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Cvitanić, Jakša; Goukasian, Levon; Zapatero, Fernando - In: Computational methods in decision-making, economics and …, (pp. 339-353). 2010

Persistent link: https://www.econbiz.de/10009153076

Introduction to the economics and mathematics of financial markets

Cvitanić, Jakša; Zapatero, Fernando - 2004

Persistent link: https://www.econbiz.de/10002346328

A class of quadratic options for exchange rate stabilization

Suh, Sangwon; Zapatero, Fernando - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3478-3501

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Optimal trading under constraints

Cvitanić, Jakša - In: Financial mathematics : held in Bressanone, Italy, July …, (pp. 123-190). 1997

Persistent link: https://www.econbiz.de/10001321237

The reaction of term structure of interest rates to monetary policy actions

Goukasian, Levon; Cialenco, Igor - In: The journal of fixed income 16 (2006) 2, pp. 76-91

Persistent link: https://www.econbiz.de/10003400093

Nonmyopic Optimal Portfolios in Viable Markets

Cvitanić, Jakša; Malamud, Semyon - National Centre of Competence in Research - Financial … - 2010

We provide a representation for the nonmyopic optimal portfolio of an agentconsuming only at the terminal horizon when the single state variable follows ageneral diusion process and the market consists of one risky asset and a risk-freeasset. The key term of our representation is a new object...

Persistent link: https://www.econbiz.de/10009486979

A closed-form solution to the problem of super-replication under transaction costs

Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54

Persistent link: https://www.econbiz.de/10001367451

Hedging and portfolio optimization under transaction costs : a martingale approach

Cvitanić, Jakša - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 133-165

Persistent link: https://www.econbiz.de/10001201641

On managerial risk-taking incentives when compensation may be hedged against

Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali - In: Mathematics and financial economics 8 (2014) 4, pp. 453-471

Persistent link: https://www.econbiz.de/10010491928

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - In: Mathematics and financial economics 8 (2014) 1, pp. 71-108

Persistent link: https://www.econbiz.de/10010235416