Fractional ornstein-uhlenbeck processes P Cheridito, H Kawaguchi, M Maejima
506 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
458 2007 Mixed fractional Brownian motion P Cheridito
425 2001 Arbitrage in fractional Brownian motion models P Cheridito
Finance and stochastics 7 (4), 533-553, 2003
411 2003 Dynamic monetary risk measures for bounded discrete-time processes P Cheridito, F Delbaen, M Kupper
401 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
352 2007 Deep optimal stopping S Becker, P Cheridito, A Jentzen
Journal of Machine Learning Research 20 (74), 1-25, 2019
266 2019 Risk measures on Orlicz hearts P Cheridito, T Li
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
259 2009 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
175 2011 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
171 2021 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
167 2005 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
166 2004 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
125 2001 Measuring and allocating systemic risk MK Brunnermeier, P Cheridito
Risks 7 (2), 46, 2019
119 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
117 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
107 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
80 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 