Ales Cerny

Prof. Černý received his MSc in Mathematical Engineering from the Czech Technical University in 1994 and PhD in Economics from Warwick in 1998. Before joining Cass in 2005 he worked at Imperial College London. His main research agenda recognizes that financial markets are inherently incomplete.

Aleš has given a number of invited talks in Europe and U.S. on the subject of incomplete markets and published a textbook on the topic, now in its 2nd edition, with Princeton University Press. His research has appeared, among others, in The Annals of Probability, The Economic Journal, Journal of Derivatives, Mathematical Finance, Quantitative Finance and SIAM Journal on Control and Optimization. He is an associate editor for the Review of Derivatives Research.

Aleš has consulted for government organizations in UK and Japan in the area of optimal lifecycle asset allocation with particular focus on pension and real estate investment.

Qualifications

• BSc in Mathematical Engineering, Czech Technical University in Prague, Prague, Czech Republic
• MSc in Mathematical Engineering, Czech Technical University in Prague, Prague, Czech Republic
• PhD in Economics, University of Warwick, Coventry, United Kingdom

Visiting Appointments

• Visiting Professor, Comenius University Bratislava, Sep 2010 – Jan 2011
• Visiting Researcher, Isaac Newton Institute of Mathematical Sciences, Cambridge, Feb – Mar 2005
• Visiting Researcher, Dr R. Flood, Apr 1999

Languages

Czech, German, Italian, Russian and Slovak.

Expertise

Primary Topics

• Asset Pricing
• Derivatives
• Financial Economics
• Futures & Options
• Mathematical & Quantitative Methods
• Mathematical Finance
• Portfolio Choice
• Risk

## Research Topics

Mean-variance hedging

Theoretical and practical implementation of optimal hedging strategies with applications to exotic derivatives

Optimal hedging with higher moments

Estimation procedure taking into account skewness and kurtosis of spot and futures commodity data series

Books (2)

• Cerny, A. (2009). Mathematical Techniques in Finance: Tools for Incomplete Markets. Princeton: Princeton University Press. ISBN 978-0-691-14121-3.
• Cerny, A. (2004). Mathematical Techniques in Finance: Tools for Incomplete Markets,. Princeton University Press. ISBN 0-691-08807-1.

Chapters (4)

• Černý, A. (2016). Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model. In Kallsen, J. and Papapantoleon, A. (Eds.), Advanced Modeling in Mathematical Finance (pp. 257–275). Springer. ISBN 978-3-319-45873-1.
• Cerny, A. (2010). Fourier transform. In Rama Cont, (Ed.), Encyclopedia of Quantitative Finance (pp. 782–786). Chichester, UK: Wiley. ISBN 978-0-470-05756-8.
• Miles, D.K. and Cerny, A. (2004). Alternative Pension Reform Strategies for Japan. In Toshiaki Tachibanaki, (Ed.), The Economics of Social Security in Japan (pp. 75–135). Edward Elgar. ISBN 1-84376-682-5.
• Cerny, A. and Hodges, S.D. (2002). The Theory of Good-Deal Pricing in Financial Markets. In Geman, H., Madan, D., Pliska, S. and Vorst, T. (Eds.), Mathematical Finance -- Bachelier Congress 2000 (Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29-July 1, 2000) (pp. 175–202). Springer Verlag. ISBN 978-3-642-08729-5.

Journal Articles (22)

• Brunovský, P., Černý, A. and Komadel, J. (2018). Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions. European Journal of Operational Research, 264(3), pp. 1159–1171. doi:10.1016/j.ejor.2017.07.054.
• Brunovský, P., Černý, A. and Winkler, M. (2017). Erratum to: A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics (Applied Mathematics & Optimization, (2013), 68, 2, (255-274), 10.1007/s00245-013-9205-5). Applied Mathematics and Optimization, 75(1), p. 149. doi:10.1007/s00245-016-9398-5.
• Tsanakas, A., Wüthrich, M.V. and Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301–322. doi:10.1017/asb.2013.18.
• Brunovský, P., Černý, A. and Winkler, M. (2013). A singular differential equation stemming from an optimal control problem in financial economics. Applied Mathematics and Optimization, 68(2), pp. 255–274. doi:10.1007/s00245-013-9205-5.
• Černý, A., Maccheroni, F., Marinacci, M. and Rustichini, A. (2012). On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility. Journal of Mathematical Economics, 48(6), pp. 386–395. doi:10.1016/j.jmateco.2012.08.006.
• Biagini, S. and Černý, A. (2011). Admissible strategies in semimartingale portfolio selection. SIAM Journal on Control and Optimization, 49(1), pp. 42–72. doi:10.1137/090774458.
• Černý, A. and Kyriakou, I. (2011). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381–389. doi:10.1080/14697680903397667.
• Brooks, C., Černý, A. and Miffre, J. (2011). Optimal hedging with higher moments. Journal of Futures Markets .
• Černý, A., Miles, D. and Schmidt, L. (2010). The impact of changing demographics and pensions on the demand for housing and financial assets. Journal of Pension Economics and Finance, 9(3), pp. 393–420. doi:10.1017/S1474747209990047.
• Černý, A. and Kallsen, J. (2009). Hedging by sequential regressions revisited. Mathematical Finance, 19(4), pp. 591–617. doi:10.1111/j.1467-9965.2009.00381.x.
• Černý, A. (2009). Characterization of the oblique projector U(VU)†V with application to constrained least squares. Linear Algebra and its Applications, 431(9), pp. 1564–1570. doi:10.1016/j.laa.2009.05.025.
• Bank, P. and Černý, A. (2009). Preface to a special issue on mean-variance hedging. Review of Derivatives Research, 12, pp. 01–Feb.
• Černý, A. and Kallsen, J. (2008). Mean-variance hedging and optimal investment in Heston's model with correlation. Mathematical Finance, 18(3), pp. 473–492. doi:10.1111/j.1467-9965.2008.00342.x.
• Černý, A. and Kallsen, J. (2008). A counterexample concerning the variance-optimal martingale measure. Mathematical Finance, 18(2), pp. 305–316. doi:10.1111/j.1467-9965.2007.00334.x.
• Černý, A. and Kallsen, J. (2007). On the structure of general mean-variance hedging strategies. Annals of Probability, 35(4), pp. 1479–1531. doi:10.1214/009117906000000872.
• Černý, A. (2007). Optimal continuous-time hedging with leptokurtic returns. Mathematical Finance, 17(2), pp. 175–203. doi:10.1111/j.1467-9965.2007.00299.x.
• Miles, D. and Černý, A. (2006). Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets. The Economic Journal, 116(511), pp. 529–557. doi:10.1111/j.1468-0297.2006.01091.x.
• Černý, A. (2004). Dynamic programming and mean‐variance hedging in discrete time. Applied Mathematical Finance, 11(1), pp. 1–25. doi:10.1080/1350486042000196164.
• Černý, A. (2004). Introduction to Fast Fourier Transform in Finance. The Journal of Derivatives, 12(1), pp. 73–88. doi:10.3905/jod.2004.434538.
• Černý, A. (2003). Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. European Finance Review (now Review of Finance), 7(2), pp. 191–233. doi:10.1023/A:1024568429527.
• Černý, A. (1999). Currency crises: introduction of spot speculators. International Journal of Finance & Economics, 4(1), pp. 75–89. doi:10.1002/(SICI)1099-1158(199901)4:13.0.CO;2-J.
• Cerný, A. and Schmitt, N. (1995). Antidumping Constraints and Trade Elimination. Swiss Journal of Economics and Statistics, 131(III), pp. 441–452.

Editorial Activities (21)

• Review of Derivatives Research, Associate Editor, 2007 – present.
• Finance and Stochastics (2), Referee, 2000 – present.
• International Journal of Theoretical and Applied Finance (2), Referee, 2000 – present.
• Journal of Computational and Applied Mathematics, Referee, 2000 – present.
• Journal of Computational Finance (2), Referee, 2000 – present.
• Journal of Finance, Referee, 2000 – present.
• Journal of Financial Econometrics, Referee, 2000 – present.
• Mathematical Finance (12), Referee, 2000 – present.
• Mathematics of Operations Research (3), Referee, 2000 – present.
• Operations Research, Referee, 2000 – present.
• Princeton University Press (2), Referee, 2000 – present.
• Quantitative Finance (3), Refereee, 2000 – present.
• Review of Derivatives Research (2), Referee, 2000 – present.
• SIAM Journal on Financial Mathematics, Referee, 2000 – present.
• Statistics and Decisions, Referee, 2000 – present.
• Annals of Operations Research, Referee, 2000 – present.
• Applied Mathematical Finance (3), Referee, 2000 – present.
• Automatica, Referee, 2000 – present.
• Bernoulli, Referee, 2000 – present.
• Economic Journal, Referee, 2000 – present.
• Manchester School, Referee, 1998 – present.