Jaksa Cvitanic

Richard N. Merkin Professor of Mathematical Finance; Director, Ronald and Maxine Linde Institute of Economic and Management Sciences
B.A., University of Zagreb (Croatia), 1985; M.S., 1988; M.Phil., Columbia University, 1991; Ph.D., 1992. Professor, Caltech, 2005-13; Merkin Professor, 2013-; Associate Director, Ronald and Maxine Linde Institute of Economic and Management Sciences, 2015-16; Director, Ronald and Maxine Linde Institute of Economic and Management Sciences, 2016-.

RESEARCH AREAS

Business, Economics and Management; Economic Theory

RESEARCH INTERESTS

Mathematical Finance; Contract Theory; Stochastic Optimal Control

PROFILE

Jaksa Cvitanic is interested in mathematical finance, financial engineering, and financial economics. His current research focuses on characterizing optimal contracts for managers hired to manage risk, and designing questionnaires that elicit truthful opinions and rank the expertise of the respondents. He has worked on the theoretical analysis of optimal portfolio selection problems and option pricing problems in financial markets with frictions; the theory of optimal contracting in continuous-time models, with applications to optimal compensation for portfolio managers and executives; and the study of formation of prices in financial markets populated by traders who vary in their risk preferences and other characteristics.

Cvitanic was a postdoc at the University of Minnesota from 1993 to 1994 and a member of the faculty at Columbia University from 1992 to 1999. After a stop at the University of Southern California as a professor of mathematics and economics, he joined Caltech in 2005. Between 2009 and 2012, Cvitanic was a member of the affiliated program faculty at Ecole des Hautes Etudes Commerciales du Nord (EDHEC) Risk Institute in Nice, France. During the academic year 2012–13, he was a professor of finance at EDHEC Business School. He received the American Statistical Association's scholastic excellence award (1992) and was a member of the Council of the Bachelier Finance Society (2003–2005). He has served on the editorial boards of several journals and has taught and developed a variety of undergraduate and graduate courses.

Publications

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