Medical University of Vienna & CSH Associate Faculty
Jan Korbel is currently Postdoc at the Section of Science for Complex Systems of the Medical University of Vienna and Associate Faculty researcher at the Complexity Science Hub Vienna. He obtained his PhD in Mathematical Physics at the Faculty of Nuclear Sciences and Physical Engineering of the Czech Technical University in Prague under the supervision of Petr Jizba. During his doctoral studies, he spent a year as Research intern at the Max Planck Institute for the History of Science in the group of Hagen Kleinert. After his graduation, Jan spent a year as Postdoc at the Zhejiang University, Hangzhou, China, in the group of Bo Zheng. He has also gathered experience during the internships at Quirin Bank in Berlin and IBM Watson Research Center in Prague.
Jan is interested in statistical physics of complex systems, econophysics, and information theory. His main research topics are: applications of non-standard entropies in non-equilibrium thermodynamics, financial time series analysis (multifractals, superstatistics, fractional calculus) and applications of information theory in statistical physics and econophysics.
J. Aguilar, J. Korbel
Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model
Risks 7(2), 36 (2019)
J. Korbel, P. Jizba
Maximum Entropy Principle in statistical inference: case for non-Shannonian entropies
Physical Review Letters 122 (2019) 120601
J.P. Aguilar, C. Coste, J. Korbel
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Fractional Calculus and Applied Analysis, Vol. 21 (2018) 981–1004
J. Korbel, R. Hanel, S. Thurner
Classification of complex systems by their sample-space scaling exponents
New Journal of Physics 20 (2018) 093007
M. Çankaya, J. Korbel
Least informative distributions in maximum q-log-likelihood estimation
Physica A: Statistical Mechanics and its Applications, Vol 509 (2018) 140–150
J.-P. Aguilar, J. Korbel
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
Fractal Fract 2(1), 15 (2018)
P. Jizba, J. Korbel, et al.
Transitions between superstatistical regimes: Validity, breakdown and applications
Physica A: Statistical Mechanics and its Applications, Vol 493 (2018) 29–46