Jakša Cvitanić (born 1962 in

Split, Croatia Split (, ), historically known as Spalato (; ; see #Name, other names), is the List of cities and towns in Croatia, second-largest city of Croatia after the capital Zagreb, the largest city in Dalmatia and the largest city on the Croatian coast ...

Yugoslavia , common_name = Yugoslavia , life_span = 1918–19921941–1945: World War II in Yugoslavia#Axis invasion and dismemberment of Yugoslavia, Axis occupation , p1 = Kingdom of SerbiaSerbia , flag_p ...

) is a Richard N. Merkin Professor of

Mathematical Finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that req ...

at the

California Institute of Technology The California Institute of Technology (branded as Caltech) is a private research university in Pasadena, California, United States. The university is responsible for many modern scientific advancements and is among a small group of institutes ...

. His main research interests are in mathematical finance, contract theory,

stochastic control Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations or in the noise that drives the evolution of the system. The system designer assumes, in a Bayesi ...

theory, and

stochastic differential equations A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and ...

. From 1992 to 1999 he was an Assistant and Associate Professor of Statistics at

Columbia University Columbia University in the City of New York, commonly referred to as Columbia University, is a Private university, private Ivy League research university in New York City. Established in 1754 as King's College on the grounds of Trinity Churc ...

. From 1999 until 2005, when he joined Caltech, Cvitanić was a Professor of Mathematics and Economics at the

University of Southern California The University of Southern California (USC, SC, or Southern Cal) is a Private university, private research university in Los Angeles, California, United States. Founded in 1880 by Robert M. Widney, it is the oldest private research university in ...

. During the academic year 2012-2013 he was a professor of finance at EDHEC Business School in France. He was also the director of the Ronald and Maxine Linde Institute of Economic and Management Sciences. and the president of the Bachelier Finance Society. Cvitanić has co-authored some fundamental papers on financial markets with portfolio constraints, transaction costs, and other market imperfections. He is the author of over fifty articles in academic finance, economics and mathematics journal

a co-author, with Fernando Zapatero, of the textbook ''Introduction to the Economics and Mathematics of Financial Markets'', and, with Jianfeng Zhang, of the monograph ''Contract Theory in Continuous-time Models''. He was or has been a co-editor of ''Finance and Stochastics''

''Mathematical Finance,'' ''Mathematics and Financial Economics'

and Frontiers of Mathematical Finance. Cvitanić earned a B.Sc. (1985) and M.Sc. (1988) in Mathematics from the

University of Zagreb The University of Zagreb (, ) is a public university, public research university in Zagreb, Croatia. It is the largest Croatian university and one of the oldest continuously operating universities in Europe. The University of Zagreb and the Unive ...

, Croatia, and a

PhD A Doctor of Philosophy (PhD, DPhil; or ) is a terminal degree that usually denotes the highest level of academic achievement in a given discipline and is awarded following a course of graduate study and original research. The name of the deg ...

in Statistics (1992) from

New York City New York, often called New York City (NYC), is the most populous city in the United States, located at the southern tip of New York State on one of the world's largest natural harbors. The city comprises five boroughs, each coextensive w ...

. He received the American Statistical Association Scholastic Excellence Award in 1992. __NOTOC__

Selected publications

* ''Introduction to the Economics and Mathematics of Financial Markets'' (with Fernando Zapatero). Cambridge, Mass.: MIT Press, 2004. . * ''Contract Theory in Continuous-Time Models'' (with Jianfeng Zhang). Springer Science+Business Media, 2013. .

References

External links

Cvitanic's web site
caltech.edu

ideas.repec.org
Portal hrvatskih znanstvenika
(out of date) {{DEFAULTSORT:Cvitanic, Jaksa 1962 births Living people 20th-century American mathematicians 21st-century American mathematicians Croatian mathematicians California Institute of Technology faculty Columbia University alumni Faculty of Science, University of Zagreb alumni University of Southern California faculty Scientists from Split, Croatia Yugoslav emigrants to the United States Financial economists

Selected publications

References

Further reading

External links