Jan Vecer
Mathematical finance · Statistics · Information theory
I teach and conduct research in quantitative finance and statistics at Charles University in Prague. I am also a Visiting Professor at the Frankfurt School of Finance & Management.
My work connects financial prices, probability models, and portfolio choice. The Prices as Information project develops this connection through concise explanations, interactive models, and links to the research behind them.
Research
My research interests include portfolio theory, derivative pricing and hedging, stochastic processes, and prediction markets. A recurring question is what becomes simpler when a price is read as a likelihood ratio and an investment position as a probability distribution over future outcomes.
The interactive guide begins with the binomial model. It then follows the same structure through richer distributions, utility and risk aversion, mean–variance approximation, and option-implied measures.
Selected articles on this site provide entry points into the published and forthcoming work. The forthcoming Quantitative Finance article, Relative-entropy tests of market efficiency, connects efficiency tests to conditional information and attainable log growth. Its author manuscript is available here, with DOI 10.1080/14697688.2026.2749693.
Recent talks include the October 2026 Columbia lectures, Cornell CFEM seminar, and Bloomberg BBQ presentation.
Further research and professional profiles:
Books
Principles of Portfolio Choice: An Information-Theoretic, Likelihood-Based Perspective, forthcoming from Chapman & Hall/CRC, develops portfolio selection through the correspondence between normalized payoffs and probability measures.
Stochastic Finance: A Numeraire Approach, CRC Press, 2011, presents derivative valuation and hedging through relative prices and changes of numeraire.
Academic background
I received my PhD in Mathematical Finance from Carnegie Mellon University in 2000. I was a faculty member in the Department of Statistics at Columbia University from 2001 to 2010, and Professor of Finance at the Frankfurt School of Finance & Management from 2010 to 2015, continuing there as a visiting professor since 2015.
My teaching has also included courses at the University of Michigan and Kyoto University. The publisher’s biography gives further background on my academic and applied work.
Contact
Jan Vecer
Department of Probability and Mathematical Statistics
Faculty of Mathematics and Physics, Charles University
Sokolovská 83, 186 75 Prague 8, Czech Republic