Department of Finance, Faculty of Economics
VŠB-Technical University Ostrava
http://www.ekf.vsb.cz/oblasti/katedry/katedry/katedra-financi
Publications in journals with impact factor (see more publications)
[1] 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 ]
[2] 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]
[3] 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]
[1] Tichý, T. Lattice models – Pricing and Hedging at (In)complete Markets. VŠB-TU Ostrava, 2008. ISBN 978-80-248-1703-3.
[2] Tichý, T. Dependency models for a small FX rate sensitive portfolio. In: Stavárek, D. and Polouček, S. (ed) Consequences of the European Monetary Intergration on Financial Markets. Newcastle: Cambridge Scholars Publishing, 2008. ISBN 978-1-4438-0068-6.
[3] Tichý, T. Finanční deriváty – typologie finančních derivátů, podkladové procesy, oceňovací modely, VŠB-TU Ostrava, Ostrava 2006. ISBN 80-248-1180-4.
[4] Zmeškal, Z., Dluhošová, D., Tichý T. Financial models, VŠB-TU Ostrava, Ostrava 2004. ISBN 80-248-0754-8.
[5] Zmeškal, Z., Dluhošová, D., Tichý T. Finanční modely, Ekopress, Praha 2004. ISBN 80-86119-87-4.
[6] Dluhošová, D. et al. New Approaches and Financial Intruments in Financial Decision-Making – Nové přístupy a finanční nástroje ve finančním rozhodování, VŠB-TU Ostrava, Ostrava 2004. ISBN 80-248-0669-X.
[7] Zmeškal, Z., Čulík, M., Tichý, T. Finanční rozhodování za rizika. Sbírka řešených příkladů, VŠB-TU Ostrava, Ostrava 2005. ISBN 80-248-0840-4.
[8] Zmeškal, Z. a kol. Finanční modely, VŠB-TU Ostrava, Ostrava 2002. ISBN 80-248-0182-5.
[9] Tichý, T. Cashflow hedging possibilities of small hydroelectric power plant usány weather derivatives. Ekonomicko-manažerské spektrum 2 (1), (pp. 69-78). University of Žilina, 2008. ISSN 1337-0839.
[10] Tichý, T., Valecký, J. The Ability of Tracking Error Metod to Improve an Index Option Replication. Journal of Information, Control and Management Systems 6 (1), (pp. 113-121). University of Žilina, 2008. ISSN 1336-1716.
[11] Tichý, T. Risk management of small hydroelectric power plant. ECON 07 (selected research papers). Ostrava 2007. (pp. 227-234) ISSN 0862-7908.
[12] Tichý, T. Posouzení základních metod hedgingu měnového rizika nefinančních institucí. Ekonomická revue 10 (1), 24-41. VŠB-TU Ostrava 2007. ISSN 1212-3951.
[13] Tichý, T. Modeling the electricity spot price at the Czech and Austrian markets by extended VG model. Journal of Information, Control and Management Systems 4 (2/2), (pp. 193-202). University of Žilina, 2006. ISSN 1336-1716.
[14] Tichý, T. Nonperfect option replication methods. ECON 06 (selected research papers). Ostrava 2006. (pp. 229-236) ISSN 0862-7908.
[15] Tichý, T. Výkonnost replikace digitálních opcí při neúplném modelu. Ekonomická revue 8 (2), 34-49. VŠB-TU Ostrava 2005. ISSN 1212-3951.
[16] Tichý, T. The binomial model of option pricing and imprecisely stated volatility. ECON 05 (selected research papers). Ostrava 2005. ISSN 0862-7908.
[17] Tichý, T. An Alternative Way to Price Discretely Sampled Asian Options. ECON 04 (selected research papers). Ostrava 2004. ISSN 0862-7908.
[18] Lichnovský. P., Tichý, T. The effect of Non-Gaussian Returns on Pricing of Discretely Sampled Asian Options. ECON 03 (selected research papers). Ostrava 2003. ISSN 0862-7908.
[19] Tichý, T. Hedging by Discretely Adjusted Portfolio: An Example of Protective Put on Commodity Futures. ECON 02 (selected research papers). Ostrava 2002. ISSN 0862-7908.
Selected international conferences and talks given abroad
[20] Tichý, T. The portfolio risk of financial institutions – multidimensional Lévy processes. ABEAI (Proceedings of the Fifth Annual Conference of the Applied Business and Entrepreneurship Association International), Portland, USA, 2008.
[21] Tichý, T. Currency hedging strategies based on shortfall acceptation. EWGFM XLII Euro Working Group on Financial Modelling, London, UK, September 4-6, 2008.
[22] Tichý, T. The Portfolio Risk Modeling with Lévy Processes. In: 8th MCQMC, Montreal, Canada, July 6-11, 2008.
[23] Tichý, T. Currency risk portfolio modeling with copula approach. EWGFM XLI Euro Working Group on Financial Modelling, Stockholm, Sweden, May 15-17, 2008.
[24] Tichý, T. A Study on the Efficiency of Dynamic Option Replication Methods. ABEAI (Proceedings of the Fourth Annual Conference of the Applied Business and Entrepreneurship Association International), Portland, USA, 2007.
[25] Tichý, T. Option pricing methodology with imprecise volatility – the simulation approach. EURO XXII, 22nd European Conference on Operational Research, Prague, Czech Republic, July 7-11, 2007.
[26] Tichý, T. Option replication and hedging with imprecise volatility in discrete time. EWGFM XL Euro Working Group on Financial Modelling, Roterdam, the Netherlands, May10-12, 2007.
[27] Tichý, T. Applying simulation in finance using imprecise input data. EWGFM XXXIX Euro Working Group on Financial Modelling, Sophia-Antipolis, France November 16-17, 2006.
[28] Tichý, T. Fuzzy Monte Carlo Simulation in Option Pricing. In: 7th MCQMC, Ulm, Germany, August 2006.
[29] Tichý, T. Option Pricing within Lattice Models with Imprecise Volatility. EWGFM XXXVIII Euro Working Group on Financial Modelling, Jakarta/Yogyakarta, Indonesia May 2006.
[30] T. Tichý. The effect of imprecisely stated volatility on binomial option pricing. Debt, Money and Finance in Integrated Global Markets: XIV International “Tor Vergata” Conference on Banking and Finance, University of Rome "Tor Vergata", Faculty of Economics, 2005.
[31] Tichý, T. Simulating the variance gamma process to price PD options. EWGFM XXXVI Euro Working Group on Financial Modelling, Brescia, Italy MAY 5-7, 2005.
[32] Tichý, T. Some results on barrier options prices under variance gamma. In: Abstracts of the International Conference MC2QMC, INRIA, Juan-les-Pins, France, 2004.