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1

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH

Jakša Cvitanić, Ioannis Karatzas

Journal:

Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.22 MB

english, 1996

2

Convex Duality in Constrained Portfolio Optimization

Jakša Cvitanić and Ioannis Karatzas

Journal:

The Annals of Applied Probability

Year:

1992

Language:

english

File:

PDF, 3.63 MB

english, 1992

3

Hedging Contingent Claims with Constrained Portfolios

Cvitanic, Jaksa, Karatzas, Ioannis

Journal:

The Annals of Applied Probability

Year:

1993

File:

PDF, 2.12 MB

1993

4

CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

CAPPONI, AGOSTINO, CVITANIĆ, JAKŠA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 410 KB

english, 2009

5

Monte Carlo computation of optimal portfolios in complete markets

Jakša Cvitanić, Levon Goukasian, Fernando Zapatero

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 165 KB

english, 2003

6

Utility maximization in incomplete markets with random endowment

Jakša Cvitanić, Walter Schachermayer, Hui Wang

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 110 KB

english, 2001

7

On dynamic measures of risk

Jakša Cvitanić, Ioannis Karatzas

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 207 KB

english, 1999

8

Optimal portfolio allocation with higher moments

Jakša Cvitanić, Vassilis Polimenis, Fernando Zapatero

Journal:

Annals of Finance

Year:

2008

Language:

english

File:

PDF, 396 KB

english, 2008

9

On optimal terminal wealth under transaction costs

Jakša Cvitanić, Hui Wang

Journal:

Journal of Mathematical Economics

Year:

2001

Language:

english

File:

PDF, 75 KB

english, 2001

10

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

Jakša Cvitanić, Jin Ma, Jianfeng Zhang

Journal:

Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 150 KB

english, 2003

11

Price impact and portfolio impact

Jaksa Cvitanić, Semyon Malamud

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 594 KB

english, 2011

12

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Interest rate theory

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.78 MB

english, 1997

13

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Non-linear pricing theory and backward stochastic differential equations

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.64 MB

english, 1997

14

Backward Stochastic Differential Equations with Reflection and Dynkin Games

Jaksa Cvitanic and Ioannis Karatzas

Journal:

The Annals of Probability

Year:

1996

Language:

english

File:

PDF, 1.77 MB

english, 1996

15

There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

H. M. Soner, S. E. Shreve and J. Cvitanić

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.03 MB

english, 1995

16

Espesor normal del músculo glúteo mayor en mujeres chilenas. Una guía para el aumento de glúteo con implantes

Troncoso Olchevskaia, Ekaterina, Ríos Vergara, Marco, Carrasco Toledo, Jaime, Cuevas Troncoso, Pedro, Cisternas Vera, Juan Pablo, Erazo Cortés, Cristian, Benítez Seguel, Susana, Andrades Cvitanic, Pat

Journal:

Revista Chilena de Cirugía

Year:

2016

File:

PDF, 1.62 MB

2016

17

Reflected forward-backward SDEs and obstacle problems with boundary conditions

Ma, Jin, Cvitanić, Jakša

Journal:

Journal of Applied Mathematics and Stochastic Analysis

Year:

2001

Language:

english

File:

PDF, 3.85 MB

english, 2001

18

Option Pricing, Interest Rates and Risk Management || A Guided Tour through Quadratic Hedging Approaches

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

File:

PDF, 501 KB

2001

19

Entropy of Killing horizons from Virasoro algebra in D-dimensional extended Gauss–Bonnet gravity

M. Cvitan, S. Pallua, P. Prester

Journal:

Physics Letters B

Year:

2003

Language:

english

File:

PDF, 101 KB

english, 2003

20

Gravitational Chern-Simons Lagrangians and black hole entropy

L. Bonora, M. Cvitan, P. Dominis Prester, S. Pallua, I. Smolić

Journal:

Journal of High Energy Physics

Year:

2011

Language:

english

File:

PDF, 520 KB

english, 2011

21

Optimal compensation with adverse selection and dynamic actions

Jakša Cvitanić, Jianfeng Zhang

Journal:

Mathematics and Financial Economics

Year:

2007

Language:

english

File:

PDF, 447 KB

english, 2007

22

Leverage decision and manager compensation with choice of effort and volatility

Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero

Journal:

Journal of Financial Economics

Year:

2004

Language:

english

File:

PDF, 292 KB

english, 2004

23

Gravitational Chern-Simons terms and black hole entropy. Global aspects

Bonora, L., Cvitan, M., Prester, P. Dominis, Pallua, S., Smolić, I.

Journal:

Journal of High Energy Physics

Year:

2012

Language:

english

File:

PDF, 580 KB

english, 2012

24

Option Pricing, Interest Rates and Risk Management ||

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 469 KB

english, 2001

25

Conformal entropy as a consequence of the properties of stationary Killing horizons

Cvitan, M., Pallua, S., Prester, P.

Journal:

Physical Review D

Year:

2004

Language:

english

File:

PDF, 110 KB

english, 2004

26

Symmetries and gravitational Chern–Simons Lagrangian terms

Bonora, L., Cvitan, M., Dominis Prester, P., Pallua, S., Smolić, I.

Journal:

Physics Letters B

Year:

2013

Language:

english

File:

PDF, 234 KB

english, 2013

27

A Variational Approach to Contracting under Imperfect Observations

Capponi, Agostino, Cvitanić, Jakša, Yolcu, Türkay

Journal:

SIAM Journal on Financial Mathematics

Year:

2012

Language:

english

File:

PDF, 481 KB

english, 2012

28

MARKET MICROSTRUCTURE DESIGN AND FLASH CRASHES: A SIMULATION APPROACH

Brewer, Paul, Cvitanic, Jaksa, Plott, Charles R.

Journal:

Journal of Applied Economics

Year:

2013

Language:

english

File:

PDF, 3.21 MB

english, 2013

29

Mathematics of Financial Marketsby Robert J. Elliott; P. Ekkehard Kopp

Review by: Jaksa Cvitanic

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 93 KB

english, 2000

30

Dynamics of Contract Design with Screening

Cvitanić, Jakša, Wan, Xuhu, Yang, Huali

Journal:

Management Science

Year:

2013

Language:

english

File:

PDF, 608 KB

english, 2013

31

Stationary rotating black holes in theories with gravitational Chern-Simons Lagrangian term

Bonora, L., Cvitan, M., Dominis Prester, P., Pallua, S., Smolić, I.

Journal:

Physical Review D

Year:

2013

Language:

english

File:

PDF, 312 KB

english, 2013

32

CHOICE OF NEST PLATFORM MATERIAL FOR THE WHITE STORK (CICONIA CICONIA)

MUZINIC, JASMINA, CVITAN, IVAN

Journal:

Israel Journal of Zoology

Year:

2001

Language:

english

File:

PDF, 93 KB

english, 2001

33

INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES

CVITANIĆ, JAKSA, LAZRAK, ALI, QUENEZ, MARIE CLAIRE, ZAPATERO, FERNANDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 282 KB

english, 2001

34

Competition in Portfolio Management: Theory and Experiment

Asparouhova, Elena, Bossaerts, Peter, Čopič, Jernej, Cornell, Brad, Cvitanić, Jakša, Meloso, Debrah

Journal:

Management Science

Year:

2015

Language:

english

File:

PDF, 619 KB

english, 2015

35

Analytic Pricing of Employee Stock Options

Cvitanić, Jakša, Wiener, Zvi, Zapatero, Fernando

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 340 KB

english, 2008

36

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, J., Jouini, E., Malamud, S., Napp, C.

Journal:

Review of Finance

Year:

2012

Language:

english

File:

PDF, 355 KB

english, 2012

37

Optimal Risk Taking with Flexible Income

Cvitanić, Jakša, Goukasian, Levon, Zapatero, Fernando

Journal:

Management Science

Year:

2007

Language:

english

File:

PDF, 198 KB

english, 2007

38

Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

Cvitanić, Jakša, Lazrak, Ali, Martellini, Lionel, Zapatero, Fernando

Journal:

Review of Financial Studies

Year:

2006

Language:

english

File:

PDF, 288 KB

english, 2006

39

Hawking radiation, W ∞ algebra and trace anomalies

Bonora, L, Cvitan, M

Journal:

Journal of High Energy Physics

Year:

2008

Language:

english

File:

PDF, 330 KB

english, 2008

40

Extremal black holes in D = 5: SUSY vs. Gauss-Bonnet corrections

Cvitan, Maro, Prester, Predrag Dominis, Pallua, Silvio, Smolić, Ivica

Journal:

Journal of High Energy Physics

Year:

2007

Language:

english

File:

PDF, 347 KB

english, 2007

41

Hawking fluxes, W ∞ algebra and anomalies

Bonora, L, Cvitan, M, Pallua, S, Smolić, I

Journal:

Journal of High Energy Physics

Year:

2008

Language:

english

File:

PDF, 448 KB

english, 2008

42

Gravitational Chern–Simons Lagrangian terms and spherically symmetric spacetimes

Bonora, L, Cvitan, M, Prester, P Dominis, Pallua, S, Smolić, I

Journal:

Classical and Quantum Gravity

Year:

2011

Language:

english

File:

PDF, 264 KB

english, 2011

43

MRI Diagnosis of Tears of the Hip Abductor Tendons (Gluteus Medius and Gluteus Minimus)

Cvitanic, Oliver, Henzie, Gregory, Skezas, Nicholas, Lyons, Jack, Minter, Jon

Journal:

American Journal of Roentgenology

Year:

2004

Language:

english

File:

PDF, 5.74 MB

english, 2004

44

Moral Hazard in Dynamic Risk Management

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Management Science

Year:

2016

Language:

english

File:

PDF, 427 KB

english, 2016

45

The Steepest Descent Method for Forward-Backward SDEs

Cvitanic, Jaksa, Zhang, Jianfeng

Journal:

Electronic Journal of Probability

Year:

2005

Language:

english

File:

PDF, 191 KB

english, 2005

46

Hedging options for a large investor and forward-backward SDE's

Cvitanić, Jakša, Ma, Jin

Journal:

The Annals of Applied Probability

Year:

1996

Language:

english

File:

PDF, 829 KB

english, 1996

47

Option Pricing, Interest Rates and Risk Management || Towards a Theory of Volatility Trading

Jouini, E., Cvitanic, J., Musiela, Marek

Year:

2001

Language:

english

File:

PDF, 425 KB

english, 2001

48

Dynamic programming approach to principal–agent problems

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1020 KB

english, 2017

49

Axial gravity, massless fermions and trace anomalies

Bonora, L., Cvitan, M., Prester, P. Dominis, Pereira, A. Duarte, Giaccari, S., Štemberga, T.

Journal:

The European Physical Journal C

Year:

2017

Language:

english

File:

PDF, 827 KB

english, 2017

50

Optimal contracts in continuous-time models

Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng

Journal:

Journal of Applied Mathematics and Stochastic Analysis

Year:

2006

Language:

english

File:

PDF, 1.99 MB

english, 2006