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Jaksa Cvitanic
Jaksa Cvitanic
Adresse e-mail validée de hss.caltech.edu
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Convex duality in constrained portfolio optimization
J Cvitanić, I Karatzas
The Annals of Applied Probability, 767-818, 1992
8771992
Backward stochastic differential equations with reflection and Dynkin games
J Cvitanic, I Karatzas
The Annals of Probability, 2024-2056, 1996
4361996
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
J Cvitanić, I Karatzas
Mathematical finance 6 (2), 133-165, 1996
4111996
Hedging contingent claims with constrained portfolios
J Cvitanić, I Karatzas
The Annals of Applied Probability, 652-681, 1993
4111993
There is no nontrivial hedging portfolio for option pricing with transaction costs
HM Soner, SE Shreve, J Cvitanic
The Annals of Applied Probability 5 (2), 327-355, 1995
3691995
Introduction to the economics and mathematics of financial markets
J Cvitanic, F Zapatero
MIT press, 2004
3232004
On dynamic measures of risk
J Cvitanić, I Karatzas
Finance and Stochastics 3 (4), 451-482, 1999
2981999
Utility maximization in incomplete markets with random endowment
J Cvitanić, W Schachermayer, H Wang
Finance and Stochastics 5 (2), 259-272, 2001
2872001
Hedging options for a large investor and forward-backward SDE's
J Cvitanić, J Ma
The annals of applied probability 6 (2), 370-398, 1996
2821996
Contract theory in continuous-time models
J Cvitanic, J Zhang
Springer Science & Business Media, 2012
2712012
Optimal consumption choices for a ‘large’investor
D Cuoco, J Cvitanić
Journal of Economic Dynamics and Control 22 (3), 401-436, 1998
2261998
On portfolio optimization under" drawdown" constraints
J Cvitanic, I Karatzas
2121994
Non-linear pricing theory and backward stochastic differential equations
B Biais, T Björk, J Cvitanić, N El Karoui, E Jouini, JC Rochet, N El Karoui, ...
Financial Mathematics: Lectures given at the 3rd Session of the Centro …, 1997
1861997
Leverage decision and manager compensation with choice of effort and volatility
A Cadenillas, J Cvitanić, F Zapatero
Journal of Financial Economics 73 (1), 71-92, 2004
1822004
A closed-form solution to the problem of super-replication under transaction costs
J Cvitanić, H Pham, N Touzi
Finance and stochastics 3, 35-54, 1999
1721999
Super-replication in stochastic volatility models under portfolio constraints
J Cvitanić, H Pham, N Touzi
Journal of Applied Probability 36 (2), 523-545, 1999
1701999
Optimal replication of contingent claims under portfolio constraints
M Broadie, J Cvitanić, HM Soner
The Review of Financial Studies 11 (1), 59-79, 1998
1641998
Interest rate theory
B Biais, T Björk, J Cvitanić, N El Karoui, E Jouini, JC Rochet, T Björk
Financial Mathematics: Lectures given at the 3rd Session of the Centro …, 1997
1621997
Dynamic programming approach to principal–agent problems
J Cvitanić, D Possamaï, N Touzi
Finance and Stochastics 22, 1-37, 2018
1432018
High frequency traders and asset prices
J Cvitanic, AA Kirilenko
Available at SSRN 1569067, 2010
1432010
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