Institute of Information Theory and Automation

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RNDr. Martin Šmíd, Ph.D.

research fellow
Research interests: 
limit order markets, risk management, models of human decision
Publications ÚTIA: 
2015-01-12 08:37

Person detail

Duration: 2016 - 2018
The aim of this project is to model optimal dynamic behaviour of a risk-averse European carbon-emitting steel producer, to design and implement an algorithm solving the corresponding multi-stage optimisation problem and apply the model to a real-life steel company. A linear combination of mean profit and conditional value at risk will serve as a decision criterion; decision variables will includ
Duration: 2015 - 2017
The aim of the project is to create a dynamical structural model of a mortgage portfolio consisting of multiple tranches. A default of a loan will be driven by a sum of three factors: an overall one, a tranche specific one and an individual one. Analogously, a loss (given default) of individual mortgages will be driven by a sum of three factors (possibly standing for a collateral value).
Duration: 2006 - 2008
The goal of the proposed project is the construction and the verification of a new model of a financial market's behaviour. The model is aimed to assume the heterogeneity of the agents and the non-synchronicity of the agent's actions, to consider the microstructure of the market (i.e.



Mgr. Karel Báťa
Mgr. Jaroslav Dufek
Daniel Vach
Mgr. Petr Gapko Ph.D.
Mgr. Aleš Antonín Kuběna Ph.D.
Matematicko-fyzikální fakulta UK