Jakša Cvitanic
Encyclopedia
Jakša Cvitanić is a Professor of Mathematical Finance
at the California Institute of Technology
. His main research interests are in mathematical finance, contract theory, stochastic control theory, and stochastic differential equations.
Cvitanić has co-authored some fundamental papers on financial markets with portfolio constraints, transaction costs, and other imperfections. He is the author of over thirty articles published in scholarly finance, economics and mathematics journals,http://ideas.repec.org/e/pcv1.html and a co-author, with Fernando Zapatero, of the textbook Introduction to the Economics and Mathematics of Financial Markets. He is one of four co-editors of Finance and Stochastics http://www.springer.com/mathematics/quantitative+finance/journal/780?detailsPage=editorialBoard and Mathematics and Financial Economics,http://www.springer.com/mathematics/quantitative+finance/journal/11579?detailsPage=editorialBoard and is on editorial boards of four other journals.
From 1992 to 1999 he was an Assistant and Associate Professor of Statistics at Columbia University
. From 1999 until 2005, when he joined Caltech, Cvitanić was a Professor of Mathematics and Economics at the University of Southern California
, where he was also the Associate Chair in the Department of Mathematics.
Cvitanić earned a B.Sc. (1985) and M.A. (1988) in Mathematics from the University of Zagreb
, Croatia, and a PhD
in Statistics (1992) from Columbia University
in New York City
. For his PhD thesis, he was awarded the American Statistical Association
Scholastic Excellence Award.
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
at the California Institute of Technology
California Institute of Technology
The California Institute of Technology is a private research university located in Pasadena, California, United States. Caltech has six academic divisions with strong emphases on science and engineering...
. His main research interests are in mathematical finance, contract theory, stochastic control theory, and stochastic differential equations.
Cvitanić has co-authored some fundamental papers on financial markets with portfolio constraints, transaction costs, and other imperfections. He is the author of over thirty articles published in scholarly finance, economics and mathematics journals,http://ideas.repec.org/e/pcv1.html and a co-author, with Fernando Zapatero, of the textbook Introduction to the Economics and Mathematics of Financial Markets. He is one of four co-editors of Finance and Stochastics http://www.springer.com/mathematics/quantitative+finance/journal/780?detailsPage=editorialBoard and Mathematics and Financial Economics,http://www.springer.com/mathematics/quantitative+finance/journal/11579?detailsPage=editorialBoard and is on editorial boards of four other journals.
From 1992 to 1999 he was an Assistant and Associate Professor of Statistics at Columbia University
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
. From 1999 until 2005, when he joined Caltech, Cvitanić was a Professor of Mathematics and Economics at the University of Southern California
University of Southern California
The University of Southern California is a private, not-for-profit, nonsectarian, research university located in Los Angeles, California, United States. USC was founded in 1880, making it California's oldest private research university...
, where he was also the Associate Chair in the Department of Mathematics.
Cvitanić earned a B.Sc. (1985) and M.A. (1988) in Mathematics from the University of Zagreb
University of Zagreb
The University of Zagreb is the biggest Croatian university and the oldest continuously operating university in the area covering Central Europe south of Vienna and all of Southeastern Europe...
, Croatia, and a PhD
PHD
PHD may refer to:*Ph.D., a doctorate of philosophy*Ph.D. , a 1980s British group*PHD finger, a protein sequence*PHD Mountain Software, an outdoor clothing and equipment company*PhD Docbook renderer, an XML renderer...
in Statistics (1992) from Columbia University
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
in New York City
New York City
New York is the most populous city in the United States and the center of the New York Metropolitan Area, one of the most populous metropolitan areas in the world. New York exerts a significant impact upon global commerce, finance, media, art, fashion, research, technology, education, and...
. For his PhD thesis, he was awarded the American Statistical Association
American Statistical Association
The American Statistical Association , is the main professional US organization for statisticians and related professions. It was founded in Boston, Massachusetts on November 27, 1839, and is the second oldest, continuously operating professional society in the United States...
Scholastic Excellence Award.
Selected publications
- Introduction to the Economics and Mathematics of Financial Markets (with Fernando Zapatero). Cambridge, Mass.: MIT Press, 2004. ISBN 0262532654.
- Advances in Mathematical Finance (edited with E. Jouini and Marek Musiela). New York: Cambridge University Press, 2001. ISBN 0521792371.
- Jakša Cvitanić and Jin Ma. "Hedging options for a large investor and forward-backward SDE's". Source: Ann. Appl. Probab. 6, no. 2 (1996), 370–398.
External links
- Cvitanic's web site, caltech.edu
- Research papers, ideas.repec.org
- Portal hrvatskih znanstvenika (out of date)