Patrick Cheridito
Patrick Cheridito
Verified email at math.ethz.ch - Homepage
Title
Cited by
Cited by
Year
Market price of risk specifications for affine models: Theory and evidence
P Cheridito, D Filipović, RL Kimmel
Journal of Financial Economics 83 (1), 123-170, 2007
4022007
Dynamic monetary risk measures for bounded discrete-time processes
P Cheridito, F Delbaen, M Kupper
Electronic Journal of Probability 11, 57-106, 2006
3442006
Fractional ornstein-uhlenbeck processes
P Cheridito, H Kawaguchi, M Maejima
Electronic Journal of probability 8, 2003
3272003
Arbitrage in fractional Brownian motion models
P Cheridito
Finance and Stochastics 7 (4), 533-553, 2003
3202003
Mixed fractional Brownian motion
P Cheridito
Bernoulli 7 (6), 913-934, 2001
2802001
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs
P Cheridito, HM Soner, N Touzi, N Victoir
Communications on Pure and Applied Mathematics: A Journal Issued by theá…, 2007
2582007
Risk measures on Orlicz hearts
P Cheridito, T Li
Mathematical Finance: An International Journal of Mathematics, Statisticsá…, 2009
2032009
Equivalent and absolutely continuous measure changes for jump-diffusion processes
P Cheridito, D Filipović, M Yor
Annals of applied probability, 1713-1732, 2005
1472005
Composition of time-consistent dynamic monetary risk measures in discrete time
P Cheridito, M Kupper
Finance at Fields, 181-206, 2013
1462013
Coherent and convex monetary risk measures for bounded cadlag processes
P Cheridito, F Delbaen, M Kupper
Stochastic Processes and their Applications 112 (1), 1-22, 2004
1412004
Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter
P Cheridito, D Nualart
Annales de l'IHP ProbabilitÚs et statistiques 41 (6), 1049-1081, 2005
1382005
Coherent and convex monetary risk measures for unbounded cadlag processes
P Cheridito, F Delbaen, M Kupper
Finance and Stochastics 9 (3), 369-387, 2005
1022005
Regularizing fractional Brownian motion with a view towards stock price modelling
P Cheridito
ETH Zurich, 2001
1012001
Deep optimal stopping
S Becker, P Cheridito, A Jentzen
Journal of Machine Learning Research 20, 74, 2019
752019
Time-inconsistency of VaR and time-consistent alternatives
P Cheridito, M Stadje
Finance Research Letters 6 (1), 40-46, 2009
732009
The multi-dimensional super-replication problem under gamma constraints
P Cheridito, HM Soner, N Touzi
Annales de l'Institut Henri Poincare (C) Non Linear Analysis 22 (5), 633-666, 2005
712005
Measuring and allocating systemic risk
MK Brunnermeier, P Cheridito
Risks 7 (2), 46, 2019
612019
Dual characterization of properties of risk measures on Orlicz hearts
P Cheridito, T Li
Mathematics and Financial Economics 2 (1), 29, 2008
592008
Recursiveness of indifference prices and translation-invariant preferences
P Cheridito, M Kupper
Mathematics and Financial Economics 2 (3), 173-188, 2009
522009
Gaussian moving averages, semimartingales and option pricing
P Cheridito
Stochastic processes and their applications 109 (1), 47-68, 2004
502004
The system can't perform the operation now. Try again later.
Articles 1–20