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Article

Halická, M., Trnovská, M. & Černý, A. ORCID: 0000-0001-5583-6516 (2025). On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment models. European Journal of Operational Research, 320(1), pp. 175-187. doi: 10.1016/j.ejor.2024.08.009

Černý, A. ORCID: 0000-0001-5583-6516 & Czichowsky, C. (2024). The law of one price in quadratic hedging and mean-variance portfolio selection. Finance and Stochastics,

Halická, M., Trnovská, M. & Černý, A. ORCID: 0000-0001-5583-6516 (2024). A unified approach to radial, hyperbolic, and directional efficiency measurement in Data Envelopment Analysis. European Journal of Operational Research, 312(1), pp. 298-314. doi: 10.1016/j.ejor.2023.06.039

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2023). Simplified calculus for semimartingales: Multiplicative compensators and changes of measure. Stochastic Processes and their Applications, 161, pp. 572-602. doi: 10.1016/j.spa.2023.04.010

Černý, A. ORCID: 0000-0001-5583-6516, Czichowsky, C. & Kallsen, J. (2023). Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. Mathematics of Operations Research, 49(2), pp. 752-781. doi: 10.1287/moor.2023.1374

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2022). Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability, 27, pp. 1-32. doi: 10.1214/21-EJP729

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2021). Pure-jump semimartingales. Bernoulli: a journal of mathematical statistics and probability, 27(4), pp. 2624-2648. doi: 10.3150/21-bej1325

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2020). Simplified stochastics calculus with applications in Economics and Finance. European Journal of Operational Research, 293(2), pp. 547-560. doi: 10.1016/j.ejor.2020.12.037

Černý, A. ORCID: 0000-0001-5583-6516 & Melicherčík, I. (2020). Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. European Journal of Operational Research, 284(2), pp. 769-778. doi: 10.1016/j.ejor.2019.12.032

Černý, A. ORCID: 0000-0001-5583-6516 (2020). Semimartingale theory of monotone mean--variance portfolio allocation. Mathematical Finance, 30(3), pp. 1168-1178. doi: 10.1111/mafi.12241

Biagini, S. & Černý, A. ORCID: 0000-0001-5583-6516 (2019). Convex duality and Orlicz spaces in expected utility maximization. Mathematical Finance, 30(1), pp. 85-127. doi: 10.1111/mafi.12209

Brunovsky, P., Černý, A. & 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

Brunovsky, P., Černý, A. & Winkler, M. (2017). Erratum to: A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics and Optimization, 75(1), p. 149. doi: 10.1007/s00245-016-9398-5

Brunovsky, P., Černý, A. & Winkler, M. (2013). A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics & Optimization, 68(2), pp. 255-274. doi: 10.1007/s00245-013-9205-5

Tsanakas, A., Wuethrich, M. V. & Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301-322. doi: 10.1017/asb.2013.18

Biagini, S. & 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. & Kyriakou, I. (2010). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381-389. doi: 10.1080/14697680903397667

Černý, A. (2009). Characterization of the oblique projector U(VU)V-dagger with application to constrained least squares. Linear Algebra and its Applications, 431(9), pp. 1564-1570. doi: 10.1016/j.laa.2009.05.025

Černý, A. & 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. & 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. & Kallsen, J. (2008). A counterexample concerning the variance-optimal martingalle measure. Mathematical Finance, 18(2), pp. 305-316. doi: 10.1111/j.1467-9965.2007.00334.x

Černý, A. & 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. & Černý, A. (2006). Risk, return and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets. 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. 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. Review of Finance, 7(2), pp. 191-233. doi: 10.1023/a:1024568429527

Conference or Workshop Item

Černý, A. (2016). Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model. In: Kallsen, J & Papapantoleon, A (Eds.), UNSPECIFIED (pp. 257-275). Springer. ISBN 3319458736 doi: 10.1007/978-3-319-45875-5_12

Working Paper

Černý, A. & Ruf, J. (2019). Pure-jump semimartingales. City, University of London.

Černý, A. & Melicherčík, I. (2019). Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. City, University of London.

Černý, A. & Ruf, J. Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. .