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Patrick Cheridito
Patrick Cheridito
Bestätigte E-Mail-Adresse bei math.ethz.ch - Startseite
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Zitiert von
Zitiert von
Jahr
Fractional ornstein-uhlenbeck processes
P Cheridito, H Kawaguchi, M Maejima
4812003
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
4442007
Mixed fractional Brownian motion
P Cheridito
Bernoulli, 913-934, 2001
4032001
Arbitrage in fractional Brownian motion models
P Cheridito
Finance and stochastics 7 (4), 533-553, 2003
3972003
Dynamic monetary risk measures for bounded discrete-time processes
P Cheridito, F Delbaen, M Kupper
3942006
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
3382007
Risk measures on Orlicz hearts
P Cheridito, T Li
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
2562009
Deep optimal stopping
S Becker, P Cheridito, A Jentzen
Journal of Machine Learning Research 20 (74), 1-25, 2019
2372019
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
1722011
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
1652005
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
1652004
Equivalent and absolutely continuous measure changes for jump-diffusion processes
P Cheridito, D Filipović, M Yor
Annals of applied probability, 1713-1732, 2005
1632005
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
1392021
Regularizing fractional Brownian motion with a view towards stock price modelling
P Cheridito
ETH Zurich, 2001
1232001
Measuring and allocating systemic risk
MK Brunnermeier, P Cheridito
Risks 7 (2), 46, 2019
1152019
Coherent and convex monetary risk measures for unbounded cadlag processes
P Cheridito, F Delbaen, M Kupper
Finance and Stochastics 9 (3), 369-387, 2005
1122005
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
962021
Time-inconsistency of VaR and time-consistent alternatives
P Cheridito, M Stadje
Finance Research Letters 6 (1), 40-46, 2009
892009
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
742017
The multi-dimensional super-replication problem under gamma constraints
P Cheridito, HM Soner, N Touzi
Annales de l'IHP Analyse non linéaire 22 (5), 633-666, 2005
732005
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