Jan Vecer

Associate Professor

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

Email: vecer [at] stat.columbia.edu

Academic Appointments



I work 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.

List of Talks


Mathematical Finance (academic journals):
Mathematical Finance (professional journals):
Applied Probability:
Quantitative Analysis in Sports:


Present Courses:

No courses.

Past Courses:

W4105: Probability (Spring 2006)
W4150: Introduction to Probability and Statistics (Falls 2002-03)
W4606: Elementary Stochastic Processes (Springs 2003-04)
W4835: Stochastic Processes for Finance (Springs 2009-10)
W6501: Stochastic Processes and Applications I (Falls 2001-02, 04-06, 09, Spring 2008)
G6505: Stochastic Methods in Finance (Springs 2002-05, 08-10, 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, Fall 2008)
G8275: Management of Extreme Financial Events (Fall 2006)
G9003/G9004: Seminar in Advanced Probability (Falls 2001&2003, Springs 2002&2004)

Graduate Students



Grant Support


Articles related to the study of 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

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

Associate Editor of the Journal of Quantitative Analysis in Sports

Co-organizer of the conference Computational Finance with R
Chairman of Columbia JAFEE Conference 2010
Early Summer School of Quantitative Finance 2010, Prague

Erdos Number: 4 (Erdos -> Berger -> Soner -> Shreve -> Vecer)