Department of Statistics
Columbia University
1255 Amsterdam Avenue
New York, NY 10027-5904
USA

• Email: vecer [at] stat.columbia.edu
• Office: 1029
•  Phone: (212) 851-2145 
• Fax: (212) 851-2164

• Columbia University:  Department of Statistics, Associate Professor, 07/2006 - Present; Assistant Professor, 07/2001 - 06/2006
• Kyoto University: Institute of Economic Research, Center for Financial Engineering, Visiting Associate Professor, 05/2001 - 08/2001 
• University of Michigan: Industrial and Operations Engineering, Visiting Assistant Professor, 09/2000 - 08/2001

Courtesy Appointments:

• Department of Industrial Engineering and Operations Research
• Center for Applied Probability
  
• Center for Financial Engineering

• Carnegie Mellon University, Pittsburgh: PhD in Mathematical Finance (2000), adviser Steven Shreve; MSc in Mathematics (1998)
• Charles University, Prague: Mgr. in Probability and Statistics (1995); BSc in Mathematics and Economics (1993) 
• Universite de Franche-Comte, Besancon: Maitrise de Mathematiques Pures (1994)

• Pospisil, L., J. Vecer (2008): "Portfolio Sensitivities to the Changes in the Maximum and the Maximum Drawdown" (.pdf).
• Pospisil, L., J. Vecer, M. Xu (2008): "Tradeable Measures of Risk" (.pdf).
• Pospisil, L., J. Vecer, O. Hadjiliadis (2008): "Formulas for Stopped Diffusion Processes with Stopping Times based on Drawdowns and Drawups" (.pdf)
• Vecer, J.,  F. Kopriva, T. Ichiba (2008): "Estimating the Effect of the Red Card in Soccer - When to Commit an Offense in Exchange for Preventing a Goal Opportunity" (.pdf)
  

• Pospisil, L., J. Vecer: (2008): "PDE Methods for the Maximum Drawdown", Journal of Computational Finance, forthcoming (.pdf).
• Vecer, J. (2007): "Preventing Portfolio Losses by Hedging Maximum Drawdown", Wilmott, Vol. 5, No. 4 (.pdf, .ps).
• Chiara, N., M. Garvin, J. Vecer (2007): "Valuing Simple Multiple-Exercise Real Options in Infractructure Projects",  Journal of Infrastructure Systems, Vol. 13, No. 2, 97-104 (.pdf).
• Vecer, J. (2006): "Maximum Drawdown and Directional Trading", Risk, Vol. 19, No. 12, 88-92 (.pdf, .ps). Reprinted in Asia Risk, February 2007, 38-42.
• Jonsson, M., J. Vecer (2005): "Insider Trading in Convergent Markets", Applied Mathematical Finance, Vol. 12, No. 3, 243-252 (.pdf., .ps).
  
• Vecer, J., M. Xu (2004): "Pricing Asian Options in a Semimartingale Model", Quantitative Finance, Vol. 4, No. 2, 170-175 (.pdf, .ps).
• Vecer, J. (2002): "Unified Asian Pricing", Risk, Vol. 15, No. 6, 113-116 (.pdf, .ps). Implementation in MATLAB: asiancontinuous.m, Implemenation in Mathematica: AsianOption.nb
  
• Vecer, J. (2001): "A new PDE approach for pricing arithmetic average Asian options", Journal of Computational Finance, Vol. 4, No. 4, 105-113 (.pdf, .ps).
  
• Vecer, J., S. Shreve (2000): "Upgrading your passport", Risk, Vol. 13, No. 7, 81-83 (.ps).
  
• Shreve, S., J. Vecer (2000): "Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options", Finance and Stochastics, Vol. 4, No. 3, 255-274, (Springer Verlag)  (.ps).

• Hadjiliadis, O., J. Vecer (2006): "Drawdowns Preceding Rallies in Brownian Motion Model", Quantitative Finance, Vol. 6, No. 5, 403-409 (.pdf, .ps). 
• Vecer, J., M. Xu (2004): "Mean Comparison Theorem cannot be extended to Poisson case", Journal of Applied Probability, Vol. 41, No. 4, 1199-1202 (.pdf, .ps).
  

• Vecer, J., T. Ichiba, M. Laudanovic (2007): "On Probabilistic Excitement of Sports Games", Journal of Quantitative Analysis in Sports, Vol. 3, No. 3, Article 6 (.pdf, .ps).
• Vecer, J. (2004): "Optimal Control for Squash Player", Journal of Chinese Statistical Association, Vol. 42, No. 2, 92-99 (.pdf, .ps). 

Present Courses (Fall 2008):

Past Courses:

W4105: Probability (Spring 2006)
W4150: Introduction to Probability and Statistics (Falls 2002-03)
W4606: Elementary Stochastic Processes (Springs 2003-04)
W6501: Stochastic Processes and Applications I (Falls 2001-02, Falls 2004-06, Spring 2008)
G6505: Stochastic Methods in Finance (Springs 2002-05, 08, Falls 2005-06)
G7010: Topics in Risk (Spring & Fall 2006, coorganizer)
W7040: Statistics in Sports (Spring 2006, 08)
G8273: Topics in Mathematical Finance (Spring 2005)
G8275: Management of Extreme Financial Events (Fall 2006)
G9003/G9004: Seminar in Advanced Probability (Falls 2001&2003, Springs 2002&2004)

• Petr Novotny (2009 - expected): Optimal Portfolio Execution and High Frequency Financial Data.
  
• Libor Pospisil (2008): Risk Measures and Maximum Drawdown.
• Nicola Chiara (2006): Real Option Methods for Improving Economic Risk Management in Infrastracture Project Finance (Department of Civil Engineering, co-sponsor with Prof Michael Garvin)
  
• Olympia Hadjiliadis (2004): Change-point Detection of Two-sided Alternatives in the Brownian Motion Model and its Connection to the Gambler's Ruin Problem with Relative Wealth Perception.

MSc:

• Daisuke Nakajima (2004): Point Detection for Poisson Disorder - Application in Earthquake Occurence in Northern California, 1910 - 1999.
• Wei Zhu (2003): Stock Volatility and Option Pricing.

• NSF Award, DMS 0418457, Decision Analysis in the Presence of Jump Risk, 09/01/2004 - 08/31/2007 (Jan Vecer, PI)
• NSF Award, EAR 0229846, A Stochastic Differential Equation Approach to Studying Landslide Failure and Size Distributions, 05/15/2003 - 04/30/2006 (Colin Stark, PI, Jan Vecer, Co-PI)

Inventor of Tennis Analyser, featured technology of Columbia University
Here is a related article about it in the 09/18/2006 issue of the Business Week

Recently, I have proposed to study Maximum Drawdown (the largest drop in the market) in the relationship with portfolio insurance:
Here is a report that appeared on 12/18/2006 on the N-TWO Capital Market website
Here it got mentioned in the 01/22/2007 issue of the Derivatives Week
Here is an article from the 06/18/2007 issue of Barron's