## Contact

- +44 (0)20 7040 5173
- +44 (0)20 7040 5173
- ales.cerny.1@city.ac.uk

## Postal address

106 Bunhill Row

London

EC1Y 8TZ

United Kingdom

## About

### Overview

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

### Expertise

#### Primary topics

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

## Research

### 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

## Research students

### Ján Komadel

**Attendance: **Sep 2014 – present, full-time

**Thesis title: **Dynamic optimization in financial mathematics

**Role: **1st Supervisor

**Further information: **Comenius University Bratislava

### Xuecan CUI

**Attendance: **Sep 2013 – Sep 2017, full-time

**Thesis title: **Essays on Asset Pricing Models with Jump Processes

**Role: **External Supervisor

**Further information: **University of Luxemburg

### Juraj Špilda

**Attendance: **Oct 2011 – Nov 2017, full-time

**Thesis title: **On sources of risk in quadratic hedging and incomplete markets

**Role: **1st Supervisor

### Nikolaos Karouzakis

**Attendance: **Oct 2008 – Oct 2013, full-time

**Thesis title: **Three Essays on the Dynamic Evolution of Market Interest Rates and the Valuation of Interest Rate Derivatives

**Role: **2nd Supervisor

### Ka Kei Chan

**Attendance: **Oct 2007 – Jun 2012, full-time

**Thesis title: **Theoretical essays on bank risk-taking and financial stability

**Role: **2nd Supervisor

### Ioannis Kyriakou

**Attendance: **Oct 2006 – Nov 2010, full-time

**Thesis title: **Efficient valuation of exotic derivatives with path-dependence and early-exercise features

**Role: **1st Supervisor

### Lubomir Schmidt

**Attendance: **Oct 2002 – Oct 2006, full-time

**Thesis title: **Optimal life-cycle consumption and asset allocation with applications to pension finance and public economics

**Role: **1st Supervisor

### Mariam Harfush-Pardo

**Attendance: **Oct 2001 – Sep 2006, full-time

**Thesis title: **An investigation on portfolio choice and wealth accumulation in fully funded pension systems with a guaranteed minimum benefit

**Role: **2nd Supervisor

### Yung-Chih Wang

**Attendance: **Oct 2001 – Oct 2004, full-time

**Thesis title: **Topics in Investment Appraisal and Real Options

**Role: **1st Supervisor

## Publications

### 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 (24)

- Černý, A. (2020).
**Semimartingale theory of monotone mean--variance portfolio allocation.***Mathematical Finance, to appear*. - Biagini, S. and Černý, A. (2019).
**Convex duality and Orlicz spaces in expected utility maximization.***Mathematical Finance*. doi:10.1111/mafi.12209. - 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. (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. - 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. - Bank, P. and Černý, A. (2009).
**Preface to a special issue on mean-variance hedging.***Review of Derivatives Research*,*12*, p. 1. - 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).
**Introduction to Fast Fourier Transform in Finance.***The Journal of Derivatives*,*12*(1), pp. 73–88. doi:10.3905/jod.2004.434538. - 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. (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.

### Working papers (3)

- Černý, A. and Ruf, J. (2019).
**Pure-jump semimartingales.** - Černý, A., Denkl, S. and Kallsen, J.
**Hedging in Lévy Models and the Time Step Equivalent of Jumps.** - Černý, A. and Melicherčík, I.
**Simple Explicit Formula for Near-Optimal Stochastic Lifestyling.**

## Professional activities

### Collaboration (academic)

**Partner**of**The Economics of Social Security in Japan**project (Jun 2000 – Jun 2004)

Sponsored by Economic Research Institute, Japan

### Editorial activity (21)

**Review of Derivatives Research**, Associate Editor, 2007 – 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.**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.**Manchester School**, Referee, 1998 – present.

### Events/conferences (49)

**LUISS Guido Carli, Rome.**(Seminar) (2017). Invited speaker.

Paper: Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

Author: Brunovský, P.

Co-authors: Černý, A.; Komadel, J**Department of Mathematics, University of Sussex.**(Seminar) (2013). Invited speaker.

Paper: Admissible Strategies in Semimartingale Portfolio Selection

Author: Cerny A.

Co-authors: S. Biagini**UK Mathematical Finance Workshop, King's College London.**(Workshop) (2013). Invited speaker.

Paper: Good-Deal Prices for a Log Contract

Author: Cerny A.**UK Mathematical Finance Workshop, King's College London.**(Workshop) (2013). Invited speaker.

Paper: Good-Deal Prices for a Log Contract

Author: Cerny A.**6th Summer School in Financial Mathematics.**(Workshop) (2013).

Paper: Computation of Optimal Monotone Mean-Variance Portfolios Via Truncated Quadratic Utility

Author: Cerny A.

Co-authors: F. Maccheroni, M. Marinacci and A. Rustichini**Oberseminar: Finanzmathematik und Numerik, Christian-Albrechts Universität, Kiel.**(Seminar) (2012). Invited speaker.

Author: F. Maccheroni, M. Marinacci and A. Rustichini

Co-authors: F. Maccheroni, M. Marinacci and A. Rustichini**Department of Mathematics, ETH Zurich.**(Seminar) (2012). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks and J. Miffre**Department of Economics, University of Pisa.**(Seminar) (2012). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks and J. Miffre**Comenius University, Bratislava.**(Seminar) (2012). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks and J. Miffre**CERGE-EI, Charles University, Prague.**(Seminar) (2012). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks and J. Miffre**Nottingham Business School.**(Seminar) (2011). Invited speaker.

Paper: Optimal Hedging With Higher Moments

Author: Černý A.

Co-authors: C. Brooks and J. Miffre**Mathematics Department, University of Murcia.**(Seminar) (2011). Invited speaker.

Paper: Admissible Strategies in Semimartingale Portfolio Selection

Author: Černý A.

Co-authors: S. Biagini**ICMA Reading, Henley Business School.**(Seminar) (2011). Invited speaker.

Paper: Recent Advances in Quadratic Hedging

Author: Černý A.

Co-authors: J. Kallsen**Comenius University Bratislava, Slovakia.**(Public lecture) (2011).

Paper: Fourier Transform and Its Applications in Finance

Author: Černý A.**Hedging the unhedgeable, Cass (4/2010-5/2010).**(Conference) Cass (2010). Organising Committee.**6th World Congress of Bachelier Finance Society, Toronto.**(Conference) (2010).

Paper: Admissible Strategies in Semimartingale Portfolio Selection

Author: Černý A.

Co-authors: S. Biagini**NCRG, Aston University, Birmingham.**(Seminar) (2010). Invited speaker.

Paper: Performance Measurement and Mean-Variance Hedging

Author: Černý A.**Comenius University, Bratislava, Slovakia.**(Seminar) (2010). Invited speaker.

Paper: Optimal Liquidation of Large Currency Position

Author: Cerny A.**Comenius University, Bratislava, Slovakia.**(Seminar) (2010). Invited speaker.

Paper: Admissible Strategies in Semimartingale Portfolio Selection

Author: Černý A.

Co-authors: S. Biagini**AnStaP10, Conference in Honour of W. Schachermayer, Vienna.**(Conference) (2010).

Paper: Admissible Strategies in Semimartingale Portfolio Selection

Author: Admissible Strategies in Semimartingale Portfolio Selection

Co-authors: S. Biagini**University of Konstanz, Germany.**(Seminar) (2009). Invited speaker.

Paper: An Improved Convolution Algorithm for Discretely Sampled Asian Options

Author: Cerny A.

Co-authors: I. Kyriakou**Oberseminar: Finanzmathematik und Numerik, Christian-Albrechts-Universität zu Kiel.**(Seminar) (2009). Invited speaker.

Paper: An Improved Convolution Algorithm for Discretely Sampled Asian Options

Author: Cerny A.

Co-authors: I. Kyriakou**Energy & Finance Seminar, Universität Duisburg Essen, Germany.**(Seminar) (2009). Invited speaker.

Paper: Performance Measurement and Mean-Variance Hedging

Author: Cerny A.**Economics Department, City University London.**(Seminar) (2009). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks; J. Miffre**Summer School Bologna, Frontiers of Financial Mathematics.**(Workshop) (2009). Invited speaker.

Paper: Performance Measurement, Good-Deal Bounds and Mean-Variance Hedging with Liquidity Effects

Author: Cerny A.**University of Piraeus.**(Seminar) (2008). Invited speaker.

Paper: Optimal Hedging with Higher Moments

Author: Cerny A**TU Vienna.**(Seminar) (2008). Invited speaker.

Paper: Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Author: Cerny A.

Co-authors: J. Kallsen**5th World Congress of Bachelier Finance Society, London.**(Conference) London (2008).

Paper: Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Author: Cerny A.

Co-authors: J. Kallsen**Stanford University, Palo Alto, California.**(Seminar) (2007). Invited speaker.

Paper: Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Author: Cerny A

Co-authors: J. Kallsen**EBRD HQ, London.**(Seminar) (2007). Invited speaker.

Paper: Risk, Return and Portfolio Allocation under Alternative Pension Systems in Ageing Japan

Author: Cerny A.

Co-authors: D.K. Miles and L. Schmidt**Bradford University Management School.**(Seminar) (2007). Invited speaker.

Paper: Fast Fourier Transform in Finance

Author: Cerny A**Workshop on Quantitative Finance, Kiel, Germany.**(Workshop) (2007). Invited speaker.

Paper: Optimal hedging of barrier options in an exponential Levy model

Author: Cerny A.**Charles University, Prague.**(Workshop) (2007).

Paper: On the Structure of General Mean-Variance Hedging Strategies

Author: Cerny A

Co-authors: J. Kallsen**EFA Annual Meeting, Ljubljana.**(Conference) (2007).

Paper: Optimal Hedging with Higher Moments

Author: Cerny A.

Co-authors: C. Brooks and J. Miffre**University of Bath.**(Seminar) (2006). Invited speaker.

Paper: Martingale Properties of Good-Deal Price Bounds

Author: Cerny A.**LMU Munich.**(Seminar) (2006). Invited speaker.

Paper: Martingale Properties of Good-Deal Price Bounds

Author: Cerny A.**Herriot-Watt University, Edinburgh.**(Seminar) (2006). Invited speaker.

Paper: Martingale Properties of Good-Deal Price Bounds

Author: Cerny A.**HEC Montreal.**(Seminar) (2006). Invited speaker.

Paper: Performance of Dynamic Hedging Strategies

Author: Cerny A.**Faculty of Actuarial Science and Insurance, Cass.**(Seminar) City University London (2006). Invited speaker.

Paper: Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Author: Cerny A.

Co-authors: J. Kallsen**Department of Statistics, LSE.**(Seminar) (2006). Invited speaker.

Paper: Performance of Option Hedging Strategies

Author: Cerny A.**4th World Congress of Bachelier Finance Society, Tokyo.**(Conference) (2006).

Paper: Optimal Continuous-Time Hedging with Leptokurtic Returns

Author: Cerny A.**Ente Luigi Einaudi, Rome.**(Seminar) (2005). Invited speaker.

Paper: Performance of Option Hedging Strategies

Author: Cerny A.**Courant Institute of Mathematical Sciences, New York.**(Seminar) (2005). Invited speaker.

Paper: On The Structure of General Mean-Variance Hedging Strategies

Author: Cerny A.

Co-authors: J. Kallsen**Columbia University, New York.**(Seminar) (2005). Invited speaker.

Paper: On The Structure of General Mean-Variance Hedging Strategies

Author: Cerny A.

Co-authors: J. Kallsen**Workshop on the Interface between Quantitative Finance and Insurance, Edinburgh.**(Workshop) (2005). Invited speaker.

Paper: Performance of Option Hedging Strategies

Author: Cerny A.**Developments in Quantitative Finance, Cambridge.**(Workshop) Isaac Newton Institute (2005). Invited speaker.

Paper: On The Structure of General Mean-Variance Hedging Strategies

Author: Cerny A.

Co-authors: J. Kallsen**Developments in Quantitative Finance, Cambridge.**(Workshop) Isaac Newton Institute (2005). Invited speaker.

Paper: Martingale Properties of Good-Deal Price Bounds

Author: Cerny A.**European Science Foundation Exploratory Workshop on Dynamic Portfolio Choice, Asset Pricing and Mathematical Finance.**(Workshop) (2004). Invited speaker.

Paper: The Risk of Optimal, Continuously Rebalanced Hedging Strategies

Author: Cerny A.**3rd Congress of Bachelier Finance Society, Chicago.**(Conference) (2004).

Paper: The Risk of Optimal Continuously Rebalanced Hedging Strategies

Author: Cerny A.

### Media appearances (6)

- (2011)
*BBC One*(television). - (2011)
*BBC Radio 4*(radio). - (2011)
*BBC News 24*(television). - (2011)
*BBC World Service Radio*(radio). **Former Blair advisor to speak at first Offshore Online Forum.**(2007)*www.intinv.com*(website).**ICAEW Diploma in Charity Accounting.**(2007)*Charity Finance*.