Životopis/Biography

Jaksa Cvitanic
 
Službeni kontakti
Institucija: University of Southern California
Odjel: Department of Mathematics
Pozicija : Professor of Mathematics and Economics
Ulica i broj : 3620 Vermont Ave, KAP 108, MC 2532 ,  Los Angeles, CA 90089-2532 ,  United States
Telefon ,  Fax : (213) 740- 3794 ,  (213) 740-2424
E-mail cvitanic@math.usc.edu
Web http://math.usc.edu/~cvitanic
Područja i polja
  matematika (Matematika.Prirodne znanosti)
  statistika (Matematika.Prirodne znanosti)
  financije i fiskalna politika (Ekonomija.Društvene znanosti )
Obrazovanje
1992 Ph.D.
Columbia University Statistics
,  United States
1991 M.Phil.
Columbia University Statistics
,  United States
1988 Magisterij
Sveuciliste u Zagrebu Matematika
Zagreb ,  Hrvatska (Croatia)
1985 Diploma
Sveuciliste u Zagrebu Matematika
Zagreb ,  Hrvatska (Croatia)
Zaposlenja
1999 Professor of Mathematics and Economics
Department of Mathematics University of Southern California ,  Los Angeles ,  United States

1997 - 1999 Associate Professor
Department of Statistics Columbia University ,  ,  United States

1995 - 1998 Znanstveni Pripravnik
PMF Sveuciliste u Zagrebu ,  Zagreb ,  Hrvatska (Croatia)

1993 - 1994 Research Associate
Institute of Mathematics and its Applications University of Minnesota ,  ,  United States

1992 - 1997 Assistant Professor
Department of Statistics, Columbia University ,  ,  United States

Akademski rad
Nastava
:: :: - :: :: Stochastic methods in finance; , 
:: :: - :: :: Stochastic processes and applications I and II; , 
:: :: - :: :: Stochastic Calculus for Finance; , 
:: :: - :: :: Stochastic Methods in Finance; , 
:: :: - :: :: Statistics for behavioral scientists , 
:: :: - :: :: Probability and Statistical Inference; , 
:: :: - :: :: Intro to statistics; , 
:: :: - :: :: Intro to statistical reasoning; , 
:: :: - :: :: Statistical inference; , 
:: :: - :: :: Financial Markets; , 
Gostovanja
2002 Keynote Speaker,  Quantitative Methods in Finance ,  ,  Cairns/ Sydney ,  Australia
2002 Invited Speaker,  Columbia University ,  CAP Conference on Financial Engineering, , 
2002 Invited Speaker,  Carnegie Mellon University ,  Conference on "Incomplete Financial Markets" , 
2001 Invited Speaker,  So. California Probability Symposium ,  ,  Irvine ,  United States
2001 Invited speaker ,  INRIA Rocquencourt ,  Workshop on Applications of Malliavin Calculus to Finance. ,  France
2000 Invited Speaker ,  Columbia-JAFEE conference on Mathematical Finance ,  ,  Tokyo ,  Japan
2000 Invited Speaker,  Boston University ,  Mathematical Finance Day ,  Boston ,  United States
2000 Lecturer,  Mini-course on Financial Mathematics ,  ,  Johannesburg ,  South Africa
2000 Invited Speaker,  Mathematical Congress ,  ,  Zagreb ,  Hrvatska (Croatia)
1999 Invited Speaker,  Southern California Probability Symposium, ,  USC ,  Fall ,  United States
1999 Lecturer, Mini-course on Financial Mathematics,  Universite Paris I ,  ,  Paris ,  France
1999 Invited speaker,  International conference on Mathematical Finance ,  ,  Hammamet ,  Tunisia
1998 Lecturer, Mini-course on Financial Mathematics, ,  Technische Universitat Berlin ,  Berliner Graduiertenkolleg "Stochastische Prozesses und Probabilistische Analysis ,  Berlin ,  Germany
1997 Invited speaker ,  Quantitative Methods in Finance ,  Australia
1996 Lecturer,  Summer School on Financial Mathematics ,  Centro Internazionale Matematico Estivo 1996 ,  Bressanone ,  Italy
1996 Invited speaker,  Universite de Montreal ,  CIRANO-CRM Conference on Mathematical Finance ,  Montreal ,  Canada
1995 Invited speaker, Bank of England Conference -,  University of Cambridge ,  Mathematics of Finance: Models, Theory and Computation, The Newton Institute of Mathematical Sciences ,  Cambridge ,  United Kingdom
1994 Invited speaker,  IMS Eastern Regional Conf ,  ,  Cleveland ,  United States
1993 Invited speaker,  IMA, Minneapolis ,  Math. Finance Wkshp ,  Minneapolis ,  United States
1992 Invited speaker,  Institute Henri Poincare ,  Workshop on Financial Mathematics ,  Paris ,  France
Kongresi
Projekti
2001 - 2004
NSF Grant DMS 0099549

1998 - 2001
NSF Grant DMS-97-32810

1995 - 1998
ARO Grant DAAH04-95-1-0528

1995 - 1998
NSF Grant DMS-95-03582

1994 - 1995
NSF Grant DMS-93-19816

Knjige
Jaksa   Cvitanic F. Zapatero
Introduction to Economics and Mathematicsof Financial Markets. . ,  MIT Press, forthcoming ,  2003
  E. Jouini, ; M. Musiela,
Handbooks in Mathematical Finance: . ,  Option Pricing, Interest Rates and Risk Management ,  Jaksa ,  Cvitanic ,  Cambridge University Press ,  Cambridge ,  2001
Jaksa   Cvitanic
Special issue on Columbia-JAFEE conference on the Mathematics of Finance, ,  Jaksa ,  Cvitanic ,  Asia-Pacific Financial Markets 6 ,  1999
Članci
Jaksa   Cvitanic
Cadenillas, A.; Zapatero, F.
Leverage decision and manager compensation with choice of effort and volatility. To appear in Journal of Financial Economics. ,  2003

Jaksa   Cvitanic
MA, Zhang
"Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs". Mathematical Finance ,  2003 ,  13,
135-151
Jaksa   Cvitanic
Gouaksian, L. ; Zapatero, F.
"Monte Carlo simulation of optimal port folios in complete markets". Journal of Economic Dynamics and Control ,  2003 ,  27,
971-986.
Jaksa   Cvitanic
Lazrak, A.; Martellini, L.; Zapatero, F.
Optimal Allocation to Hedge Funds: An Empirical Analysis. Quantitative Finance ,  2002 ,  3,
1-12.
Jaksa   Cvitanic
Lazrak, A.; Quenez, M.C.; Zapatero, F.
FIncomplete information with recursive preferences. International J. of Theoretical and Applied Finance ,  2001 ,  4,
245-261.
Jaksa   Cvitanic
Schachermayer, W.; Wang, H.
Utility maximization in incomplete markets with random endowment. Finance & Stochastics ,  2001 ,  5,
259-272
Jaksa   Cvitanic
Wang, H.
On optimal terminal wealth under transaction costs. J. of Mathematical Economics ,  2001 ,  35,
223-232.
Jaksa   Cvitanic
MA, J.
Reflected forward-backward SDE's and obstacle problems with boundary conditions. Journal of Appl. Math. & Stoch. Anal. ,  2001 ,  14,
113-138
Jaksa   Cvitanic

Minimizing expected loss of hedging in incomplete and constrained markets. SIAM J.Control & Optimization, ,  2000 ,  38

Jaksa   Cvitanic
Karatzas, I.
Generalized Neyman-Pearson Lemma via convex duality. Bernoulli ,  1999 7
79-97
Jaksa   Cvitanic

Methods of partial hedging. Asia-Pacific Financial Markets ,  1999 ,  6,
7-35
Jaksa   Cvitanic
Spivak, G.
Maximizing the probability of perfect hedge. The Annals of Applied Probability ,  1999 ,  9,
1303-1328
Jaksa   Cvitanic
Karatzas, I.
On dynamic measures of risk. Finance & Stochastics, ,  1999 ,  4,
451-482
Jaksa   Cvitanic
Karatzas, I.; Soner, H.M.
Backward SDEs with constraints on the gains-process. Annals of Probability ,  1999 ,  26,
1522-1551
Jaksa   Cvitanic
Pham, H. Touzi, N.
Super-replication in stochastic volatility models under portfolio constraints. J. of Applied Probability ,  36, ,  1999 ,  No.2.

Jaksa   Cvitanic
Pham, H. Touzi, N.
A closed form solution to the problem of super-replication under transaction costs. Finance & Stochastics ,  1998 3
35-54
Jaksa   Cvitanic
Broadie, M.; Siner, M.
Optimal replication of contingent claims under portfolio constraints. Rev. of Financial Studies ,  1998 ,  11
59-79
Jaksa   Cvitanic
Cuoco, D.
Optimal consumption choices for a large investor. J. Econ. Dynamics and Control ,  1998 ,  22
401-436
Jaksa   Cvitanic
Karatzas, I.
Backward SDE's with reflection and Dynkin games. Annals of Probability ,  1996 ,  24
2024-2056
Jaksa   Cvitanic
Ma, J.
Hedging options for a large investor and Forward-Backward SDE's. Annals of Applied Probability ,  1996 6
370-398
Jaksa   Cvitanic
Soner, M. ; Shreve S.
There is no nontrivial hedging portfolio for option pricing with transaction costs. Annals of Applied Probability ,  1995 5
327-355
Jaksa   Cvitanic
Karatzas, I.
On portfolio optimization under drawdown constraints. IMA Volumes in Math. and its Appl. ,  1995 ,  65
35-46
Jaksa   Cvitanic
Karatzas, I.
Contingent claim valuation and hedging with constrained portfolios. IMA Volumes in Math. & Appl. ,  1995 ,  65
13-34
Jaksa   Cvitanic
Karatzas,I.
Hedging contingent claims with constrained portfolios. Annals of Applied Probability, ,  1993 3
652-681
Jaksa   Cvitanic
Karatzas, I.
Convex duality in constrained portfolio optimization. Annals of Applied Probability ,  1992 ,  2,
767-818
Zbornici
Jaksa   Cvitanic Goukasian, L.; Zapatero, F.
Hedging with Monte Carlo Simulation". ,  "Computational Methods in Decision-Making, Economics and Finance". ,  Kluwer Academic Publishers
2001
Jaksa   Cvitanic E. Jouini, E.; Musiela, M.
Theory of portfolio optimization in markets with friction ,  Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management. ,  Cambridge University Press,
2001
Jaksa   Cvitanic Liptser, R.; Rozovski, B.
Tracking Volatility. ,  Proceedings of CDC.
2000
Jaksa   Cvitanic
Optimal Trading Under Constraints. ,  In Financial Mathematics, ,  Lecture Notes in Mathematics 1656, Springer.
1997
Jaksa   Cvitanic
Nonlinear financial markets: hedging and portfolio optimization. ,  In Mathematics of Derivative Securities ,  Proc. of the Isaac Newton Institute, Cambridge University Press.
1997
Nagrade
1988
Columbia University Fellowship ,  , 
1992
American Statistical Association Scholastic Excellence Award, ,  , 
AMAC
Član ,  AMAC New York
Članstva / Društva
:: :: - :: :: Bachelier Finance Society ,  , 
Recenzentski pool
  DA
Suradnja
  Znanstvena suradnja;  
Područje ekspertize
Financial Mathematics, Mathematical Economics, Stochastic Differential Equations, Stochastic Control.

- Stochastic Optimal Control in Financial Mathematics
- Backward Stochastic Differential Equations
- Principal/Agent Problems in Economics

Financial Mathematics is the field which studies how to price complex
financial instruments, and how to optimally invest money or hedge
risks in financial markets. Jaksa Cvitanic has co-authored some
fundamental and influential papers on the problems of pricing,
investment and hedging in financial markets with the following type of frictions:
- portfolio constraints, such as constraints on borrowing or selling short;
- transaction costs when moving money between financial assets;
- presence of large investors, who can manipulate the market prices;
- imperfect information on assets returns and optimal allocation to actively managed funds;
He has also written papers on numerical methods for
computing optimal trading strategies, and statistical methods
for estimating parameters of financial market models.

He has also written papers in the theory of stochastic optimal control and
stochastic differential equations. In particular, he has published work on
the connection between backward stochastic differential equations and
optimal stopping games, and a connection between
forward-backward stochastic differential equations with reflection and
obstacle problems in the theory of partial differential equations.

Recently, he has worked on the problems of optimal compensation of
executives. The problem is to find an optimal combination of paying
a firm's executive through salary, bonuses and stock options,
in such a way to make the executive work harder for the benefit of the
firm, while at the same time working for his/her benefit.

His former doctoral students are found at such
investment firms as Goldman Sachs, J.P. Morgan and Credite
Suisse First Boston. He is a co-editor of the journal
"Finance and Stochastics", and an associated editor of
"Mathematical Finance", "The Annals of Applied Probability",
"Asia-Pacific Financial Markets" and "Mathematics of Operations Research".