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



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:

A collection of publications by Roman Horsky in the Fraunhofer-Publica