Research I work in various areas within the fields of Financial
Statistics, Financial Engineering and Applied Probability. These areas
Option Pricing, Optimal Trading Strategies, Stochastic Optimal Control,
and Stochastic Processes.
Vecer, J. (2010): Stochastic
Finance - A Numeraire Approach, CRC Press.
Mathematical Finance (academic journals):
Dong, F., N. Chiara, J. Vecer (2010): "Valuing Callable and
Putable Revenue-Performance-Linked Project Backed Securities", International Journal of Theoretical and
Applied Finance, 13(5), 751-765 (.pdf).
Pospisil, L., J. Vecer
(2010): "Portfolio Sensitivities to the Changes in the Maximum and the
Maximum Drawdown", Quantitative
Finance, 10(6), 617–627
Pospisil, L., J. Vecer (2008/09): "PDE
Methods for the Maximum Drawdown", Journal
Vecer (2007): "Valuing Simple
Multiple-Exercise Real Options in Infractructure Projects", Journal of
Jonsson, M., J. Vecer (2005): "Insider Trading in Convergent
Vecer, J., M. Xu (2004): "Pricing Asian
Options in a Semimartingale Model", Quantitative
Finance4(2), 170-175 (.pdf, .ps).
Vecer, J. (2001): "A new PDE approach for
pricing arithmetic average Asian options", Journal of Computational
Finance4(4), 105-113 (.pdf, .ps).
Shreve, S., J. Vecer (2000): "Options on
a Traded Account: Vacation Calls, Vacation Puts and Passport Options", Finance and Stochastics4(3), 255-274, (Springer
Mathematical Finance (professional journals):
Vecer, J. (2007): "Preventing Portfolio Losses by Hedging Maximum
Drawdown", Wilmott5(4) (.pdf,
Vecer, J. (2006): "Maximum Drawdown and Directional Trading", Risk19(12), 88-92 (.pdf,
February 2007, 38-42.
Vecer, J., S. Shreve (2000): "Upgrading
your passport", Risk13(7), 81-83 (.ps).
Pospisil, L., J. Vecer, O. Hadjiliadis (2009): "Formulas for
Processes with Stopping Times based on Drawdowns and Drawups", Stochastic Processes and Their
Applications,119(8), 2563-2578 (.pdf).
Hadjiliadis, O., J. Vecer (2006): "Drawdowns Preceding Rallies
in Brownian Motion Model",Quantitative
Vecer, J., M. Xu (2004): "Mean Comparison Theorem cannot be
extended to Poisson case", Journal
of Applied Probability41(4),
Quantitative Analysis in Sports:
Vecer, J., F. Kopriva, T.
"Estimating the Effect of the Red Card in Soccer - When to Commit an
Offense in Exchange for Preventing a Goal Opportunity", Journal of
Quantitative Analysis in Sports, 5(1), Article 8 (.pdf).
Vecer, J., T. Ichiba, M.
Laudanovic (2007): "On Probabilistic Excitement of Sports Games", Journal of Quantitative Analysis
in Sports3(3), Article
Vecer, J. (2004): "Optimal Control for Squash Player", Journal of
Chinese Statistical Association42(2),
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
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,
Petr Novotny (2010): Optimal Portfolio Execution
Feng Dong (2010): Essays in Advanced Risk Management and
Quantitative Strategies in Infrastructure Finance (second adviser,
first adviser Nicola Chiara).
Libor Pospisil (2008): Risk Measures and Maximum
Drawdown. Currently Assistant
Professor at Columbia University, Department of Statistics.
Chiara (2006): Real Option Methods for Improving Economic
Risk Management in Infrastracture Project Finance (Department of Civil
Engineering, co-sponsor with Prof Michael Garvin). Currently Assistant Professor at Columbia
University, Department of Civil Engineering.
(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. Currently
University of New York, Brooklyn College,
Department of Mathematics.
Burcu Yildirim (2008): Crude Oil Prices: Mean Reversion in the
Spot? Futures Know the Future?
Nakajima (2004): Point
- 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
09/01/2004 - 08/31/2007 (Jan Vecer, PI)
NSF Award, EAR 0229846, A Stochastic Differential Equation
Studying Landslide Failure and Size Distributions, 05/15/2003 -
04/30/2006 (Colin Stark, PI, Jan Vecer, Co-PI)
Articles related to
the study of Maximum
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