Jan Vecer

Charles University in Prague - Faculty of Mathematics and Physics

Sokolovska 83

Prague, 186 75

Czech Republic

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 15,940

in Total Papers Downloads

3,109

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014

Number of pages: 24 Posted: 28 Feb 2013 Last Revised: 02 Mar 2016
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 2,136 (6,721)

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Crossing, Soccer, Poisson regression, Multilevel modeling, Sport statistics

Black-Scholes Representation for Asian Options

Mathematical Finance, Forthcoming
Number of pages: 25 Posted: 18 Dec 2012
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 310 (100,005)

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Asian option, Black-Scholes formula, hedging

Black–Scholes Representation for Asian Options

Mathematical Finance, Vol. 24, Issue 3, pp. 598-626, 2014
Number of pages: 29 Posted: 11 Jun 2014
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 1 (704,206)
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Asian option, Black–Scholes formula, hedging

3.

Asian Options on Harmonic Average

Number of pages: 17 Posted: 14 Mar 2013
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 150 (201,811)

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Asset pricing, Asian options, Quanto options, Harmonic average

4.

Dynamic Scoring: Probabilistic Model Selection Based on Utility Maximization

Number of pages: 28 Posted: 15 Nov 2018
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 123 (236,248)
Citation 1

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model selection, utility maximization, explicit supply and demand functions, equilibrium, implied probability, statistical divergence

5.

Can Euromillions Lottery Be Profitable?

Number of pages: 11 Posted: 23 Mar 2013
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 119 (242,087)

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Lottery, Euromillions, Poisson distribution

6.

Utility Based Model Selection and Model Averaging

Number of pages: 28 Posted: 12 Sep 2019
Robert Navratil and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 96 (281,125)

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Utility Maximization, Explicit Demand Function, Equilibrium, Exponential Family, Model Selection, Model Averaging

7.

Inference from the Order Book with Applications to Volatility Estimation

Number of pages: 26 Posted: 26 Nov 2010
Petr Novotny and Jan Vecer
Columbia University - Department of Statistics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 75 (326,879)

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volatility, high frequency data

8.

The Premium Reduction of European, American, and Perpetual Log Return Options

Number of pages: 16 Posted: 22 Oct 2019
Stephen Michael Taylor and Jan Vecer
New Jersey Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 51 (397,117)

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Long Term Portfolio Protection, Option Pricing, Hedging

9.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 48 (407,389)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models