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Valuing callable and putable revenue-performance-linked project backed securities

Dong, Feng; Chiara, Nicola; Večeř, Jan - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 751-765

Persistent link: https://www.econbiz.de/10008904334

Partial differential equation methods for maximum drawdown

Pospisil, Libor; Večeř, Jan - In: The journal of computational finance 12 (2008/09) 2, pp. 59-76

Persistent link: https://www.econbiz.de/10009534631

Insider trading in convergent markets

Jonsson, Mattias; Večeř, Jan - In: Applied mathematical finance 12 (2005) 3, pp. 243-252

Persistent link: https://www.econbiz.de/10003149524

Options on a traded account : vacation calls, vacation puts and passport options

Shreve, Steven E.; Večeř, Jan - In: Finance and stochastics 4 (2000) 3, pp. 255-274

Persistent link: https://www.econbiz.de/10001487062

Optimal liquidation problem in illiquid markets

Sadoghi, Amirhossein; Večeř, Jan - In: European journal of operational research : EJOR 296 (2022) 3, pp. 1050-1066

Persistent link: https://www.econbiz.de/10013256904

Efficiency testing of prediction markets : martingale approach, likelihood ratio and Bayes factor analysis

Richard, Mark; Večeř, Jan - In: Risks : open access journal 9 (2021) 2/31, pp. 1-20

This paper studies efficient market hypothesis in prediction markets and the results are illustrated for the in-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property, where the last quoted probability should be the...

Persistent link: https://www.econbiz.de/10012426965