Jaksa Cvitanic

California Institute of Technology Caltech - Pasadena / United States

Economics & Econometrics / Financial Economics

AD Scientific Index ID: 856385

California Institute of Technology

Registration, Add Profile,
Premium Membership

Print Your Certificate

Jaksa Cvitanic's MOST POPULAR ARTICLES

1-) Convex duality in constrained portfolio optimizationJ Cvitanić, I KaratzasThe Annals of Applied Probability, 767-818, 19928311992

2-) Backward stochastic differential equations with reflection and Dynkin gamesJ Cvitanic, I KaratzasThe Annals of Probability, 2024-2056, 19964061996

3-) HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12J Cvitanić, I KaratzasMathematical finance 6 (2), 133-165, 19964031996

4-) Hedging contingent claims with constrained portfoliosJ Cvitanić, I KaratzasThe Annals of Applied Probability, 652-681, 19934091993

5-) There is no nontrivial hedging portfolio for option pricing with transaction costsHM Soner, SE Shreve, J CvitanicThe Annals of Applied Probability 5 (2), 327-355, 19953771995

ARTICLES

Add your articles