Patrick Cheridito

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Optimal transport and Wasserstein distances for causal models
(with Stepan Eckstein) arXiv Preprint 2303.14085
forthcoming in Bernoulli
Gradient descent provably escapes saddle points in the training of shallow ReLU networks
(with Arnulf Jentzen, and Florian Rossmannek)
arXiv Preprint 2208.02083
forthcoming in Journal of Optimization Theory and Applications
An efficient Monte Carlo scheme for Zakai equations
(with Christian Beck, Sebastian Becker, Arnulf Jentzen and Ariel Neufeld )
http://arxiv.org/abs/2210.13530
Communications in Nonlinear Science and Numerical Simulation 126, 2023
Computation of conditional expectations with guarantees
(with Balint Gersey) arXiv Preprint 2112.01804
Journal of Scientific Computing 95(12), 2023
Landscape analysis for shallow neural networks: complete classification of critical points for affine target functions
(with Arnulf Jentzen, and Florian Rossmannek)
arXiv Preprint 2103.10922
Journal of Nonlinear Science 32(64), 2022
A proof of convergence for gradient descent in the training of artificial neural networks for constant target functions
(with Arnulf Jentzen, Adrian Riekert and Florian Rossmannek)
arXiv Preprint 2102.09924
Journal of Complexity 72, 2022
Deep splitting method for parabolic PDEs
(with Christian Beck, Sebastian Becker, Arnulf Jentzen and Ariel Neufeld )
arXiv Preprint 1907.03452
SIAM Journal on Scientific Computing 43(5), 2021, p. A3135–A3154
Representation of increasing convex functionals with countably additive measures
(with Michael Kupper and Ludovic Tangpi) arXiv Preprint 1502.05763
Studia Mathematica 260, 2021, p. 121–140
Efficient approximation of high-dimensional functions with neural networks
(with Arnulf Jentzen and Florian Rossmannek) arXiv Preprint 1912.04310
Forthcoming in IEEE Transactions on Neural Networks and Learning Systems
Non-convergence of stochastic gradient descent in the training of deep neural networks
(with Arnulf Jentzen and Florian Rossmannek) arXiv Preprint 2006.07075
Journal of Complexity 64, June 2021
On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
(with Pierre Patie, Anna Srapionyan and Aditya Vaidyanathan) arXiv Preprint 1905.07832
Journal de l'Ecole Polytechnique – Mathématiques 8, 2021, p. 331–378
Solving high-dimensional optimal stopping problems using deep learning
(with Sebastian Becker, Arnulf Jentzen and Timo Welti) arXiv Preprint 1908.01602
European Journal of Applied Mathematics 32(3), 2021, p. 470–514
Pricing and hedging American-style options with deep learning
(with Sebastian Becker and Arnulf Jentzen) arXiv Preprint 1912.11060
Journal of Risk and Financial Management 13(7), 158, 2020, p. 1–12
Assessing asset-liability risk with neural networks
(with John Ery and Mario Wüthrich) arXiv Preprint 2105.12432
Risks 8(1), 16, 2020, p. 1–17
Martingale optimal transport duality
(with Matti Kiiski, David Prömel and Mete Soner) arXiv Preprint 1904.04644
Mathematische Annalen 2020
Deep optimal stopping
(with Sebastian Becker and Arnulf Jentzen) arXiv Preprint 1804.05394
Journal of Machine Learning Research 20(74), 2019, p. 1–25
Measuring and allocating systemic risk
(with Markus Brunnermeier) SSRN Preprint
Risks 7(2), 46, 2019, p. 1–19
Robust expected utility maximization with medial limits
(with Daniel Bartl and Michael Kupper) arXiv Preprint 1712.07699
Journal of Mathematical Analysis and Applications 471(1–2), 2019, p. 752–775
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
Economic Letters 122(2), 2014, p. 154–158
How to value a coco (with Zhikai Xu) PDF
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
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
Bernoulli 19(3), 2013, p. 1047–1085
Existence, minimality and approximation of solutions to BSDEs with convex drivers
(with Mitja Stadje) PDF
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
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
SIAM Journal on Financial Mathematics 3(1), 2012, p. 208–303
Ordered contribution allocations: theoretical properties and applications
(with Eduard Kromer) PDF
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
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
Mathematical Finance 20(3), 2010, p. 509–519
Recursiveness of indifference prices and translation-invariant preferences
(with Michael Kupper) PDF
Mathematics and Financial Economics, 2(3), 2009, p. 173–188
Time-inconsistency of VaR and time-consistent alternatives
(with Mitja Stadje) PDF
Finance Research Letters, 6(1), 2009, p. 40–46
Dual characterization of properties of risk measures on Orlicz hearts
(with Tianhui Michael Li) PDF
Mathematics and Financial Economics 2(1), 2008, p. 29–55
Risk measures on Orlicz hearts
(with Tianhui Michael Li) PDF (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
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
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
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
Finance and Stochastics, 10(3), 2006, p. 427–448
Utility maximization under increasing risk aversion in one-period models
(with Christopher Summer) PDF
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
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
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
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
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
Stochastic Processes and their Applications, 112(1), 2004, p. 1–22
Gaussian moving averages, semimartingales and option pricing PDF
Stochastic Processes and their Applications, 109(1), 2003, p. 47–68
Fractional Ornstein–Uhlenbeck processes
(with Hideyuki Kawaguchi and Makoto Maejima) PDF
Electronic Journal of Probability, 8(3), 2003, p. 1–14
Arbitrage in fractional Brownian motion models PDF
Finance and Stochastics, 7(4), 2003, p. 533–553
Representations of Gaussian measures that are equivalent to Wiener measure
PDF 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
Proceedings of the Steklov Institute of Mathematics, Vol. 237, 2002, p. 225–239
Mixed fractional Brownian motion PDF
Bernoulli, 7(6), 2001, p. 913–934
Regularizing fractional Brownian motion with a view towards stock price modelling PDF
Diss. ETH No. 14051, 2001