and Tomáš Sobotka, "On optimization techniques for calibration of stochastic volatility models.", In Applied Numerical Mathematics and Scientific Computation, Europment, Athens, Greece, pp. 34–40, 2014, AMCM 2015, November 28-30, 2014, Athens, Greece.
[riv D] |
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| [23] | Petr Nečesal and Jan Pospíšil, "Experience with Teaching Mathematics for Engineers with the Aid of Wolfram Alpha", In Proceedings of the World Congress on Engineering and Computer Science 2012 Vol I, IAENG, Kwun Tong, Hong Kong, pp. 271–274, 2012, WCECS 2012, October 24-26, 2012, San Francisco, USA.
[url] [wos] [scopus] [riv D] |
| [22] | Gabriela Holubová and Jan Pospíšil, "Výuka matematické analýzy na Západočeské univerzitě v Plzni (Teaching mathematical analysis at the University of West Bohemia in Plzeň)", Kvaternion, Ústav matematiky FSI VUT v Brně, vol. 1, no. 1, pp. 45–52, 2012.
[url] [riv Jost] |
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| [21] | Zdeněk Šustr, Jiří Sitera, František Dvořák, Jiří Filipovič, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet and Michal Voců, "Something you may have wanted to know about L&B", Journal of Physics: Conference Series, IOP Publishing, vol. 219, no. 6, Bristol, UK, pp. 062067, 2010, 17th International Conference on Computing in High Energy and Nuclear Physics (CHEP), Prague, Czech Republic, 21-27 March, 2009.
[url] [doi] [wos] [scopus] [inSpire] [riv Jsc] |
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| [20] | Igor Cialenco, Sergey V. Lototsky and Jan Pospíšil, "Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion", Stoch. Dyn., World Scientific, vol. 09, no. 02, pp. 169–185, 2009.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] [arXiv] |
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| [19] | Bohdan Maslowski and Jan Pospíšil, "Ergodicity and parameter estimates for infinite-dimensional fractional Ornstein–Uhlenbeck process", Appl. Math. Optim., Springer, vol. 57, no. 3, pp. 401–429, 2008.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] |
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| [18] | Bohdan Maslowski and Jan Pospíšil, "Parameter estimates for linear partial differential equations with fractional boundary noise", Commun. Inf. Syst., International Press of Boston, vol. 7, no. 1, Somerville, MA, pp. 1–20, 2007.
[url] [doi] [mr] [zbl] [riv Jost] |
| [17] | Miroslav Ruda, Aleš Křenek, Miloš Mulač, Jan Pospíšil and Zdeněk Šustr, "A uniform job monitoring service in multiple job universes", In GMW'07: Proceedings of the 2007 workshop on Grid monitoring, ACM, New York, NY, USA, pp. 17–22, 2007, 16th International Symposium on High Performance Distributed Computing 2007, HPDC'07 and Co-Located Workshops; Monterey, California, USA; 25-29 June 2007.
[url] [doi] [scopus] [riv D] |
| [16] | Jan Pospíšil and Roger Tribe, "Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise", Stochastic Anal. Appl., Taylor & Francis, vol. 25, no. 3, pp. 593–611, 2007.
[url] [doi] [wos] [scopus] [mr] [zbl] [riv Jimp] [arXiv] |
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| [15] | Jan Pospíšil, "On ergodicity of stochastic evolution equations driven by fractional Brownian motion", In Proceedings of the Prague Stochastics 2006, Matfyzpress, Prague, Czech Republic, pp. 590–599, 2006, Prague, Czech Republic, September 21-25, 2006.
[riv D] |
| [14] | Jan Pospíšil, "Numerical parameter estimates in stochastic equations with fractional Brownian motion", In Proceedings of the International Conference on Numerical Analysis and Approximation Theory, Casa Cărţii de Ştiinţă, Cluj-Napoca, Romania, pp. 353–364, 2006, Cluj-Napoca, Romania, July 5-8, 2006.
[mr] [zbl] [riv D] |
| [13] | Jan Pospíšil, "Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion", In Proceedings of the Programms and algorithms of numerical mathematics 13, Institute of Mathematics, Czech Academy of Sciences, Prague, Czech Republic, pp. 208–213, 2006, Prague, May 28-31, 2006.
[riv D] |
| [12] | František Dvořák, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera and Michal Voců, "gLite Job Provenance", Springer Berlin - Heidelberg, vol. 4145/2006, Berlin, Heidelberg, pp. 246–253, 2006.
[url] [doi] [wos] [scopus] [riv Jimp] |
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| [11] | Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Jiří Škrabal, Michal Voců, Paolo Andretto, Antonio Stefano Borgia, Alvise Dorigo, Alessio Gianelle, Matteo Mordacchini, Massimo Sgaravatto, Luigi Zangrando, Sergio Andreozzi, Vincenzo Ciaschini, Cinzia Di Giusto, Francesco Giacomini, Valentina Medici, Elisabetta Ronchieri, Giuseppe Avellino, Stefano Beco, Alessandro Maraschini, Fabrizio Pacini, Annalisa Terracina, Andrea Guarise, Giuseppe Patania, Massimo Marchi, Massimo Mezzadri, Francesco Prelz, Davide Rebatto, Salvatore Monforte and Marco Pappalardo, "Distributed Tracking, Storage, and Re-use of Job State Information on the Grid", In Proceedings of Computing in High-Enery and Nuclear Physics 2004, vol. 2, pp. 798–801, 2005, CHEP 2004, Interlaken, Switzerland, September 27 - October 1, 2004.
[url] [inSpire] |
| [10] | Alessio Gianelle, Rosario Peluso, Massimo Sgaravatto, Francesco Giacomini, Elisabetta Ronchieri, Giuseppe Avellino, Barbara Cantalupo, Stefano Beco, Alessandro Maraschini, Fabrizio Pacini, Andrea Guarise, Rosario Michael Piro, Albert Werbrouck, Daniel Kouřil, Aleš Křenek, Zdeněk Kabela, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Michal Voců, Massimo Mezzadri, Francesco Prelz, Salvatore Monforte, Marco Pappalardo and David John Colling, "Supporting the Development Process of the DataGrid Workload Management System Software with GNU autotools, CVS and RPM", In Proceedings of Computing in High-Enery and Nuclear Physics 2004, vol. 1, pp. 647–650, 2005, CHEP 2004, Interlaken, Switzerland, September 27 - October 1, 2004.
[url] [inSpire] |
| [9] | Paolo Andretto, Antonio Stefano Borgia, Alvise Dorigo, Alessio Gianelle, Matteo Mordacchini, Massimo Sgaravatto, Luigi Zangrando, Sergio Andreozzi, Vincenzo Ciaschini, Cinzia Di Giusto, Francesco Giacomini, Valentina Medici, Elisabetta Ronchieri, Valerio Venturi, Giuseppe Avellino, Stefano Beco, Alessandro Maraschini, Fabrizio Pacini, Andrea Guarise, Giuseppe Patania, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Jiří Škrabal, Michal Voců, Enzo Martelli, Massimo Mezzadri, Francesco Prelz, Davide Rebatto, Salvatore Monforte and Marco Pappalardo, "Practical approaches to Grid workload and resource management in the EGEE project", In Proceedings of Computing in High-Enery and Nuclear Physics 2004, vol. 2, pp. 899–902, 2005, CHEP 2004, Interlaken, Switzerland, September 27 - October 1, 2004.
[url] [inSpire] |
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| [8] | Giuseppe Avellino, Stefano Beco, Barbara Cantalupo, Alessandro Maraschini, Fabrizio Pacini, Marco Sottilaro, Annalisa Terracina, David John Colling, Francesco Giacomini, Elisabetta Ronchieri, Alessio Gianelle, Mirco Mazzucato, Rosario Peluso, Massimo Sgaravatto, Andrea Guarise, Rosario Michael Piro, Albert Werbrouck, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Jiří Škrabal, Michal Voců, Massimo Mezzadri, Francesco Prelz, Salvatore Monforte and Marco Pappalardo, "The DataGrid Workload Management System: Challenges and Results", Journal of Grid Computing, Springer, vol. 2, no. 4, Dordrecht, Netherlands, pp. 353–367, 2004.
[url] [doi] [scopus] [riv Jsc] |
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| [7] | Giuseppe Avellino, Stefano Beco, Barbara Cantalupo, Fabrizio Pacini, Annalisa Terracina, Alessandro Maraschini, David John Colling, Salvatore Monforte, Marco Pappalardo, Livio Salconi, Francesco Giacomini, Elisabetta Ronchieri, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Michal Voců, Massimo Mezzadri, Francesco Prelz, Alessio Gianelle, Rosario Peluso, Massimo Sgaravatto, Stefano Barale, Andrea Guarise and Albert Werbrouck, "The first deployment of workload management services on the EU DataGrid testbed: feedback on design and implementation", eConf, vol. C0303241, pp. MOAT008, 2003, CHEP 2003, La Jolla, Ca, USA, March 24-28, 2003.
[url] [inSpire] [arXiv] |
| [6] | Giuseppe Avellino, Stefano Beco, Barbara Cantalupo, Alessandro Maraschini, Fabrizio Pacini, Annalisa Terracina, Stefano Barale, Andrea Guarise, Albert Werbrouck, David John Colling, Francesco Giacomini, Elisabetta Ronchieri, Alessio Gianelle, Rosario Peluso, Massimo Sgaravatto, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Michal Voců, Massimo Mezzadri, Francesco Prelz, Salvatore Monforte, Marco Pappalardo and Livio Salconi, "The EU DataGrid Workload Management System: towards the second major release", eConf, vol. C0303241, pp. MOAT007, 2003, CHEP 2003, La Jolla, Ca, USA, March 24-28, 2003.
[url] [inSpire] [arXiv] |
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| [5] | Jan Pospíšil, "An introduction to numerical methods for solving stochastic differential equations", In Proceedings of the Programms and algorithms of numerical mathematics 11, Institute of Mathematics, Czech Academy of Sciences, Prague, Czech Republic, pp. 190–201, 2002, Dolní Maxov, Czech Republic, June 9-14, 2002.
[riv D] |
| [4] | Luděk Matyska, Aleš Křenek, Miroslav Ruda, Michal Voců, Zdeněk Salvet, Jiří Sitera, Jan Pospíšil and Daniel Kouřil, "The Grid Job Monitoring Service", In TERENA Networking Conference 2002 Proceedings, 2002, TNC 2002, Limerick, Ireland, 3-6 June 2002.
[url] |
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| [3] | Cosimo Anglano, Stefano Barale, Luciano Gaido, Andrea Guarise, Stefano Lusso, Albert Werbrouck, Stefano Beco, Fabrizio Pacini, Annalisa Terracina, Alessandro Maraschini, S. Cavalieri, Salvatore Monforte, Flavia Donno, Antonia Ghiselli, Francesco Giacomini, Elisabetta Ronchieri, Daniel Kouřil, Aleš Křenek, Luděk Matyska, Miloš Mulač, Jan Pospíšil, Miroslav Ruda, Zdeněk Salvet, Jiří Sitera, Jan Víšek, Michal Voců, Massimo Mezzadri, Francesco Prelz, Massimo Sgaravatto and M. Verlato, "Integrating GRID tools to build a computing resource broker: activities of DataGrid WP1", In Proceedings of the International Conference on Computing in High Energy and Nuclear Physics 2001, no. 1, pp. 708–711, 2001, September 3-7, 2001 Beijing, P.R. China.
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| [2] | Jindřich Kňourek and Jan Pospíšil, "Multiscale problems of fluid mechanics and their distributed computations (Mnohaškálové problémy mechaniky tekutin a jejich distribuované výpočty)", In Sborník příspěvků z XV. konference sdružení EurOpen.CZ, Nečtiny, Plzeň, 1999.
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| [1] | Jan Pospíšil, "Chaotic behaviour of nonlinear dynamical systems in economics", In Sborník 7. konference studentů v matematice VŠTEZ, pp. 80–95, 1999, Černice u Bechyně, Czech Republic, June 2-4, 1999.
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