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RNDr. Mgr. Jiří Hozman, Ph.D.

RNDr. Mgr. Jiří Hozman, Ph.D. QR VCARD
LinePositionDepartmentOffice number
+420 48535 2826EmployeeDepartment of Mathematics and Didactics of MathematicsG04070

Publications

  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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
  11. 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
  12. 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
  13. 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
  14. 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
  15. 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
  16. 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
  17. 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
  18. 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
  19. 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
  20. 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
  21. 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
  22. 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