Patrick Cheridito
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Teaching
Efficient Sobolev approximation of linear parabolic PDEs in high dimensions
(with
Florian Rossmannek
)
arXiv Preprint 2306.16811
Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems
(with
Christian Beck,
Sebastian Becker,
Arnulf Jentzen
and
Ariel Neufeld
)
arXiv Preprint 2012.01194
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
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
Pricing and hedging CoCos
(with
Zhikai Xu
)
SSRN Preprint