Oldrich Vasicek


Oldrich Vasicek

Oldrich Vasicek (né en 1942) est un mathématicien et économiste tchèque.

Détenteur d'un doctorat en probabilités, il s'est réfugié aux États-Unis après le printemps de Prague. Il a alors travaillé pour la banque Wells Fargo à San Francisco où il fit la connaissance de Fischer Black et Myron Scholes dès 1970. Il étendit leurs travaux à la dynamique des taux d'intérêt. Son article "An Equilibrium of the Term Structure" (caractérisation de l'équilibre des taux à terme) publié dans le Journal of Financial Economics en 1977 a fondé la théorie moderne des taux d'intérêt et facilité le développement considérable de ce marché.


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