Books  
[2]
Černý, A. (2009), Mathematical Techniques in Finance: Tools for Incomplete Markets, 2nd ed., Princeton University Press
textbook website preface table of contents  
[1]
Černý, A. (2004), Mathematical Techniques in Finance: Tools for Incomplete Markets, Princeton University Press
textbook website preface table of contents  
Peer reviewed publications
[21] P. Brunovský, A. Černý and J. Komadel (2018), Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions, European Journal of Operational Research, 264(3), 1159-1171
[doi] [pdf]
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[20] A. Tsanakas, M.V. Wüthrich and A. Černý (2013) Market Value Margin via Mean-Variance Hedging, ASTIN Bulletin, 43(3), 301-322
[doi] [pdf]
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[19] P. Brunovský, A. Černý and M. Winkler (2013), A Singular Differential Equation Stemming from an Optimization Problem in Financial Economics, Applied Mathematics and Optimization, 68(2), 255-274
[doi] [pdf]
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[18] A. Černý, F. Maccheroni, M. Marinacci and A. Rustichini (2012), On the Computation of Optimal Monotone Mean-Variance Portfolios Via Truncated Quadratic Utility, Journal of Mathematical Economics 48(6), 386-395
[doi] [pdf]
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[17] Brooks, C., A. Černý and J. Miffre (2012), Optimal Hedging With Higher Moments, Journal of Futures Markets 32 (10), 909-944
[doi] [pdf]
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[16] Černý, A. and I. Kyriakou (2011), An Improved Convolution Algorithm for Discretely Sampled Asian Options, Quantitative Finance 11(3), 381-389
[doi] [pdf]
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[15] Biagini, S. and A. Černý (2011), Admissible Strategies in Semimartingale Portfolio Selection, SIAM Journal on Control and Optimization 49(1), 42-72
[doi] [pdf]
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[14] Černý, A., D. K. Miles and L. Schmidt (2010), The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets, Journal of Pension Economics and Finance 9(3), 393-420
[doi] [pdf]
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[13] A. Černý (2009), Characterization of the oblique projector U(VU)+V with application to constrained least squares, Linear Algebra and Its Applications, 431(9), 1564-1570
[doi] [pdf]
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[12] Bank, P. and A. Černý (2009), Preface to a special issue on mean-variance hedging, Review of Derivatives Research, 12(1), 1-2, [doi] [pdf]
[11] Černý, A. and J. Kallsen (2009), Hedging by Sequential Regressions Revisited, Mathematical Finance 19(4), 591-617
[doi] [pdf]
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[10] Černý, A. and J. Kallsen (2008), Mean-Variance Hedging and Optimal Investment in Heston's Model With Correlation, Mathematical Finance 18(3), 473-492
[doi] [pdf]
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[9] Černý, A. and J. Kallsen (2008), A Counterexample Concerning The Variance-Optimal Martingale Measure, Mathematical Finance 18(2), 305-316
[doi] [pdf]
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[8] Černý, A. and J. Kallsen (2007), On The Structure of General Mean-Variance Hedging Strategies, The Annals of Probability 35(4), 1479-1531
[doi] [pdf]
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[7] Černý, A. (2007) Optimal Continuous-Time Hedging with Leptokurtic Returns, Mathematical Finance, 17(2), 175-203
[doi] [pdf]
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[6] Miles, D. K. and A. Černý (2006), Risk, Return and Portfolio Allocation Under Alternative Pension Systems with Incomplete and Imperfect Financial Markets, Economic Journal, 116(2), 529-557
[doi] [pdf]
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[5]
Černý, A. (2004), Introduction to Fast Fourier Transform in Finance, Journal of Derivatives, 12(1), 73-88
binomial.gss dft.gss fft.gss czt.gss
[doi] [pdf]
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[4] Černý, A. (2004), Dynamic Programming and Mean-Variance Hedging in Discrete Time, Applied Mathematical Finance 11(1), 1-25
[doi] [pdf]
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[3] Černý, A. (2003), Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets, European Finance Review, 7(2), 191-233
[doi] [pdf]
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[2] Černý, A. (1999), Currency crises: Introduction of spot speculators, International Journal of Finance and Economics, 4(1), 1999, 75-89
[doi] [pdf]
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[1] Černý, A. and N. Schmitt (1995) Antidumping Constraints and Trade, Swiss Journal of Economics and Statistics, 131 (3), 441-452 http://www.sjes.ch/papers/1995-III-10.pdf
[pdf]
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Book chapters, conference proceedings
[4] Černý, A. (2016), Discrete-Time Quadratic Hedging of Barrier Options in Exponential LÚvy Model, in J. Kallsen and A. Papapantoleon (eds.), Advanced Modeling in Mathematical Finance, 257-275, Springer, ISBN 978-3-319-45873-1
[doi] [pdf]
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[3] Černý, A. (2010), Fourier Transform, in Cont R. (ed.), Encyclopedia of Quantitative Finance, 782-786, Wiley: Chichester, ISBN 978-0-470-05756-8
[doi] [pdf]
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[2] Miles, D. K. and A. Černý (2004), Alternative Pension Reform Strategies for Japan, Toshiaki Tachibanaki (ed.), The Economics of Social Security in Japan, ESRI Studies on Ageing, 75-135, Edward Elgar, ISBN 978-1-843-76682-7
[pdf]
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[1] Černý, A. and S. D. Hodges (2002), The Theory of Good-Deal Pricing in Financial Markets, in Geman H., Madan D., Pliska S., Vorst T.(eds.): Mathematical Finance – Bachelier Congress 2000, 175-202,Springer, ISBN: 978-3-540-67781-9
[doi] [pdf]
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Working papers
[29] S. Biagini and A. Černý (2017, October), Convex Duality and Orlicz Spaces in Expected Utility Maximization, http://arxiv.org/abs/.
[pdf]
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[28] P. Brunovský, A. Černý and J. Komadel (2017, April), Hedging in Lévy Models and Time Step Equivalent of Jumps, http://ssrn.com/abstract=2946755. Appeared in European Journal of Operational Research
[pdf]
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[27] Černý, A. (2016), Discrete-Time Quadratic Hedging of Barrier Options in Exponential LÚvy Model, https://ssrn.com/abstract=2746572. Appeared in J. Kallsen and A. Papapantoleon (eds.), Advanced Modeling in Mathematical Finance, 257-275, Springer, ISBN 978-3-319-45873-1
[pdf]
[26] A. Černý, S. Denkl and J. Kallsen (2013, September), Hedging in Lévy Models and Time Step Equivalent of Jumps, http://arxiv.org/abs/1309.7833
[pdf]
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[25] A. Černý and I. Melicherčík (2013, September), A Simple Formula for Optimal Management of Individual Pension Accounts, Cass Business School Working Paper
[pdf]
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[24] P. Brunovský, A. Černý and M. Winkler (2012, September), A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics, http://arxiv.org/abs/1209.5027. Appeared in Applied Mathematics and Optimization
[pdf]
[23] A. Tsanakas, M.V. Wuethrich and A. Černý (2012, September), Market Value Margin via Mean-Variance Hedging, http://ssrn.com/abstract=2148911. Appeared in ASTIN Bulletin
[pdf]
[22] A. Černý and J. Špilda (2012, April), A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs', SSRN Working Paper, http://ssrn.com/abstract=2042519.
[pdf]
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[21] S. Biagini and A. Černý (2009, October), Admissible Strategies in Semimartingale Portfolio Selection, http://ssrn.com/abstract=1491707. Appeared in SIAM Journal on Control and Optimization
[pdf]
[20] A. Černý and I. Kyriakou (2009, January), An Improved Convolution Algorithm for Discretely Sampled Asian Options, http://ssrn.com/abstract=1098367. Appeared in Quantitative Finance
[pdf]
[19] A. Černý, F. Maccheroni, M. Marinacci and A. Rustichini (2008, October), On the Computation of Optimal Monotone Mean-Variance Portfolios Via Truncated Quadratic Utility, http://ssrn.com/abstract=1278623. Appeared in Journal of Mathematical Economics
[pdf]
[18] A. Černý (2008, September), Characterization of the oblique projector U(VU)+V with application to constrained least squares, http://arXiv.org/abs/0809.4500. Appeared in Linear Algebra and Its Applications [pdf]
[17] A. Černý (2008, February), Fast Fourier transform and option pricing, http://ssrn.com/abstract=1098367. Appeared as Fourier Transform, in Cont R. (ed.), Encyclopedia of Quantitative Finance

[pdf]

[16] A. Černý and J. Kallsen (2007, August), Hedging by Sequential Regressions Revisited, http://ssrn.com/abstract=1004706. Appeared in Mathematical Finance [pdf]
[15] Brooks, C., A. Černý and J. Miffre (2007, February), Optimal Hedging With Higher Moments, http://ssrn.com/abstract=945807. Appeared in Journal of Futures Markets
[pdf]
[14] Černý, A. and J. Kallsen (2006, July), A Counterexample Concerning The Variance-Optimal Martingale Measure, http://ssrn.com/abstract=912952. Appeared in Mathematical Finance [pdf]
[13] Černý, A. and J. Kallsen (2006, June), Mean-Variance Hedging and Optimal Investment in Heston's Model With Correlation, http://ssrn.com/abstract=909305. Appeared in Mathematical Finance [pdf]
[12] Černý, A. (2006, January), Performance of Option Hedging Strategies: The Tale of Two Trading Desks, http://ssrn.com/abstract=877912. [pdf]
[11] Černý, A., Miles, D. and L. Schmidt (2005, June), The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets, CEPR Discussion Paper 5143. Appeared in The Journal of Pension Economics and Finance [pdf]
[10] Černý, A. (2004, May), Optimal Continuous-Time Hedging with Leptokurtic Returns, http://ssrn.com/abstract=713361. Appeared in Mathematical Finance [pdf]
[9] Černý, A and J. Kallsen (2005, May), On The Structure of General Mean-Variance Hedging Strategies, http://ssrn.com/abstract=712743. Appeared in Annals of Probability [pdf]
[8] Černý, A. (2004, June), Introduction to Fast Fourier Transform in Finance, http://ssrn.com/abstract=559416. Appeared in Journal of Derivatives [pdf]
[7] Černý, A. (2003, October), The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform, http://ssrn.com/abstract=559417. [pdf]
[6] Miles, D. K. and A. Černý (2001, April), Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets, http://ssrn.com/abstract=268968. Appeared in Economic Journal [pdf]
[5] Černý, A. (2000, February), Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets, http://ssrn.com/abstract=244731. Appeared in European Finance Review [pdf]
[4] Černý, A. (1999, June), Dynamic Programming and Mean-Variance Hedging in Discrete Time, http://ssrn.com/abstract=561223. Appeared in Applied Mathematical Finance
[pdf]
[3] Černý, A. (1999, April), Minimal martingale measure, CAPM and representative agent pricing in incomplete markets, http://ssrn.com/abstract=851188.
[pdf]
[+]
[2] Černý, A. (1998, September) Currency crises: Strategic game between central bank and speculators. http://ssrn.com/abstract=1428928.
[pdf]
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[1] Černý, A. and S. D. Hodges (1998, June), The Theory of Good-Deal Pricing in Financial Markets, http://ssrn.com/abstract=560682. Appeared in Mathematical Finance - Bachelier Congress 2000, Springer Verlag [pdf]