RESEARCH PAPERS:
Cvitanic, Plott and Tseng (2012) Price
mean-reversion
in markets with random lifetimes and reservation values.
Submitted.
Capponi, Cvitanic, and Yolcu
(2012) Contracting With Effort and Misvaluation.
Forthcoming in "Mathematics and Financial Economics", 7, 93-128.
.Published
by Springer,
and available at http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s11579-012-0088-z
Cvitanic, Wan and Yang
(2012) Dynamics of Contract Design with Screening. Forthcoming in
Management Science.
Capponi, Cvitanic, and Yolcu
(2012) A Variational Approach to Contracting under Imperfect
Observations. "SIAM J on Financial Mathematics", 3, 605-638.
Published by SIAM and available at
http://epubs.siam.org/doi/abs/10.1137/110859075
Cvitanic
and Malamud (2011) "Price Impact and Portfolio Impact".
Journal of Financial Economics 100, 20--225.
Cvitanic,
Jouini, Malamud and Napp (2011) "Financial Markets Equilibrium with
Heterogeneous Agents". Review of Finance, 16, 285-321.
Cvitanic Radas and
Sikic (2011) "Co-development Ventures: Optimal Time of Entry and
Profit-Sharing". J. of Economic Dynamics and Control 35, 1710-1730.
Cvitanic, Ma, Zhang (2011)
Laws of Large Numbers for Self-Inciting Correlated Defaults. Stochastic
Processes and Applications 122, 2781-2810
Asparouhova,
Bossaerts, Copic, Cornell, Cvitanic, Meloso (2010)
"Experiments on Asset Pricing Under Delegated Portfolio Management".
Submitted.
Cvitanic,
Kirilenko (2010) "High-Frequency Traders and Asset Prices". Working
paper.
Cvitanic and
Malamud (2010) "Relative Extinction of Heterogeneous Agents". The
B.E. Journal of
Theoretical Economics: Vol. 10 : Iss. 1 (Contributions), Article 4.
Available at: http://www.bepress.com/bejte/vol10/iss1/art4
Cornell-Cvitanic-Goukasian
(2009) "Beliefs Regarding Fundamental Value and Optimal Investing".
Annals of Finance.
Published
by Springer,
and available at http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s10436-009-0133-y
Cvitanic and Malamud
(2009) "Nonmyopic Optimal Portfolios in Viable Markets." Submitted.
Cvitanic, Wan, Zhang (2009)
"Optimal Compensation with Hidden Action and Lump-Sum
Payment in a Continuous-Time Model". Applied Mathematics
and Optimization 59, 99-146. Published by Springer,
and available at
http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s00245-008-9050-0&sa_campaign=Email/ACE/Paginated
Capponi-Cvitanic
(2009)
"Credit Risk Modeling with Misreporting and
Incomplete Information". International Journal of Applied and
Theoretical Finance, 12, 81-112.
Cvitanic (2008) "On managerial
risk-taking incentives when compensation may be hedged against".
Working paper.
Cvitanic-Wan-Zhang
(2008) "Principal-Agent Problems with Exit Options". The B.E.
Journal in Theoretical Economics 8.
Cvitanic, J., Lazrak, A., Wang, T. (2008)
"Sharpe ratio as a performance measure in a multi-period
model." J. of Econ. Dynamics and Control 32,
1622-1649 .
Cvitanic-Polimenis-Zapatero
(2008) "Optimal Portfolio Allocation with Higher
Moments".
Annals of Finance, 4, 1-28. Published by Springer, and available
at
http://dx.doi.org/10.1007/s10436-007-0071-5
Cvitanic,
Wiener, Zapatero (2008)
"Analytic Pricing of Employee Stock Options".The Review of
Financial Studies, 21, 683 - 724.
Cvitanic
and Zhang (2007)
"Optimal Compensation with Adverse Selection and Dynamic
Actions". Mathematics and Financial Economics 1, 21-55. Published
by Springer, and available at http://dx.doi.org/10.1007/s11579-007-0002-2
Cvitanic-Goukasian-Zapatero
(2007) "Optimal Risk Taking with Flexible
Income." Management Science 53, 1594-1603.
Cadenillas, Cvitanic, Zapatero (2007)
"Optimal Risk-Sharing with Effort and Project Choice". J. of
Economic Theory, 133, 403-440.
Cvitanic and Zhang (2005)
"The Steepest Descent Method for FBSDEs", Electronic Journal
of Probability 10, 1468-1495.
Cvitanic-Rozovski-Zaliapin (2006)
"Numerical estimation of volatility values from discretely observed
diffusion data ". Journal of Computational Finance, 9.
Cvitanic-Liptser-Rozovski (2006) "A filtering approach to tracking
volatility from prices observed at random times". The Annals of
Applied Probability, 16, 1633-1652.
Cvitanic,-Lazrak-Martellini-Zapatero (2006)
"Dynamic Portfolio Choice with Parameter Uncertainty and the
Economic Value of Analysts' Recommendations}". The Review of
Financial Studies, 19, 1113-1156, LEAD ARTICLE.
Cvitanic, Wan, Zhang (2006)
" Optimal Contracts in Continuous-Time Models " . J. of
Applied Mathematics and Stochastic Analysis , vol. 2006, Article
ID 95203, 1--27.
Cadenillas, Cvitanic, Zapatero (2004)
"Leverage decision and manager compensation with choice of effort
and volatility. J. of Financial Economics 73, 71-92 ."
Cvitanic,-Lazrak-Martellini-Zapatero (2003)
"Optimal Allocation to Hedge Funds: An Empirical Analysis."
Quantitative Finance 3, 1-12.
Cvitanic-Ma-Zhang (2003)
"Efficient Computation of Hedging Portfolios for Options with
Discontinuous
Payoffs". Mathematical Finance, 13.
Cadenillas-Cvitanic-Zapatero (2001)
"Executive Stock Options with Effort Disutility and Choice
of Volatility". Preprint.
PS-file
PDF file
Cvitanic-Lazrak-Quenez-Zapatero (2001) "Incomplete Information with
Recursive Preferences". International J. of Theoretical
and Applied
Finance 4, 245-261 .
Cvitanic-Goukasian-Zapatero (2003) Monte
Carlo
computation of optimal portfolios in complete markets. J. of Economic
Dynamics and Control 27, 971-986.
Cvitanic-Goukasian-Zapatero (2002) "Hedging with Monte Carlo
Simulation". In E. Kontoghiorghes, B. Rustem
and S. Siokos (eds.), "Computational Methods in Decision-Making,
Economics and Finance". Kluwer Academic Publishers.
Cvitanic-Schachermayer-Wang (2001) "Utility
maximization
in incomplete markets with random endowment". Finance &
Stochastics, 5.
Lecture
Notes (2001) "Theory of portfolio optimization in
markets with frictions". "Handbook of Mathematical Finance", Cambridge
University Press.
Lecture Notes (1997)
"Optimal Trading Under Constraints". Lecture Notes in
Mathematics 1656, Springer.
Cvitanic-Wang
(2001) "On optimal terminal wealth under transaction costs." J. of
Mathematical Eonomics, 35.
Cvitanic-Karatzas
(2001) "Generalized
Neyman-Pearson Lemma via
convex duality". Bernoulli, 7.
Cvitanic (2000): "Minimizing expected loss of
hedging
in incomplete and constrained markets." SIAM J. Contr. & Optim.,
38.
Cvitanic-Karatzas (1999): "On Dynamic Measures
of Risk." Finance & Stochastics, 4.
Cvitanic-Karatzas-Soner (1999): "Backward
SDEs
with constraints on the gains-process." Annals of Probability, 26.
Cvitanic-Pham-Touzi
(1999): "Super-replication
in Stochastic Volatility Models under Portfolio Constraints". J. of
Appl. Probability, 36.
Cvitanic-Pham-Touzi
(1999): "A closed-form solution for the problem of super-replication
under transaction costs", Finance and Stochastics 3,35-54 .
Cvitanic-Karatzas (1995)
"Hedging and portfolio optimization under transaction costs:
martingale approach.
Mathematical Finance 6, 133-165.
Cvitanic-Karatzas
(1995)
"On portfolio optimization under drawdown
constraints. IMA Volumes in Math. and its Appl. 65, 35-46.
Maximizing
the Probability of a Perfect Hedge
Gennady Spivak; Jaksa Cvitanic
The Annals of Applied Probability
> Vol. 9, No. 4 (Nov., 1999), pp. 1303-1328
M
Broadie, J Cvitanic, and HM Soner
(1998) Optimal replication of contingent claims under
portfolio constraints, Rev. Financ. Stud. 11: 59-79;
Backward stochastic differential equations with
reflection and Dynkin games
Jaksa Cvitanic; Ioannis Karatzas
Annals
of Probability 24, no. 4 (1996),
2024–2056
Hedging
Options for a Large Investor and Forward-Backward SDE's
Jaksa Cvitanic; Jin Ma
The Annals of Applied Probability
> Vol. 6, No. 2 (May, 1996), pp. 370-398
There
is no Nontrivial Hedging Portfolio for Option Pricing with Transaction
Costs
H. M. Soner; S. E. Shreve; J. Cvitanic
The Annals of Applied Probability
> Vol. 5, No. 2 (May, 1995), pp. 327-355
Hedging
Contingent Claims with Constrained Portfolios
Jaksa Cvitanic; Ioannis Karatzas
The Annals of Applied Probability
> Vol. 3, No. 3 (Aug., 1993), pp. 652-681
Convex
Duality in Constrained Portfolio Optimization
Jaksa Cvitanic; Ioannis Karatzas
The Annals of Applied Proba bility
> Vol. 2, No. 4 (Nov., 1992), pp. 767-818