Institute of Information Theory and Automation

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RNDr. Martin Šmíd, Ph.D.

Position: 
research fellow
Mail: 
Room: 
Fax: 
266052232
Phone: 
266052844
Research interests: 
limit order markets, risk management, models of human decision
Publications ÚTIA: 
list
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.

Current

Graduates

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