39 citations · 41 across the 2 of their papers we have counts for
4 papers
Dynamic programming approach to principal-agent problems
Jakša Cvitanić, Dylan Possamaï, Nizar Touzi
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach…
Moral Hazard in Dynamic Risk Management
Jakša Cvitanić, Dylan Possamaï, Nizar Touzi
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principa…
A filtering approach to tracking volatility from prices observed at random times
Jakša Cvitanić, Robert Liptser, Boris Rozovskii
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=…
A filtering approach to tracking volatility from prices observed at random times
Jaksa Cvitanic, Robert Liptser, Boris Rozovskii
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S…