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RNDr. Mgr. Jiří Hozman, Ph.D.

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

Publications

  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. J. Hozman, T. Tichý, The discontinuous Galerkin method for discretely observed Asian options, Mathematical Methods in the Applied Sciences, Hoboken, John Wiley & Sons, Ltd., p. 7726-7746, 21 pages, ISSN: 0170-4214, n. 13, [Online], 2020
  8. 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
  9. 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
  10. 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
  11. 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
  12. 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
  13. 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
  14. 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
  15. 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
  16. 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
  17. 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
  18. 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
  19. 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
  20. 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
  21. 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
  22. 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
  23. 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
  24. 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
  25. 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
  26. 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
  27. 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
  28. 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
  29. 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
  30. 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
  31. 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
  32. 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
  33. 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
  34. 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