Jan Vecer
Adjunct Professor
Adjunct Professor
Prof. Jan Vecer works at the Charles University in Prague since September 2015 where he teaches courses in mathematical finance and stochastic analysis. From 2010 to 2015 he was a Professor of Finance at the Frankfurt School of Finance and Management. Professor Jan Vecer received his PhD in Mathematical Finance from Carnegie Mellon University. He held academic jobs at the University of Michigan and Kyoto University and at Columbia University where he was promoted to the rank of the Associate Professor in 2006.
He works in various areas within the fields of Financial Statistics, Financial Engineering and Applied Probability. These areas include Option Pricing, Optimal Trading Strategies, Stochastic Optimal Control, and Stochastic Processes. The method he developed for pricing Asian Options is widely used both in academia and in the finance industry as a benchmark. He is an author of a monograph “Stochastic Finance: A Numeraire Approach” published by CRC Press. He has given about 100 invited talks in the conferences and in the world class universities, such as Harvard, Princeton, Stanford, University of Chicago, Cornell, Oxford, Cambridge, Humboldt, or Tsukuba.
He works in various areas within the fields of Financial Statistics, Financial Engineering and Applied Probability. These areas include Option Pricing, Optimal Trading Strategies, Stochastic Optimal Control, and Stochastic Processes. The method he developed for pricing Asian Options is widely used both in academia and in the finance industry as a benchmark. He is an author of a monograph “Stochastic Finance: A Numeraire Approach” published by CRC Press. He has given about 100 invited talks in the conferences and in the world class universities, such as Harvard, Princeton, Stanford, University of Chicago, Cornell, Oxford, Cambridge, Humboldt, or Tsukuba.
- Finance department
- Faculty
PUBLICATIONS
Vecer, J., 2014. Asian options on the harmonic average, Quantitative Finance Vol. 14(8), pp. 1315-1322.
Vecer, J., 2014. Black-Scholes Representation for Asian Options, Mathematical Finance Vol. 24(3), pp. 598-626.
Pospisil, L., Vecer, J., 2010. Portfolio sensitivity to changes in the maximum and the maximum drawdown, Quantitative Finance Vol. 10(6), pp. 617-627.
Dong, F., Chiara, N., Vecer, J., 2010. Valuing Callable and Putable Revenue-Performance-Linked Project Backed Securities, International Journal of Theoretical and Applied Finance Vol. 13(5), pp. 751-765.
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 Vol. 119(8), pp. 2563-2578.
Pospisil, L., Vecer, J., 2008. Partial differential equation methods for the maximum drawdown, Journal of Computational Finance Vol. 12(2), pp. 59-76.
Chiara, N., Garvin, M., Vecer, J., 2007. Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects, Journal of Infrastructure Systems Vol. 13(2), pp. 97-104.
Hadjiliadis, O., Vecer, J., 2006. Drawdowns preceding rallies in the Brownian motion model, Quantitative Finance Vol. 6(5), pp. 403-409.
Vecer, J., 2006. Maximum draw-down and directional trading, Risk Vol. 19(12), pp. 88-92.
Jonsson, M., Vecer, J., 2005. Insider Trading in Convergent Markets, Applied Mathematical Finance Vol. 12(3), pp. 243-252.
Vecer, J., Xu, M., 2004. Pricing Asian Options in a Semimartingale Model, Quantitative Finance Vol. 4(2), pp. 170-175.
Vecer, J., Xu, M., 2004. The Mean Comparison Theorem cannot be Extended to the Poisson Case, Journal of Applied Probability Vol. 41(4), pp. 1199-1202.
Vecer, J., 2002. Unified Asian pricing, Risk Vol. 15(6), pp. 113-116.
Vecer, J., 2001. A new PDE approach for pricing arithmetic average Asian options, Journal of Computational Finance Vol. 4(4), pp. 105-113.
Shreve, S., Vecer, J., 2000. Options on a traded account: vacation calls, vacation puts and passport options, Finance and Stochastics Vol. 4(3), pp. 255-274.
Vecer, J., Shreve, S., 2000. Upgrading your passport, Risk Vol. 13(7), pp. 81-83.
Vecer, J., 2014. Black-Scholes Representation for Asian Options, Mathematical Finance Vol. 24(3), pp. 598-626.
Pospisil, L., Vecer, J., 2010. Portfolio sensitivity to changes in the maximum and the maximum drawdown, Quantitative Finance Vol. 10(6), pp. 617-627.
Dong, F., Chiara, N., Vecer, J., 2010. Valuing Callable and Putable Revenue-Performance-Linked Project Backed Securities, International Journal of Theoretical and Applied Finance Vol. 13(5), pp. 751-765.
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 Vol. 119(8), pp. 2563-2578.
Pospisil, L., Vecer, J., 2008. Partial differential equation methods for the maximum drawdown, Journal of Computational Finance Vol. 12(2), pp. 59-76.
Chiara, N., Garvin, M., Vecer, J., 2007. Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects, Journal of Infrastructure Systems Vol. 13(2), pp. 97-104.
Hadjiliadis, O., Vecer, J., 2006. Drawdowns preceding rallies in the Brownian motion model, Quantitative Finance Vol. 6(5), pp. 403-409.
Vecer, J., 2006. Maximum draw-down and directional trading, Risk Vol. 19(12), pp. 88-92.
Jonsson, M., Vecer, J., 2005. Insider Trading in Convergent Markets, Applied Mathematical Finance Vol. 12(3), pp. 243-252.
Vecer, J., Xu, M., 2004. Pricing Asian Options in a Semimartingale Model, Quantitative Finance Vol. 4(2), pp. 170-175.
Vecer, J., Xu, M., 2004. The Mean Comparison Theorem cannot be Extended to the Poisson Case, Journal of Applied Probability Vol. 41(4), pp. 1199-1202.
Vecer, J., 2002. Unified Asian pricing, Risk Vol. 15(6), pp. 113-116.
Vecer, J., 2001. A new PDE approach for pricing arithmetic average Asian options, Journal of Computational Finance Vol. 4(4), pp. 105-113.
Shreve, S., Vecer, J., 2000. Options on a traded account: vacation calls, vacation puts and passport options, Finance and Stochastics Vol. 4(3), pp. 255-274.
Vecer, J., Shreve, S., 2000. Upgrading your passport, Risk Vol. 13(7), pp. 81-83.
Vecer, J., 2011. Stochastic Finance: a Numeraire Approach, Boca Raton: CRC Press.
Vecer, J., Kopriva, F., Ichiba, T., 2009. Estimating the Effect of the Red Card in Soccer: when to Commit an Offense in Exchange for Preventing a Goal Opportunity, Article 8, Journal of Quantitative Analysis in Sports Vol. 5(1).
Vecer, J., Ichiba, T., Laudanovic, M., 2007. On Probabilistic Excitement of Sports Games: Article 6, Journal of Quantitative Analysis in Sports Vol. 3(3).
Vecer, J., 2007. Preventing Portfolio Losses by Hedging Maximum Drawdown, Wilmott Vol. 5(4).
Vecer, J., Ichiba, T., Laudanovic, M., 2007. On Probabilistic Excitement of Sports Games: Article 6, Journal of Quantitative Analysis in Sports Vol. 3(3).
Vecer, J., 2007. Preventing Portfolio Losses by Hedging Maximum Drawdown, Wilmott Vol. 5(4).
Vecer, J.
Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League and the German Bundesliga
Vecer, J.
Optimal portfolio choice with multiple benchmarks
Vecer, J.
Asian Options on Harmonic Average
Vecer, J.
Black-Scholes for Asian options
Vecer, J.
General theory of the numeraire change for exotic options
Vecer, J.
Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League and the German Bundesliga
| Harvard Univ. Science Center, 2013 New England Symposium on Statistics in Sports, 2013, Cambridge (Mass.). |
Vecer, J.
Optimal portfolio choice with multiple benchmarks
| Tadbir Operational Research Group Ltd, 5th International Conference on Applied Operational Research, 2013, Lissabon. |
Vecer, J.
Asian Options on Harmonic Average
| Workshop on Stochastic and PDE Methods in Financial Mathematics, 2012, Yerevan. |
Vecer, J.
Black-Scholes for Asian options
| IWAP 2012 - International Workshop on Applied Probability, 2012, Jerusalem. |
Vecer, J.
General theory of the numeraire change for exotic options
| IWAP 2010 - International Workshop on Applied Probability, 2010, Madrid. |
Vecer, J.
Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
| Univ. de Technologie de Compiègne, International Workshop on Applied Probability, 2008, Compiègne. |
OFFICE HOURS
During the lecture period
By appointment available upon request via email.
OFFICE HOURS
During the lecture period
By appointment available upon request via email.