Concepedia

Libor Pospisil

LP

4

Publications

162

Citations

4

H-Index

2008

Active since

Affiliations

Columbia University(Current)

Libor Pospisil is an author at Columbia University specializing in jump diffusions, stochastic calculus, and engineering.

Top concepts

Publications per year

2008–2010

4

Publications

4

Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

Libor Pospisil, Jan Večeř, Olympia Hadjiliadis · Stochastic Processes and their Applications · 2009 · 58 citations

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Portfolio sensitivity to changes in the maximum and the maximum drawdown

Libor Pospisil, Jan Večeř · Quantitative Finance · 2009 · 55 citations

Momentum and Reversal Effects in Corporate Bond Prices and Credit Cycles

Libor Pospisil, Jing Zhang · The Journal of Fixed Income · 2010 · 36 citations

, , +16

PDE methods for maximum drawdown

Libor Pospisil, Jan Večeř · The Journal of Computational Finance · 2008 · 13 citations

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