Richard N. Merkin Professor of Mathematical Finance; Director, Ronald and Maxine Linde Institute of Economic and Management Sciences
B.A., University of Zagreb (Croatia), 1985; M.S., 1988; M.Phil., Columbia University, 1991; Ph.D., 1992. Professor, Caltech, 2005-13; Merkin Professor, 2013-; Associate Director, Ronald and Maxine Linde Institute of Economic and Management Sciences, 2015-16; Director, Ronald and Maxine Linde Institute of Economic and Management Sciences, 2016-.
Jakša Cvitanić works in the fields of mathematical finance, financial engineering and economics, and contract theory. He is currently the Richard N. Merkin Professor of Mathematical Finance, the Director of The Ronald and Maxine Linde Institute of Economic and Management Sciences, and the vice-president of the Bachelier Finance Society. He has worked on the theoretical analysis of optimal portfolio selection problems and option pricing problems in financial markets with frictions; the theory of optimal contracting in continuous-time models, with applications to optimal compensation for portfolio managers and executives; designing questionnaires that elicit truthful opinions from the respondents; and the study of formation of prices in financial markets populated by traders who vary in their risk preferences and other characteristics. He has been or was a co-editor of Finance and Stochastics, Mathematical Finance, Mathematics and Financial Economics, and The Frontiers of Mathematical Finance.
Research Summary
Mathematical Finance; Financial Engineering; Financial Economics; Stochastic Analysis and Control; Contract Theory; Mechanism Design for Elicitation of Truthful Responses
Cvitanic's goal in the role is to help the Institute continue to create an environment for interdisciplinary and creative research and education in business and economics.
Financing is done in much more flexible and efficient ways today than it was 30 years ago due to innovations in financial economics. Recognizing this area's importance to both academia and society, Caltech is developing a curriculum around the study of finance.
Curriculum Vitae