Oldrich A. Vasicek - Finance, Economics, and Mathematics
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Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich A. Vasicek is synonymous with cutting-edge research in the finance fields, and this book comes straight from the source to bring you the undiluted mother lode of quant wisdom from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents the lifes work of an industry leader. Going beyond the papers, youll also find the more personal side inspirational as Vasicek talks about the academics and professionals who made lasting impressions and collaborated, debated, and ultimately helped spawn some of his greatest thinking.
Oldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. Youve followed his work for years; this book puts it all in a single volume to give you the definitive reference youll turn to again and again.
- Explore Vasiceks insights on topics he helped create
- Discover his research and ideas that have gone unpublisheduntil now
- Understand yield curves and the Vasicek model from the source himself
- Gain a reference collection of some of the most influential work in quantitative finance
Vasiceks research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.
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Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
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Library of Congress Cataloging-in-Publication Data
Vasicek, Oldrich Alfons, 1941- author.
[Essays. Selections]
Finance, economics, and mathematics / Oldrich Alfons Vasicek.
pages cm
Includes index.
ISBN 978-1-119-12220-3 (cloth), ISBN 978-1-119-18620-5 (epub), ISBN 978-1-119-18621-2 (ePDF)
1. Finance. 2. Economics. 3. Finance, Mathematical. I. Title.
HG173.V36 2015
332dc23
2015026777
Cover Design: Wiley
Cover Image: Tech background RomanOkopny / iStockphoto
About a half century ago began a remarkable intellectual revolution which transformed the field of finance from a collection of anecdotes and accounting identities into a scientific discipline with general principles and rigorous empirical assessments of its hypotheses. In the ensuing decades, finance science was both shaped, and shaped by, the extraordinary transformation of the practice of finance.
Oldrich Vasicek was one of the pioneer scientists to provide foundational contributions in the pricing and risk measurement of fixed income securitiesdefault-free bonds that form the term structure of interest rates, and credit-risky bonds and loansand to implement them in practice. Here we have the collection of the original papers and articles of his intellectual history of thoughtwith the content of the models still applicable today.
Whether a master researcher, experienced finance professional or novice student of finance, you are in for a treat.
Bon apptit!
Robert C. Merton
Distinguished Professor of Finance
MIT Sloan School of Management
1997 Nobel Memorial Prize in Economic Sciences
This book is a selection of my published and unpublished papers written between 1968, when I came to the United States, and 2014. The ideas for them came to me at different times and in different circumstances. I have worked as a theoretical mathematician in the Czech Academy of Sciences, as a vice-president in a large U.S. bank, as an external consultant in a small investment technology software developer, as a full-time professor and a visiting professor at several universities. I have been a founding partner and a managing director in a startup, a special adviser for a large bond rating firm and, since 2010, an independent researcher not associated with any institution.
I cannot say which was the most satisfying. It has all been fun, and still is. I have met, and in many cases worked with, many extremely interesting and capable people. These meetings, discussions, and collaboration have meant a lot to me.
I have usually worked somewhat outside the organizational structure. I have never had a subordinate, which was exactly as I wanted it. And I have been very fortunate that I rarely found much discrepancy between what I wanted to work on, and between what seemed to be needed at the time.
I have enjoyed collaborating with other people. A number of the papers in this collection are joint works. I would like to take this opportunity to thank my coauthors: Gifford Fong, my one-time employer and long-time friend, with whom I wrote six of the papers here; John McQuown, who hired me to Wells Fargo Bank on my arrival to the USA, with whom, along with Stephen Kealhofer, we founded the KMV Corporation years later, and with whom I have been friends the whole time; my colleague at the University of Rochester, the late Professor Julian Keilson; and the tireless and resourceful Professor Helyette Geman, who arranged my pleasant stay at ESSEC. I appreciate their input, insights, and joint work.
I would like to express my thanks and appreciation to many people. There are some, however, that I cannot but mention specifically: my father, JUDr. Oldich Vaek, who encouraged and supported my interest in mathematics from early childhood; the late Professor Alois Apfelbeck, much feared for his first-year analysis class, who singlehandedly, and successfully, opposed the Party authorities from expelling me from the university; John McQuown, who introduced me to finance; Professor Richard Roll, whose critique of an earlier draft of my 1977 paper made me to rewrite it for much improvement; and Professor Robert Merton, one of the smartest yet gracious people I know. To these and many other people who helped me by advice, debate, collaboration, or example, I wish to give my gratitude.
Oldrich Alfons Vasicek
August 2014
Efforts and Opinions
Introduction to Part I
Risk, 72-73, December 2002
The past fifty years or so have been a time of great bloom in the field of finance. This period has seen the birth of concepts such as variance as a quantitative definition of risk, portfolio diversification as a means of controlling risk, portfolio optimization in the mean/variance framework, expected utility maximization as an investment and consumption decision making criterion. These notions were applied in the development of Capital Asset Pricing Model to describe the market equilibrium, to the concepts of systematic and specific risks and the introduction of asset beta. We have witnessed the revolution brought by the theory of options pricing. We have seen the appearance of the general principle of asset pricing as the present value of the cash flows expected under the risk-neutral probability measure. We have seen the development of the theory of the term structure of interest rates and the pricing of interest rate derivatives.
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