Životopis/Biography Jaksa Cvitanic

Official Contact Inforamtion Institution: University of Southern California Department Name: Department of Mathematics Position : Professor of Mathematics and Economics Street And Number : 3620 Vermont Ave, KAP 108, MC 2532 ,  Los Angeles, CA 90089-2532 ,  United States Official Phone ,  Official Fax : (213) 740- 3794 ,  (213) 740-2424 E-mail cvitanic@math.usc.edu Web http://math.usc.edu/~cvitanic   mathematics (Mathematics.Natural Sciences)   statistics (Mathematics.Natural Sciences)   finance and fiscal policy (Economics .Social Sciences ) Education 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) Employment Positions 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 Academic Positions Teaching :: :: - :: :: 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; ,  ,  Guest teacher 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 Congres Projects 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 ,  ,  Publications 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 Articles 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 Serials 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 Awards 1988 Columbia University Fellowship ,  ,  1992 American Statistical Association Scholastic Excellence Award, ,  ,  AMAC Member ,  AMAC New York Memberships All :: :: - :: :: Bachelier Finance Society ,  ,  Pool   YES Cooperation   Znanstvena suradnja;   Expertise 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".