Tomáš Tichý


Department of Finance, Faculty of Economics

VŠB-Technical University Ostrava


  Short bio Research interest Research projects Publications  


Short bio

Born 1978 in Opava. MSc (2001) and PhD (2004) obtained in Finance from VŠB-Technical University Ostrava. Habilitated in Finance in 2012. Member of Department of Finance since 2001. In 2008 invited to serve (until 2014) as a senior editor of Finance a ÚvěrCzech Journal of Economics and Finance (, at that time a journal with the highest impact factor of all economics/finance journals in the region. Since 2009 Editor-in-Chief of ER-CEREI (, a journal published by Faculty of Economics, VŠB-TUO. Founder and Editor-in-Chief of SAEI (, a series of scientific monographs published by Faculty of Economics, VŠB-TUO.


Research interest

The subject of interest concern all issues of financial modeling, ie random evolution of financial quantities, such as stock prices, interest rates, FX rates, commodities; pricing, hedging, and replication of financial derivatives; portfolio modeling, including the application of multidimensional Lévy processes; Monte Carlo simulation; risk modeling of financial institutions, including the concepts of regulatory as well as economic capital in financial institutions.


Research projects


2016-2018 standard research project of The Czech Science Foundation GAČR 16-09541S Robust numerical schemes for pricing of selected options under various market conditions. The overall allocated funds 6.0 mil CZK (1.8 mil CZK for VSB-TUO).


2015-2017 standard research project of The Czech Science Foundation GAČR 15-23699S Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems (co-investigator). The overall allocated funds 3.7 mil CZK.


2013-2017 standard research project of The Czech Science Foundation GAČR 13-13142S Verification of suitability of particular Lévy models for selected issues of financial modeling. The overall allocated funds 4.5 mil CZK.


2008-2010 standard research project of The Czech Science Foundation GAČR 402/08/1237 Application of complex Lévy processes in modeling of financial asset prices. The overall allocated funds 2.8 mil CZK.

2005-2007 postdoctoral research project of The Czech Science Foundation GAČR 402/05/P085 Application of replication methods in pricing and hedging of financial derivatives under incomplete markets. The results of the project were evaluated as outstanding by GAČR committee.


Besides that, a member of research teams of several research projects funded by MSMT (MSM 275100015, MSM 6198910007), GAČR (GA 402/04/135; GA 402/03/0555; GA 402/02/1046), ESF (OP VpK, OP VaVpI), SGS projects of internal grant agency of VSB-TUO, and the projects of CZ-SK cooperation.


Publications in journals with impact factor (see more publications)


[1]         Ortobelli, S., Cassader, M., Vitali, S., Tichý, T. Portfolio selection strategy for the fixed income markets with immunization on average. Annals of Operations Research  180, accepted in 2016. ISSN 0254-5330. [List of bonds as xlsx ]

[15]         Holčapek, M., Tichý, T. A smoothing filter based on fuzzy transform. Fuzzy Sets and Systems  180, č. 1 (pp. 69-97), 2011. ISSN 0165-0114.

[16]         Cielepová, G., Tichý, T. The implication of the security type for efficient risk measuring. Actual Problems of Economics  2, č. 12 (pp. 144-151), 2011. ISSN 1993-6788.

[17]         Kresta, A., Petrová, I., Tichý, T. Innovations at financial markets: How to model higher moments of portfolio distribution. Actual Problems of Economics  1, č. 12 (pp. 59-71), 2010. ISSN 1993-6788.

[18]         Tichý, T. Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů. Politická ekonomie  58, č. 4 (pp. 504-521), 2010. ISSN 0032-3233.

[19]         Holčapek, M., Tichý, T. A probability density function estimation using f-transform. Kybernetika  46, č. 3 (pp. 447-458), 2010. ISSN 0023-5954.

[20]         Tichý, T. Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování. Politická ekonomie  56, č. 6 (pp. 772-794), 2008. ISSN 0032-3233. [working paper] [Mathematica notebook as nb] [Mathematica notebook as html ]

[21]         Tichý, T. Model Dependency of the Digital Option Replication: Replication under Incomplete Model. Finance a úvěr – Czech Journal of Economics and Finance 56, č. 7-8 (pp. 361-379), 2006. ISSN 0015-1920. [pdf]

[22]         Tichý, T. Aplikace replikačních metod při ocenění a zajištění bariérových opcí. Finance a Úvěr – Czech Journal of Economics and Finance 54, č. 7-8 (pp. 305-324), 2004. ISSN 0015-1920. [pdf]