Profile of Dr. Roman Horsky

Fields of Acitivty / Competence

• Modeling and simulation of pension products
• Asset liability management and optimization 
• Portfolio optimization 
• Principle of premium calculation

Publications

Major Publications

• Sayer, T.; Horsky, R.:
  Joining the Heston and a three-factor short rate model: A closed-form approach.
  International Journal of Theoretical and Applied Finance, Volume 18, Issue 8, Pages 1550056-1 - 1550056-17, (2015)
• Horsky, R.:
  Barrier Option Pricing and CPPI-Optimization.
  Solving uniform coverage problems in industrial production with Abel inversion.
  Dissertation, TU Kaiserslautern, Verlag Dr. Hut, ISBN 978-3-8439-0615-9, (2012)
• Horsky, R.; Krämer, M.; Mück, A.; Zerwas, P.M.:
  Squark Cascade Decays to Charginos/Neutralinos: Gluon Radiation.
  Physical Review D, Vol. 78, No. 3 - 035004, (2008),
  Available at arXiv: https://arxiv.org/abs/0803.2603