Patrick Cheridito
Department of Mathematics, ETH Zurich
RiskLab Switzerland
ETH Risk Center
Swiss Association of Actuaries
Swiss Finance Institute
Curriculum Vitae
E-Mail
patrick.cheridito at math.ethz.ch
Mail
ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
Master Project on Optimal Risk Transfer
Courses
Spring 2018
Quantitative Risk Management
Spring 2018
Wahrscheinlichkeit und Statistik
Fall 2017
Optimal Stopping
Spring 2017
Quantitative Risk Management
Lecture Notes
Convex Analysis
Preprints
Variable annuities with high water mark withdrawal benefit
(with Peiqi Wang)
SSRN Preprint
Existence of sequential competitive equilibrium in Krusell–Smith type economies
(with Juan Sagredo)
SSRN Preprint
Comment on "Competitive equilibria of economies with a continuum of consumers and aggregate shocks" by J. Miao
(with Juan Sagredo)
SSRN Preprint
Representation of increasing convex functionals with countably additive measures
(with
Michael Kupper
and
Ludovic Tangpi
)
arXiv Preprint 1502.05763
Stochastic order-monotone uncertainty-averse preferences
(with
Freddy Delbaen,
Samuel Drapeau
and
Michael Kupper
)
SSRN Preprint
Portfolio execution with a dark pool under stochastic volatility and liquidity
(with
Tardu Sepin
)
SSRN Preprint
Optimal trade execution with a dark pool and adverse selection
(with
Tardu Sepin
)
SSRN Preprint
Measuring and allocating systemic risk
(with
Markus Brunnermeier
)
SSRN Preprint
Pricing and hedging CoCos
(with
Zhikai Xu
)
SSRN Preprint
Publications
Duality formulas for robust pricing and hedging in discrete time
(with
Michael Kupper
and
Ludovic Tangpi)
arXiv Preprint 1602.06177
SIAM Journal on Financial Mathematics
8(1), 2017, p. 738–765
BSEs, BSDEs and fixed point problems
(with
Kihun Nam
)
arXiv Preprint 1410.1247
Annals of Probability
45(6), 2017, p. 3795–3828
Duality for increasing convex functionals with countably many marginal constraints
(with Daniel Bartl,
Michael Kupper
and
Ludovic Tangpi)
arXiv Preprint 1509.08988
Banach Journal of Mathematical Analysis
11(1), 2017, p. 72–89
Equilibrium pricing in incomplete markets under translation invariant preferences
(with
Ulrich Horst,
Michael Kupper,
Traian Pirvu
)
SSRN Preprint
Mathematics of Operations Research
41(1), 2016, p. 174–195
Multidimensional quadratic and subquadratic BSDEs with special structure
(with
Kihun Nam
)
arXiv Preprint 1309.6716
Stochastics
87(5), 2015, p. 871–884
Conditional Analysis on ℝ
^{d}
(with
Michael Kupper,
Nicolas Vogelpoth
)
arXiv Preprint 1211.0747
Set Optimization and Applications – The State of the Art.
2015, p. 179–212
A reduced form CoCo model with deterministic conversion intensity
(with
Zhikai Xu
)
SSRN Preprint
The Journal of Risk
17(3), 2015, p. 1–18
Optimal trade execution under stochastic volatility and liquidity
(with
Tardu Sepin
)
SSRN Preprint
Applied Mathematical Finance
21(4), 2014, p. 342–362
BSDEs with terminal conditions that have bounded Malliavin derivative
(with
Kihun Nam
)
arXiv Preprint 1309.6716
Journal of Functional Analysis
266(3), 2014, p. 1257–1285
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
(with
Frank Fabozzi,
Charles Fox
,
Woo Chang Kim
)
pdf-file
Economic Letters
122(2), 2014, p. 154–158
How to value a coco
(with
Zhikai Xu
)
pdf-file
Creditflux Newsletter
October 4, 2013
Reward-risk ratios
(with
Eduard Kromer
)
SSRN Preprint
Journal of Investment Strategies
3(1), 2013, p. 1–16
Weak closedness of monotone sets of lotteries and robust representation of risk preferences
(with
Samuel Drapeau,
Michael Kupper
)
pdf-file
Risk Measures and Attitudes. European Actuarial Academy Series
2013, p. 3–9
BSΔEs and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
(with
Mitja Stadje
)
pdf-file
Bernoulli
19(3), 2013, p. 1047–1085
Existence, minimality and approximation of solutions to BSDEs with convex drivers
(with
Mitja Stadje
)
pdf-file
Stochastic Processes and their Applications
122(4), 2012, p. 1540–1565
Pricing and hedging in affine models with possibility of default
(with
Alexander Wugalter
)
pdf-file
SIAM Journal on Financial Mathematics
3(1), 2012, p. 328–350
Processes of class Sigma, last passage times and drawdowns
(with
Ashkan Nikeghbali
and
Eckhard Platen
)
pdf-file
SIAM Journal on Financial Mathematics
3(1), 2012, p. 208–303
Ordered contribution allocations: theoretical properties and applications
(with
Eduard Kromer
)
pdf-file
The Journal of Risk
14(1), 2011
Optimal consumption and investment in incomplete markets with general constraints
(with
Ying Hu
)
arXiv Preprint 1010.0080
Stochastics and Dynamics
11(2), 2011, p. 283–299
Composition of time-consistent dynamic monetary risk measures in discrete time
(with
Michael Kupper
)
pdf-file
International Journal of Theoretical and Applied Finance
14(1), 2011, p. 137–162
A note on the Dai–Singleton canonical representation of affine term structure models
(with
Damir Filipovic
and
Bob Kimmel
)
pdf-file
Mathematical Finance
20(3), 2010, p. 509–519
Recursiveness of indifference prices and translation-invariant preferences
(with
Michael Kupper
)
pdf-file
Mathematics and Financial Economics
, 2(3), 2009, p. 173–188
Time-inconsistency of VaR and time-consistent alternatives
(with
Mitja Stadje
)
pdf-file
Finance Research Letters
, 6(1), 2009, p. 40–46
Dual characterization of properties of risk measures on Orlicz hearts
(with
Tianhui Michael Li
)
pdf-file
Mathematics and Financial Economics
2(1), 2008, p. 29–55
Risk measures on Orlicz hearts
(with
Tianhui Michael Li
)
pdf-file
(more general version of an earlier paper called
Monetary risk measures on maximal subspaces of Orlicz classes
)
Mathematical Finance
19(2), 2009, p. 189–214
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
(with
H. Mete Soner,
Nizar Touzi
and
Nicolas Victoir
)
pdf-file
Communications on Pure and Applied Mathematics
60(7), 2007, p. 1081–1110
Market price of risk specifications for affine models: theory and evidence
(with
Damir Filipovic
and
Bob Kimmel
)
pdf-file
Journal of Financial Economics
83(1), 2007, p. 123–170
Dynamic monetary risk measures for bounded discrete-time processes
(with
Freddy Delbaen
and
Michael Kupper
)
pdf-file
Electronic Journal of Probability
, 11, 2006, p. 57–106
Coherent and convex monetary risk measures for unbounded càdlàg processes
(with
Freddy Delbaen
and
Michael Kupper
)
pdf-file
Finance and Stochastics
, 10(3), 2006, p. 427–448
Utility maximization under increasing risk aversion in one-period models
(with
Christopher Summer
)
pdf-file
Finance and Stochastics
, 10(1), 2006, p. 147–158
Equivalent and absolutely continuous measure changes for jump-diffusion processes
(with
Damir Filipovic
and
Marc Yor
)
pdf-file
Annals of Applied Probability
, 15(3), 2005, p. 1713–1732
The multi-dimensional super-replication problem under gamma constraints
(with
H. Mete Soner
and
Nizar Touzi
)
pdf-file
Annales de l'Institute Henri Poincaré (C) Non Linear Analysis
, 22(5), 2005, p. 633–666
Small time path behavior of double stochastic integrals and applications to stochastic control
(with
H. Mete Soner
and
Nizar Touzi
)
pdf-file
Annals of Applied Probability
, 15(4), 2005, p. 2472–2495
Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H in (0,1/2)
(with
David Nualart
)
pdf-file
Annales de l'Institute Henri Poincaré (B) Probability and Statistics
, 41(6), 2005, p. 1049–1081
Coherent and convex monetary risk measures for bounded càdlàg processes
(with
Freddy Delbaen
and
Michael Kupper
)
pdf-file
Stochastic Processes and their Applications
, 112(1), 2004, p. 1–22
Gaussian moving averages, semimartingales and option pricing
pdf-file
Stochastic Processes and their Applications
, 109(1), 2003, p. 47–68
Fractional Ornstein–Uhlenbeck processes
(with Hideyuki Kawaguchi and
Makoto Maejima
)
pdf-file
Electronic Journal of Probability
, 8(3), 2003, p. 1–14
Arbitrage in fractional Brownian motion models
pdf-file
Finance and Stochastics
, 7(4), 2003, p. 533–553
Representations of Gaussian measures that are equivalent to Wiener measure
pdf-file
Séminaire de Probabilités
, Vol. XXXVII, 2003, p. 81-89.
Springer Lecture Notes in Mathematics
, Vol. 1832
Sensitivity of the Black–Scholes option price to the local path behavior of the stochastic process modeling the underlying asset
pdf-file
Proceedings of the Steklov Institute of Mathematics
, Vol. 237, 2002, p. 225–239
Mixed fractional Brownian motion
pdf-file
Bernoulli
, 7(6), 2001, p. 913–934
Regularizing fractional Brownian motion with a view towards stock price modelling
pdf-file
Diss.
ETH
No. 14051, 2001
Last modification : June 2017 / Author: Patrick Cheridito