RNDr. Mgr. Jiří Hozman, Ph.D.
Line | Position | Department | Office number |
+420 48535 2826 | Secretary of the Department | Katedra matematiky | G 04070 |
Publications
- J. Hozman, T. Tichý, DG method for valuation of two-stage expansion options, AIP Conference Proceedings, Melville, NY, American Institute of Physics Inc., ISBN: 978-073544763-9, 8 pages, ISSN: 0094-243X, [Online], 2023
- J. Hozman, T. Tichý, Numerical Pricing of European Options Under the Double Exponential Jump-Diffusion Model With Stochastic Volatility, AIP Conference Proceedings, Melville, NY, American Institute of Physics Inc., 4 pages, ISSN: 0094-243X, n. 1, [Online], 2023
- J. Hozman, T. Tichý, H. Dvořáčková, Valuation of mining projects under dynamic model framework, ANNALS OF OPERATIONS RESEARCH, DORDRECHT, Springer Nature, 38 pages, ISSN: 0254-5330, [Online], 2023
- J. Hozman, T. Tichý, European Option Pricing under the CGMY Model using the Discontinuous Galerkin Method, AIP Conference Proceedings, Melville, NY, American Institute of Physics Inc., 4 pages, ISSN: 0094-243X, [Online], 2022
- J. Hozman, T. Tichý, Numerical Valuation of the Investment Project Flexibility Based on the PDE Approach: An Option to Contract, 40th International Conference on Mathematical Methods in Economics, Jihlava, College of Polytechnics Jihlava, ISBN: 978-80-88064-62-6, p. 122-128, 7 pages, [Online], 2022
- J. Hozman, T. Tichý, Option Pricing under the Bates Model Using the Discontinuous Galerkin Method, AIP Conference Proceedings, Melville, NY, American Institute of Physics Inc., ISBN: 978-073544396-9, 8 pages, ISSN: 0094-243X, [Online], 2022
- J. Hozman, T. Tichý, DG Method for Numerical Option Pricing under the Merton Short Rate Model, APPLICATIONS, MELVILLE, AIP Publishing, ISBN: 978-0-7354-4077-7, 8 pages, ISSN: 0094-243X, [Online], 2021
- J. Hozman, T. Tichý, Numerical pricing of American options on extrema with continuous sampling, Ekonomická revue – Central European Review of Economic Issues, Ostrava, VŠB-TU Ostrava, p. 23–30, 8 pages, ISSN: 1212-3951, n. 1, [Online], 2021
- J. Bradáč, J. Hozman, J. Lamač, Numerical Study of the Temperature Field for Fe3al Laser Welding, Materiali in Tehnologije, Ljubljana, Institute of Metals and Technology, p. 411-417, 7 pages, ISSN: 1580-2949, n. 3, [Online], 2021
- J. Hozman, T. Tichý, Numerical Valuation of the Investment Project with Expansion Options Based on the PDE Approach, 39th International Conference on Mathematical Methods in Economics, Praha, Czech University of Life Sciences Prague, ISBN: 978-80-213-3126-6, p. 185-190, 6 pages, [Online], 2021
- J. Hozman, T. Tichý, Option valuation under the VG process by a DG method, Applications of Mathematics, Institute of Mathematics, Czech Academy of Sciences, p. 857-886, 30 pages, ISSN: 0862-7940, n. 6, [Online], 2021
- J. Hozman, T. Tichý, Numerical Pricing of American Lookback Options with Continuous Sampling of the Maximum, 38th International Conference on Mathematical Methods in Economics, Brno, Mendel University Brno, ISBN: 978-80-7509-734-7, p. 186-192, 7 pages, [Online], 2020
- J. Hozman, T. Tichý, Pricing of Options on European CO2 Allowance Futures using Discontinous Galerkin Method, Journal of Environmental Protection and Ecology, Sofia, SciBulCom Ltd., p. 1639-1645, 7 pages, ISSN: 1311-5065, n. 5, [Online], 2020
- J. Hozman, T. Tichý, The discontinuous Galerkin method for discretely observed Asian options, Mathematical Methods in the Applied Sciences, Hoboken, John Wiley & Sons, p. 7726-7746, 21 pages, ISSN: 0170-4214, n. 13, [Online], 2020
- J. Hozman, T. Tichý, M. Vlasák, DG Method for Pricing European Options under Merton Jump-Diffusion Model, Applications of Mathematics, Praha, Institute of Mathematics, Czech Academy of Sciences, p. 501-530, 30 pages, ISSN: 0862-7940, n. 5, [Online], 2019
- J. Hozman, T. Tichý, Option Pricing under the Kou Jump-Diffusion Model: a DG Approach, AIP Conference Proceedings, Melville, American Institute of Physics, ISBN: 978-0-7354-1919-3, 8 pages, ISSN: 0094-243X, [Online], 2019
- J. Hozman, T. Tichý, D. Černá, A. Kresta, Review of several numerical approaches to sensitivity measurement of the Black-Scholes option prices, 37TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2019), České Budějovice, University of South Bohemia in České Budějovice, ISBN: 978-80-7394-760-6, p. 362-367, 6 pages, [Online], 2019
- A. Kresta, J. Hozman, M. Holčapek, T. Tichý, R. Valášek, Comparison of Selected Advanced Numerical Methods for Greeks Calculation of Vanilla Options, Iranian Journal of Operations Research (IJOR), Tehran, IRANIAN SOCIETY OF OPERATIONS RESEARCH, p. 81-94, 14 pages, ISSN: 2008-1189, n. 2, [Online], 2018
- T. Tichý, J. Hozman, M. Holčapek, D. Černá, A. Kresta, Comparison of several modern numerical methods for option pricing, MATHEMATICAL, MatfyzPress, ISBN: 978-80-7378-372-3, p. 591-594, 4 pages, [Online], 2018
- J. Hozman, T. Tichý, DG framework for pricing European options under one-factor stochastic volatility models, Journal of Computational and Applied Mathematics, Amsterdam, Elsevier Science BV, p. 585-600, 16 pages, ISSN: 0377-0427, n. 12, 2018
- J. Hozman, A. Kresta, T. Tichý, Numerical Pricing of American-Style Options within the Black and Scholes Framework, Ekonomická revue – Central European Review of Economic Issues, Ostrava, VŠB TU Ostrava, p. 117-123, 7 pages, ISSN: 1212-3951, n. 4, [Online], 2018
- J. Hozman, T. Tichý, Numerical Pricing of Options under the Exponential Ornstein-Uhlenbeck Stochastic Volatility Model based on a DG Technique, AIP Conference Proceedings, Melville, American Institute of Physics, ISBN: 978-0-7354-1774-8, 8 pages, ISSN: 0094-243X, [Online], 2018
- J. Hozman, D. Černá, M. Holčapek, T. Tichý, R. Valášek, Review of modern numerical methods for a simple vanilla option pricing problem, Ekonomická revue – Central European Review of Economic Issues, Ostrava, VŠB TU Ostrava, p. 21-30, 10 pages, ISSN: 1212-3951, n. 1, [Online], 2018
- J. Hozman, M. Holčapek, T. Tichý, D. Černá, A. Kresta, R. Valášek, Robust Numerical Schemes for Pricing of Selected Options, Ostrava, VŠB-TU Ostrava, 1, ISBN: 978-80-248-4269-1, 162 pages, 2018
- J. Hozman, T. Tichý, A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model, AIP Conference Proceedings, Melville, 1, ISBN: 978-0-7354-1602-4, 7 pages, ISSN: 0094-243X, [Online], 2017
- J. Hozman, T. Tichý, A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility, AIP Conference Proceedings, Melville, 1, ISBN: 978-0-7354-1453-2, 7 pages, ISSN: 0094-243X, [Online], 2017
- T. Tichý, J. Hozman, M. Holčapek, A Note on Several Alternatives to Numerical Pricing of Options, 13th International Conference on Liberec Economic Forum, Liberec, Technical University of Liberec, ISBN: 978-80-7494-349-2, p. 381-389, 9 pages, [Online], 2017
- T. Tichý, M. Holčapek, J. Hozman, A. Kresta, Comparison of several alternatives to numerical pricing of options, FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III, Ostrava, VŠB - Technical University of Ostrava, ISBN: 978-80-248-4138-0, p. 851-856, 6 pages, ISSN: 2336-162X, [Online], 2017
- J. Hozman, T. Tichý, DG method for numerical pricing of multi-asset Asian options – A case of options with floating strike, Applications of Mathematics, Praha, Institute of Mathematics of the Academy of Sciences of the Czech Republic, 1, p. 171-195, 25 pages, ISSN: 0862-7940, n. 2, [Online], 2017
- J. Hozman, T. Tichý, DG method for the Hull-White option pricing model, FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III, Ostrava, VŠB - Technical University of Ostrava, ISBN: 978-80-248-4138-0, p. 320-327, 8 pages, ISSN: 2336-162X, [Online], 2017
- J. Hozman, T. Tichý, DG method for the numerical pricing of two-asset European-style Asian options with fixed strike, Applications of Mathematics, Praha, Institute of Mathematics of the Academy of Sciences of the Czech Republic, 1, p. 607-632, 26 pages, ISSN: 0862-7940, n. 6, [Online], 2017
- J. Hozman, J. Bradáč, J. Kovanda, DG solver for the simulation of simplified elastic wawes in two dimensional piecewise homogenous media, Neural Network World, Praha, 1, p. 373-389, 17 pages, ISSN: 1210-0552, n. 4, [Online], 2017
- J. Hozman, T. Tichý, On the Discontinuous Galerkin Method for Numerical Pricing of Basket Spread Options with the Average Strike, AIP Conference Proceedings, Melville, 1, ISBN: 978-0-7354-1538-6, 4 pages, ISSN: 0094-243X, [Online], 2017
- J. Hozman, T. Tichý, The valuation of discretely sampled European lookback options: a DG approach, 35TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2017), Hradec Králové, Univerzita Hradec Králové, ISBN: 978-80-7435-678-0, p. 242-247, 6 pages, [Online], 2017
- J. Hozman, T. Tichý, A discontinuous Galerkin method for pricing of two-asset options, 33RD INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2015), PLZEN, University of West Bohemia, 1, ISBN: 978-80-261-0539-8, p. 273-278, 6 pages, [Online], 2016
- J. Hozman, T. Tichý, D. Cvejnová, A discontinuous Galerkin method for two-dimensional PDE models of Asian options, AIP Conference Proceedings, Melville, 1, ISBN: 978-0-7354-1392-4, 4 pages, ISSN: 1551-7616, [Online], 2016
- J. Hozman, T. Tichý, DG Approach to Numerical Pricing of Local Volatility Basket Options, 34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016), Liberec, Technical University of Liberec, 1, ISBN: 978-80-7494-296-9, p. 307-312, 6 pages, [Online], 2016
- J. Hozman, T. Tichý, DG solver for one-factor and two-factor Black-Scholes models, MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II, Ostrava, VŠB - Technical University of Ostrava, ISBN: 978-80-248-3994-3, p. 323-332, 10 pages, ISSN: 2464-6970, [Online], 2016
- J. Hozman, T. Tichý, Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method, FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV, Ostrava, VSB TU Ostrava, 1, ISBN: 978-80-248-3865-6, p. 385-395, 11 pages, ISSN: 2336-162X, 2016
- J. Hozman, T. Tichý, Numerical valuation of options by DG method: a study of boundary condition formulation, International Conference on Service Systems and Service Management, New York, Institute of Electrical and Electronics Engineers Inc., 1, ISBN: 978-1-5090-2842-9, 5 pages, ISSN: 2161-1890, 2016
- J. Hozman, T. Tichý, On the impact of various formulations of the boundary condition within numerical option valuation by DG method, Filomat, Nis, University of Nis, p. 4253-4263, 11 pages, ISSN: 0354-5180, n. 15, [Online], 2016