Photo of Domenico Cuoco

Domenico Cuoco

Associate Professor of Finance

Research Interests: models of the term structure, optimal policies and equilibrium with incomplete markets and portfolio constraints, pricing and hedging of derivative instruments

Contact Information

Address: 2461 Steinberg-Dietrich Hall, Philadelphia, PA 19104
Email: cuoco@wharton.upenn.edu
Office: (215) 898-8290

Overview

Education

PhD, University of California at Berkeley, 1994; MBA, University of California at Berkeley, 1992; BS, Libera Università Internazionale degli Studi Sociali, Rome, 1987

Career and Recent Professional Awards; Teaching Awards

University of Pennsylvania Greek System Outstanding Professor Award, 1996

Academic Positions Held

Wharton: 1994-present. Visiting appointment: Universitat Pompeu Fabra, Spain

Other Positions

Consultant, Istituto Mobiliare Italiano, Rome, Italy, 1991; Summer Associate, McKinsey & Company, Inc., Milan, Italy, 1990; Economist, Research Department, Bank of Italy, Rome, 1988-89

Professional Leadership 2005-2009

Associate Editor, Journal of Economic Theory, 1997-present; Associate Editor, Review of Financial Studies, 1998-present

Research


  • Domenico Cuoco, S. Basak (1998), An Equilibrium Model with Restricted Stock Market Participation, Review of Financial Studies, 11.  Abstract
  • Domenico Cuoco, J. Cvitanic (1998), Optimal Consumption Choices for a 'Large' Investor, Journal of Economic Dynamics and Control, 22.  Abstract
  • Domenico Cuoco (1997), Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income, Journal of Economic Theory, 72.  Abstract

Courses

Current

  • FNCE235 - Fixed Income Securities

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice.

    FNCE235001  ( Syllabus

  • FNCE725 - Fixed Income Securities

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice.

    FNCE725001  ( Syllabus

  • FNCE922 - Continuous-Time Financial Economics

    This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.

    FNCE922001 

Previous

  • FNCE235 - Fixed Income Securities

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice.

  • FNCE725 - Fixed Income Securities

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice.

  • FNCE892 - Financial Engineering

    Many financial products are introduced each year; some are designed to meet the needs of a particular clientele, and others are really strategies and related implementations. A common feature of the successful products is the careful attention to their design, and more importantly, the technical preparation that entered into its valuation,its hedging, and its benefits to users. Innovations in financial markets are rapidly imitated because even complex contracts and strategies that use existing securities or they are seen as equivalent to dynamically-adjusted positions in other securities. A strong foundation in the technical tools and statistical methods is invaluable in this process of financial engineering. The objectives in this course are two fold. First to provide the student with the necessary skills to design or reverse-engineer, to value, and to hedge these products. Second, to enable the student to absorb the analytical arguments in the (increasingly) technical publications that deal with innovations in these contracts - now in the in-house research notes of financial institutions and in practitioner-oriented journals - and to apply them.

  • FNCE922 - Continuous-Time Financial Economics

    This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.