My name is Karel Janecek, e-mail email@example.com.
I completed my Ph.D. at the Mathematical Finance program at Carnegie Mellon University in summmer 2004. Afterwards I worked as a research scientist in Financial Mathematics at the Johann Radon Institute for Computational and Applied Mathematics (RICAM), Austrian Academy of Sciences. Since summer 2005 I have worked full time at the propriatory trading investment house RSJ Invest, a.s. , where I am a member of the Board of Directors.
RSJ Invest, a.s.
Wratislavsky palac, Trziste 13
118 00 Prague 1
Phone: +420 25753 1234
Fax: +420 25753 0645
RSJ Invest, a.s. is a member of the Euronext.LIFFE (London International Futures and Options Exchange). The company serves as a Designated Market Maker (DMM) for the short-term interest rate (STIR) futures contracts.
RSJ Invest is the largest propriatory trader on the derivative exchange, trading around 4% of the entire exchange volume. The trading volume of RSJ Invest exceeds 2 million lots per month.
My current research interests include the expected utility maximization under transaction costs. Recently I obtained an explicit asymptotic formula for the loss in value function for small transaction costs. This has been an open question until now, even though the results are of major importance for practical portfolio management and hedging applications.
The paper is a joint work with prof. S.E. Shreve. It was published in Finance and Stochastics(8), 2004.You can download the paper Asymptotic Analysis for Optimal Investment and Consumption with Transaction costs in pdf format.
You can download the working paper What is a realistic aversion to risk for real-world individual investors? in pdf format.
You can download the working paper The low risk free rate is not too low in pdf format.