Finance, Economics, and Mathematics

Preface

This book is a selection of my published and unpublished papers written between 1968, when I came to the United States, and 2014.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 ...