Short bio
My qualifications include BSc and MSc
in Mathematical Engineering from the Czech Technical University in Prague,
and a PhD in Economics from the University of Warwick (more
details here). I have spent 7 years at Imperial College London,
among others developing and teaching one of the core courses on the
MSc in Finance programme. I am currently a full professor of finance at the Cass Business School, City University London and a visiting professor of mathematics at Comenius University Bratislava, Slovakia.
Research interests
The theory of asset pricing
and risk measurement in incomplete markets is concerned with the methodology
and practical implementation of optimal hedging and pricing of derivative
securities in the presence of hedging errors. The standard asset pricing
theory assumes that all sources of risk are priced in the market; this
assumption is most famously embedded in the BlackScholes option pricing
formula. In reality, even extremely frequent hedging leaves a significant
amount of risk. In most models this risk is unaccounted for, as LTCM found
to its own detriment. My work proposes standardized measurement of risk
across different utility functions, allows for attribution of performance
among different assets (for example stocks and options) in a dynamic framework,
and provides extremely fast implementation of optimal dynamic hedge ratios
and risk measurements using Fourier transform.
Selected publications (more
publications and supplementary materials available here...)
[14] 
A. Č., F. Maccheroni, M. Marinacci and A. Rustichini, On the Computation of Optimal Monotone MeanVariance Portfolios Via Truncated Quadratic Utility, Journal of Mathematical Economics 48(6), 386395, 2012 
[13] 
C. Brooks, A. Č. and J. Miffre, Optimal Hedging with Higher Moments, Journal of Futures Markets 32(10), 909944, 2012 
[12] 
A. Č. and I. Kyriakou, An Improved Convolution Algorithm for Discretely Sampled Asian Options, Quantitative Finance 11(3), 381389, 2011 
[11] 
S. Biagini and A. Č., Admissible Strategies in Semimartingale Portfolio Optimization, SIAM Journal on Control and Optimization, 49(1), 4272, 2011 
[10] 
Mathematical Techniques
in Finance: Tools for Incomplete Markets, Princeton University Press,
2nd edition, July 2009, pp. 416 

 handson introduction to asset
pricing, optimal portfolio selection and evaluation of investment performance
 simple EXCEL spreadsheets and MATLAB codes integrated in the text
 large number of examples and solved
exercises
 more advanced topics include
 fast Fourier transform
 finite difference methods
 multinomial lattices and Levy processes

[9] 
A. Č. and J.
Kallsen, Hedging by Sequential Regressions Revisited, Mathematical Finance 19(4), 591617, 2009 
[8] 
A. Č. and J.
Kallsen, MeanVariance Hedging and Optimal Investment in Heston's
Model With Correlation, Mathematical Finance 18(3), 473492, 2008 
[7] 
A. Č. and J.
Kallsen, A Counterexample Concerning The VarianceOptimal Martingale
Measure, Mathematical Finance 18(2), 305316, 2008 
[6] 
A. Č. and J.
Kallsen, On The Structure of General MeanVariance Hedging Strategies,
The Annals of Probability 35(4), 14791531, 2007 
[5] 
Optimal
ContinuousTime Hedging with Leptokurtic Returns, Mathematical
Finance, 17(2), 175203, 2007. 
[4] 
D.
K. Miles and A. Č., Risk, Return and Portfolio Allocation Under Alternative
Pension Systems with Incomplete and Imperfect Financial Markets,
The Economic Journal, 116(2), 529557, 2006. 
[3] 
Introduction
to Fast Fourier Transform in Finance,
Journal of Derivatives, 12(1), 7388, 2004 
[2] 
Generalized
Sharpe Ratios and Asset Pricing in Incomplete Markets, European
Finance Review, 7(2), 191233, 2003. Presented at AFA Annual
Meeting 2001, New Orleans. 
[1] 
A.Č. and S.
D. Hodges, The Theory of GoodDeal Pricing in Financial Markets,
in Geman, Madan, Pliska, Vorst (eds.): Mathematical Finance 
Bachelier Congress 2000, 175202, Springer Verlag 2002. 
Research Projects
 with Prof. David Miles, 20002004, Economics
of Social Security in Japan, £200,000+
 with Prof. James Sefton, 20022004, Design
of Behavioural Tax Model, £80,000
Selected refereed conferences and *invited
talks (full list here)
[16] 
04/06
2014 
8th World Congress
of Bachelier Finance Society, Brussels, Asymptotics of Quadratic Hedging in Lévy Models 
[15] 
26/08
2013 
6th Summer School of Mathematical Finance, Vienna, Computation of Optimal Monotone MeanVariance Portfolios Via Truncated Quadratic Utility 
[14] 
03/06
2013 
UK Mathematical Finance Workshop, King's College London, GoodDeal Prices for a Log Contract 
[13] 
05/09
2012 
Department of Mathematics, ETH Zurich, Optimal Hedging with Higher Moments 
[12] 
12/07
2010 
AnStaP10, Conference in Honour of W. Schachermayer, Vienna, Admissible Strategies for Semimartingale Portfolio Optimization 
[11] 
24/06
2010 
6th Bachelier Congress, Toronto, Admissible Strategies for Semimartingale Portfolio Optimization 
[10] 
18/07
2008 
5th Bachelier Congress, London, MeanVariance Hedging and Optimal Investment in Heston's Model with Correlation 
[9] 
24/08
2007 
EFA 2007 Annual Meeting, Ljubljana, Optimal Hedging with Higher Moments 
[8] 
25/05
2007 
*Stanford Unversity, MeanVariance Hedging and Optimal Investment in Heston's Model with Correlation 
[7] 
29/09
2005 
*Courant Institute
for Mathematical Sciences, NYU, On the Structure of General
MeanVariance Hedging Strategies 
[6] 
28/09
2005 
*Columbia University,
New York, On the Structure of General MeanVariance Hedging
Strategies 
[5] 
14/09
2005 
*Summer
School Bologna, Frontiers of Financial Mathematics  Pricing Derivatives in
Incomplete Markets, Bologna, Leader of oneday workshop
on the theory and applications of gooddeal pricing 
[4] 
19/04
2005 
*Developments
in Quantitative Finance, Isaac Newton Institute, Cambridge,
On the Structure of General MeanVariance Hedging Strategies 
[3] 
24/09
2004 
European Science
Foundation Exploratory Workshop on Dynamic Portfolio Choice, Asset
Pricing and Mathematical Finance, London Business School,
The Risk of Optimal, Continuously Rebalanced Hedging Strategies
and Its Efficient Evaluation via Fourier Transform 
[2] 
23/05
2002 
*Workshop on
Incomplete Markets, Center for Computational Finance, Carnegie Mellon
University, Pittsburgh, Derivatives without Differentiation 
[1] 
05/01
2001 
AFA 2001 Annual Meeting, New Orleans, Generalized Sharpe
Ratios 
Refereeing Activity
Applied Mathematical Finance, Annals of Operations Research, Automatica, Bernoulli, European Financial Management, IEEE Transactions on Automatic Control, International Journal of Theoretical and Applied Finance, Journal of Computational and Applied Mathematics, Journal of Computational Finance, Journal
of Finance, Journal of Financial Econometrics, Mathematical Finance, Mathematics
of Operations Research, Operations Research, Princeton University Press,
Quantitative Finance, Review of Derivatives Research, Risk, SIAM Journal on Financial Mathematics, Statistics and Decisions
Editorial Appointments
06/2007 Review of Derivatives Research
PhD Supervision
[4] 
10/2006
11/2010 
Ioannis Kyriakou, Efficient valuation of exotic derivatives with pathdependence and earlyexercise features, Cass Business School 
[3] 
10/2002
10/2006 
Lubomir Schmidt, , Optimal lifecycle consumption and asset allocation with applications to pension finance and public economics, Imperial College Business School 
[2] 
10/2001
09/2006 
Mariam HarfushPardo, An investigation on portfolio choice and wealth accumulation in fully funded pension systems with a guaranteed minimum benefit, Imperial College Business School 
[1] 
10/2001
10/2004 
YungChih Wang, Topics in investment appraisal and real options, Imperial College Business School 
Media Coverage
Other
 Erdos Number: 5 (AC
> S.D. Hodges > P.G. Moore > N.L. Johnson > C.A. Rogers
> PE)
 Kolmogorov Number: 3 (AC
> J. Kallsen > A.N. Shiryaev > ANK)
Last revised 01/03/11 