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
Address: 2461 Steinberg-Dietrich Hall, Philadelphia, PA 19104
Office: (215) 898-8290
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
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
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
FNCE235 - Fixed Income Securities
FNCE 235 is a rigorous study of fixed income securities, including default-free bonds, floating rate notes, and corporate bonds. Closely related financial instruments such as forwards and futures on fixed income securities, bond options, and interest rate swaps are also examined. In addition to analyzing specific types of fixed income securities, there will be an examination of the tools used in bond portfolio management.
FNCE725 - Fixed Income Securities
FNCE 725 is a rigorous study of fixed income securities, including default-free bonds, floating rate notes, and corporate bonds. Closely related financial instruments such as forwards and futures on fixed income securities, bond options, and interest rate swaps are also examined. In addition to analyzing specific types of fixed income securities, there will be an examination of the tools used in bond portfolio management.
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.