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

Email: vecer [at] stat.columbia.edu

• Columbia University:  Department of Statistics, Associate Professor, 07/2006 - 06/2010; 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)

• Vecer, J. (2010): Stochastic Finance - A Numeraire Approach, CRC Press.

• 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 (.pdf).
• Pospisil, L., J. Vecer (2008/09): "PDE Methods for the Maximum Drawdown", Journal of Computational Finance 12(2), 59-76 (.pdf).
• Chiara, N., M. Garvin, J. Vecer (2007): "Valuing Simple Multiple-Exercise Real Options in Infractructure Projects", Journal of Infrastructure Systems 13(2), 97-104 (.pdf).
• Jonsson, M., J. Vecer (2005): "Insider Trading in Convergent Markets", Applied Mathematical Finance 12(3), 243-252 (.pdf., .ps).
  
• Vecer, J., M. Xu (2004): "Pricing Asian Options in a Semimartingale Model", Quantitative Finance 4(2), 170-175 (.pdf, .ps).
• Vecer, J. (2001): "A new PDE approach for pricing arithmetic average Asian options", Journal of Computational Finance 4(4), 105-113 (.pdf, .ps).
  
• Shreve, S., J. Vecer (2000): "Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options", Finance and Stochastics 4(3), 255-274, (Springer Verlag)  (.ps).

• Vecer, J. (2007): "Preventing Portfolio Losses by Hedging Maximum Drawdown", Wilmott 5(4) (.pdf, .ps).
• Vecer, J. (2006): "Maximum Drawdown and Directional Trading", Risk 19(12), 88-92 (.pdf, .ps). Reprinted in Asia Risk, February 2007, 38-42.
• Vecer, J. (2002): "Unified Asian Pricing", Risk 15(6), 113-116 (.pdf, .ps). Implementation in MATLAB: asiancontinuous.m, Implemenation in Mathematica: AsianOption.nb
• Vecer, J., S. Shreve (2000): "Upgrading your passport", Risk 13(7), 81-83 (.ps).
  

• Pospisil, L., J. Vecer, O. Hadjiliadis (2009): "Formulas for Stopped Diffusion 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 Finance 6(5), 403-409 (.pdf, .ps). 
• Vecer, J., M. Xu (2004): "Mean Comparison Theorem cannot be extended to Poisson case", Journal of Applied Probability 41(4), 1199-1202 (.pdf, .ps).
  

• Vecer, J.,  F. Kopriva, T. Ichiba (2009): "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 Sports 3(3), Article 6 (.pdf, .ps).
• Vecer, J. (2004): "Optimal Control for Squash Player", Journal of Chinese Statistical Association 42(2), 92-99 (.pdf, .ps). 

Present 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)

• Petr Novotny (2010): Optimal Portfolio Execution and High Frequency Financial Data.
  
• 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.
  
• 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). Currently Assistant Professor at Columbia University, Department of Civil Engineering.
  
• 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. Currently Assistant Professor at City University of New York, Brooklyn College, Department of Mathematics.
  

MSc:

• Burcu Yildirim (2008): Crude Oil Prices: Mean Reversion in the Spot? Futures Know the Future?
  
• 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)

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