PAPERS DOWNLOADS:

Cvitanic and Malamud (2009) "Equilibrium  Driven by Discounted Dividend Volatility". Submitted.

Cvitanic and Malamud (2009) "Relative Extinction of Heterogeneous Agents". Submitted.

Cvitanic and Malamud (2009) "Risk Aversion and Equilibrium Optimal Portfolios in Large Markets". Submitted.

Capponi-Cvitanic (2009) "Credit Risk Modeling with Misreporting and
Incomplete Information". International Journal of Applied and Theoretical Finance, 12, 81-112.

Cornell-Cvitanic-Goukasian (2009) "Beliefs Regarding Fundamental Value and Optimal Investing". Annals of Finance, to appear..
Published by Springer, and available at  http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s10436-009-0133-y

Cvitanic Radas and Sikic (2008) "Co-development Ventures: Optimal Time of Entry and
Profit-Sharing". Submitted.

Cvitanic (2008) "On managerial risk-taking incentives when compensation may be hedged against". 

Cvitanic-Wan-Zhang (2008) "Principal-Agent Problems with Exit Options".  The B.E. Journal in Theoretical Economics  8.

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
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
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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.

 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