Details about Jan Vecer

Access statistics for papers by Jan Vecer.

Last updated 2013-02-18. Update your information in the RePEc Author Service.

Short-id: pve279

Working Papers

2007

1. Tradable measure of risk
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2010

1. Portfolio sensitivity to changes in the maximum and the maximum drawdown
   Quantitative Finance, 2010, 10, (6), 617-627 View citations (23)

2009

2. 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, 2009, 5, (1), 20 View citations (10)
3. Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
   Stochastic Processes and their Applications, 2009, 119, (8), 2563-2578 View citations (28)

2007

4. On Probabilistic Excitement of Sports Games
   Journal of Quantitative Analysis in Sports, 2007, 3, (3), 23 View citations (1)

2006

5. Drawdowns preceding rallies in the Brownian motion model
   Quantitative Finance, 2006, 6, (5), 403-409 View citations (20)

2005

6. Insider Trading in Convergent Markets
   Applied Mathematical Finance, 2005, 12, (3), 243-252

2004

7. Pricing Asian options in a semimartingale model
   Quantitative Finance, 2004, 4, (2), 170-175 View citations (33)

2000

8. Options on a traded account: Vacation calls, vacation puts and passport options
   Finance and Stochastics, 2000, 4, (3), 255-274 View citations (16)