- E-Mail patrick.cheridito at math.ethz.ch
- Mail ETH Zürich, Rämistrasse 101,
8092 Zürich, Switzerland
Courses
- Spring 2019 Quantitative Risk Management
- Fall 2018 Convex Optimization in Machine Learning and Computational Finance
- Spring 2018 Wahrscheinlichkeit und Statistik
- Fall 2017 Optimal Stopping
Lecture Notes
- Convex Analysis
Preprints
- Deep optimal stopping
(with
Sebastian Becker and
Arnulf Jentzen)
arXiv Preprint 1804.05394
- 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
- Robust expected utility maximization with medial limits
(with Daniel Bartl and
Michael Kupper)
arXiv Preprint 1712.07699
Journal of
Mathematical Analysis and Applications
2018.
- 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