Jan Pospíšil

Economics, Econometrics and Finance · Social Sciences

9h-index402citations47works1.02yr avg
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Research Topics

Stochastic processes and financial applications(19), Financial Risk and Volatility Modeling(10), Distributed and Parallel Computing Systems(7), Complex Systems and Time Series Analysis(5), Capital Investment and Risk Analysis(4)

Publications47 total

Challenges in automatic differentiation and numerical integration in physics-informed neural networks modelling
arXiv (Cornell University)·2024Open Access
How Generative AI Autonomous Agents shape the current business trends and smart learning
Trendy v podnikání·2024· 2 citedOpen Access
Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
arXiv (Cornell University)·2023Open Access
Robustness and sensitivity analyses of rough Volterra stochastic volatility models
Annals of Finance·2023Open Access
Monotone iteration scheme for nonlinear PDEs in risk models
arXiv (Cornell University)·2023Open Access
Robustness and sensitivity analyses for rough Volterra stochastic\n volatility models
arXiv (Cornell University)·2021Open Access
A note on a PDE approach to option pricing under xVA
arXiv (Cornell University)·2021Open Access
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance·2021Open Access
Výroba dílů s odlehčenou strukturou a topologickou optimalizací
Brno University of Technology Digital Library (Brno University of Technology)·2020Open Access
Decomposition formula for jump diffusion models
Journal of Enterprising Culture·2019Open Access
Odhad kvality signálů EKG
Brno University of Technology Digital Library (Brno University of Technology)·2018Open Access
Isogeometric analysis in option pricing
International Journal of Computer Mathematics·2018· 3 citedOpen Access
Calibration and simulation of Heston model
Open Mathematics·2017· 37 citedOpen Access
Unifying pricing formula for several stochastic volatility models with jumps
Applied Stochastic Models in Business and Industry·2017· 14 cited
Unifikovaná oceňovací formule pro několik modelů stochastické volatility se skoky
Applied Stochastic Models in Business and Industry·2017
Market calibration under a long memory stochastic volatility model
Applied Mathematical Finance·2016· 20 citedOpen Access
Test data sets for calibration of stochastic and fractional stochastic volatility models
Data in Brief·2016· 6 citedOpen Access
On calibration of stochastic and fractional stochastic volatility models
European Journal of Operational Research·2016· 31 cited
Something you may have wanted to know about L&B
Journal of Physics Conference Series·2010Open Access
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
Stochastics and Dynamics·2009· 71 cited
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Frequent Co-authors

Aleš Křenek(7), Miloš Mulač(7), Miroslav Ruda(7), Tomáš Sobotka(7), Daniel Kouřil(6), Luděk Matyska(6), Zdeněk Salvet(6), Jiří Sitera(6), Michal Voců(6), A. Gianelle(4), M. Sgaravatto(4), F. Giacomini(4), M. Mezzadri(4), Elisabetta Ronchieri(4), F. Prelz(4), Giuseppe Avellino(4), Stefano Beco(4), A. Maraschini(4), Milan Mrázek(4), Falko Baustian(4)