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

  • FNCE892 - Financial Engineering

    This class covers advanced pricing models for equity, fixed income and credit derivatives. It aims at: 1) Introducing the main models used in practical applications to price and hedge derivatives; 2) Understanding their comparative advantages and limitations, as well as how they are calibrated and applied. As part of team assignments, students will be asked to calibrate and implement the models introduced in the class using software of their choice. In spite of the fact that every effort will be made to introduce the various models and techniques as intuitively as possible, the class is by its nature very quanitative and will require a significant amount of work.

    FNCE392401 

    FNCE392402 

    FNCE892401 

    FNCE892402 

  • 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

  • FNCE892 - Financial Engineering

    This class covers advanced pricing models for equity, fixed income and credit derivatives. It aims at: 1) Introducing the main models used in practical applications to price and hedge derivatives; 2) Understanding their comparative advantages and limitations, as well as how they are calibrated and applied. As part of team assignments, students will be asked to calibrate and implement the models introduced in the class using software of their choice. In spite of the fact that every effort will be made to introduce the various models and techniques as intuitively as possible, the class is by its nature very quanitative and will require a significant amount of work.

  • 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.