Oldřich Vašíček

Oldřich Alfons Vašíček (born 1942) is a Czech mathematician and quantitative analyst. He received his master's degree in math from the Czech Technical University, 1964, and a doctorate in probability theory from Charles University four years later.

Vašíček left for America, settled in San Francisco, and found employment in the management science department of Wells Fargo Bank in January 1969.

In 1970, that bank sponsored a conference that included Fischer Black and Myron Scholes, who had just begun thinking seriously about the problem of valuing . Of course, their paper on that subject, timed so as to coincide with a related paper by Robert C. Merton, would revolutionize financial economics three years later. Even their preliminary thoughts at the 1970 conference excited Vašíček, who soon made related issues his own life's work.

Vašíček's own breakthrough paper, describing the dynamics of the yield curve, appeared in the Journal of Financial Economics in 1977. In recognition of that paper, and subsequent work, the International Association of Financial Engineers named Vašíček its IAFE/Sungard Financial Engineer of the Year, in 2004.

The mean-reverting short rate model he describes is commonly known as the Vasicek model.

In 1989 Stephen Kealhofer, John McQuown and Oldřich Vašíček founded company KMV. In 2002 the three entrepreneurs sold the company to Moody's for $210 million. In 2007, Moody's KMV was renamed to Moody's Analytics.

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