| Fractional ornstein-uhlenbeck processes P Cheridito, H Kawaguchi, M Maejima | 526 | 2003 |
| 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 | 462 | 2007 |
| Mixed fractional Brownian motion P Cheridito | 435 | 2001 |
| Arbitrage in fractional Brownian motion models P Cheridito Finance and stochastics 7 (4), 533-553, 2003 | 420 | 2003 |
| Dynamic monetary risk measures for bounded discrete-time processes P Cheridito, F Delbaen, M Kupper | 409 | 2006 |
| 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 the …, 2007 | 353 | 2007 |
| Deep optimal stopping S Becker, P Cheridito, A Jentzen Journal of Machine Learning Research 20 (74), 1-25, 2019 | 287 | 2019 |
| Risk measures on Orlicz hearts P Cheridito, T Li Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009 | 260 | 2009 |
| Deep splitting method for parabolic PDEs C Beck, S Becker, P Cheridito, A Jentzen, A Neufeld SIAM Journal on Scientific Computing 43 (5), A3135-A3154, 2021 | 187 | 2021 |
| 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 | 183 | 2004 |
| Composition of time-consistent dynamic monetary risk measures in discrete time P Cheridito, M Kupper International Journal of Theoretical and Applied Finance 14 (01), 137-162, 2011 | 178 | 2011 |
| Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter P Cheridito, D Nualart Annales de l'IHP Probabilités et statistiques 41 (6), 1049-1081, 2005 | 171 | 2005 |
| Equivalent and absolutely continuous measure changes for jump-diffusion processes P Cheridito, D Filipović, M Yor Annals of applied probability, 1713-1732, 2005 | 164 | 2005 |
| Regularizing fractional Brownian motion with a view towards stock price modelling P Cheridito ETH Zurich, 2001 | 126 | 2001 |
| Measuring and allocating systemic risk MK Brunnermeier, P Cheridito Risks 7 (2), 46, 2019 | 120 | 2019 |
| Coherent and convex monetary risk measures for unbounded cadlag processes P Cheridito, F Delbaen, M Kupper Finance and Stochastics 9 (3), 369-387, 2005 | 119 | 2005 |
| Solving high-dimensional optimal stopping problems using deep learning S Becker, P Cheridito, A Jentzen, T Welti European Journal of Applied Mathematics 32 (3), 470-514, 2021 | 114 | 2021 |
| Time-inconsistency of VaR and time-consistent alternatives P Cheridito, M Stadje Finance Research Letters 6 (1), 40-46, 2009 | 92 | 2009 |
| Pricing and hedging American-style options with deep learning S Becker, P Cheridito, A Jentzen Journal of Risk and Financial Management 13 (7), 158, 2020 | 88 | 2020 |
| Duality formulas for robust pricing and hedging in discrete time P Cheridito, M Kupper, L Tangpi SIAM Journal on Financial Mathematics 8 (1), 738-765, 2017 | 77 | 2017 |
