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Libor Pospisil, Ph.D.

Affiliations: 
2008 Columbia University, New York, NY 
Area:
Mathematics, Statistics, Finance
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"Libor Pospisil"
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Jan Vecer grad student 2008 Columbia
 (Risk measures and maximum drawdown.)

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Publications

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Pospisil L, Vecer J. (2010) Portfolio sensitivity to changes in the maximum and the maximum drawdown Quantitative Finance. 10: 617-627
Pospisil L, Vecer J, Hadjiliadis O. (2009) Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups Stochastic Processes and Their Applications. 119: 2563-2578
Pospisil L, Vecer J. (2008) PDE methods for maximum drawdown Journal of Computational Finance. 12: 59-76
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