Publications and Preprints
- C. Cuchiero, M. Larsson and S.Svaluto-Ferro, Probability measure-valued polynomial diffussions
arXiv:1807.03229, accepted in Electronic Journal of Probability, 2019.
- C. Cuchiero, J. Teichmann, Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
arXiv:1804.10450, 2018.
- C. Cuchiero, Polynomial processes in stochastic portfolio theory
arXiv:1705.03647, accepted in Stochastic processes and their applications, 2018.
- C. Cuchiero, I.Klein, J. Teichmann:
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting,
arXiv:1705.02087, 2017.
- C. Cuchiero, M. Larsson and S.Svaluto-Ferro: Polynomial jump-diffusions on the unit simplex,
arXiv:1612.04266, Ann. Appl. Probab., 28(4):2451--2500, 2018, 2018.
- C. Cuchiero, W. Schachermayer and L.Wong: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio ,
arXiv:1611.09631, accepted in Mathematical Finance, 2018.
- C. Cuchiero, C. Fontana and A.Gnoatto: Affine multiple yield curve models,
arXiv:1603.00527v1, accepted in Mathematical Finance, 2017.
- C. Cuchiero, I.Klein, J. Teichmann:
A new perspective on the fundamental theorem of asset pricing for large financial markets,
arXiv:1412.7562, Theory of Probability and its Applications, 60(4):561--579, 2016 .
- C. Cuchiero, C. Fontana, A. Gnoatto:
A general HJM framework for multiple yield curve modeling ,
arXiv:1406.4301, Finance and Stochastics, 20(2):267--320, 2016.
- C. Cuchiero, J. Teichmann:
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing,
arXiv:1406.5414, Finance and
Stochastics, 19(4): 743-761, 2015.
- C. Cuchiero, J. Teichmann:
Fourier transform methods for pathwise covariance estimation in the presence of jumps,
arXiv:1301.3602, Stochastic processes and their applications,
125(1):116-160, 2015.
- C. Cuchiero, M. Keller-Ressel, M. Mayerhofer, J. Teichmann:
Affine processes on symmetric cones,
arXiv:1112.1233, Journal of Theoretical Probability, 2014.
- C. Cuchiero, J. Teichmann: Path properties and regularity of affine processes on general state spaces,
arXiv:1107.1607, Séminaire de Probabilités XLV, 2013.
- C. Cuchiero, M. Keller-Ressel, J. Teichmann:
Polynomial processes and their applications to mathematical finance,
arXiv:0812.4740, Finance and Stochastics, 16(4):711-740, 2012.
- C. Cuchiero, D. Filipovic, M. Mayerhofer,
J. Teichmann: Affine processes on positive semidefinite matrices,
arXiv:0910.0137, Ann. Appl. Probab., 21(2):397-463, 2011.
- C. Cuchiero, D. Filipovic, J. Teichmann: Affine models,
arXiv/0809.1985,
Encyclopedia of Quantitative Finance, 2010.
Habilitation, Ph.D. and M.Sc. thesis
Talks
- Markovian representations of stochastic Volterra equations, May 2018,
Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Germany.
- Markovian representations of stochastic Volterra equations, May 2018,
Stochastic analysis and its applications, Oaxaca, Mexico.
- Calibration of financial models using neural networks, April 2018,
NUS-USPC Machine Learning and Fintech Conference, Singapore.
- Rough volatility modeling from an affine point of view, February 2018,
Actuarial and Financial Mathematics Conference, Brussels, Belgium.
- High and infinite dimensional finance in the light of affine and polynomial processes, January 2018,
Probability and Computational Finance Seminar, Carnegie Mellon University,
Pittsburgh, USA.
- Markovian representations of stochastic Volterra equations, January 2018,
Workshop on Quantitative Finance, Rom, Italy.
- Markovian representations of stochastic Volterra equations, January 2018,
Bachelier Colloquium 2018, Metabief, France.
- (Probability) measure valued polynomial diffusions, December 2017,
De Finetti Risk Seminar, Milan, Italy.
- Markovian representations of stochastic Volterra equations, December 2017,
Stochastic Analysis and Modeling Conference, Verona, Italy.
- Markovian representations of stochastic Volterra equations, December 2017,
Bachelier Seminar, Paris, France.
- (Probability) measure valued polynomial diffusions, December 2017,
Mathematical Finance Workshop Paris Diderot, Paris, France.
- Rough volatility from an affine point of view, November 2017,
Advances in Stochastic Analysis for Risk Modeling, Luminy, France.
- Universal portfolios and model-free portfolio optimization, September 2017,
ETH Risk Day 2017, Zurich, Switzerland.
- Non-linear (PI)DEs and affine processes, July 2017,
BSDEs, SPDEs and their applications, Edinburgh, UK.
- Probability measure valued polynomial diffusions, June 2017,
Mathematical Finance Seminar Pisa, Pisa, Italy.
- Probability measure valued polynomial diffusions, June 2017,
8 AmaMef Conference, Amsterdam, Netherlands.
- Probability measure valued polynomial diffusions, June 2017,
Thera Stochastics - A mathematics conference in Honor of Ioannis Karatzas, Santorini, Greece.
- Polynomial processes in stochastic portfolio theory, May 2017,
School and workshop on dynamical models in finance, Lausanne, Switzerland.
- Probability measure valued polynomial diffusions, April 2017,
Freiburg-Vienna-Zurich Semiar, Zurich, Switzerland.
- Modelfree portfolio optimization in the long run, March 2017,
Mathematical Finance Seminar Oxford, Oxford, UK.
- Modelfree portfolio optimization in the long run, February 2017,
Oberwolfach - Meeting, Oberwolfach, Germany.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
Workshop on Quantitative Finance, Milan, Italy.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
Mathematical Finance Seminar Munich, Munich, Germany.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
Bachelier Colloquium 2017, Metabief, France.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
Advances in Financial Mathematics, Paris, France.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
Stochastic analysis and its applications XIII, Prague, Czech Republic.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, December 2016,
QMF Conference 2016, Sydney, Australia.
- Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, December 2016,
Finance and Stochastics Seminars, London, UK.
- Cover's portfolio in stochastic portfolio theory, September 2016,
Workshop on Stochastic Processes and Financial and Insurance Mathematics II, Ritsumeikan, Japan.
- Polynomial processes in stochastic portfolio theory, July 2016,
9th Bachelier World Congress, New York, US.
- Aspects of stochastic portfolio theory and polynomial processes, June 2016,
At the Frontiers of Quantitative Finance, Edinburgh, UK.
- Affine multiple yield curve models, June 2016,
Bar-Ilan Conference on Financial Mathematics, Tel Aviv, Israel.
- (Measure-valued) polynomial processes in stochastic portfolio theory, May 2016,
Stochastic Analysis and Mathematical Finance - A Fruitful Partnership, Oaxaca, Mexiko.
- Polynomial processes in stochastic portfolio theory, May 2016,
Thiele Seminar, Aarhus, Danemark.
- Polynomial processes in stochastic portfolio theory, April 2016,
ISOR Colloquium, Vienna, Austria.
- Polynomial processes in stochastic portfolio theory, March 2016,
Seminar MathFiProNum, Paris, France.
- Polynomial processes in stochastic portfolio theory, February 2016,
Joint Risk \& Stochastics and Financial Mathematics Seminar, LSE, London, UK.
- Affine multiple yield curve models February 2016,
Frontiers in Stochastic Modelling for Finance, Padua, Italy.
- Polynomial processes in stochastic portfolio theory, January 2016,
XVII Workshop on Quantitative Finance, Pisa, Italy.
- Polynomial processes in stochastic portfolio theory, Januar, 2016,
Bachelier Colloquium 2016, Metabief, France.
- Aspects of relative arbitrage with long only portfolios and polynomial models in stochastic portfolio theory, December 2015,
Meeting on stochastic portfolio theory, Princeton, USA.
- New perspective on the fundamental theorem of asset pricing for large financial markets, December 2015,
Mathematical Finance Seminar, Columbia University, New York.
- Stochastic portfolio theory and polynomial processes, October 2015,
Workshop: Junior Female
Researcher in Probability, Berlin, Germany.
- Polynomial processes in stochastic portfolio theory, September 2015,
ETH-ITS Workshop, Zürich, Switzerland.
- Affine multiple yield curve models, September 2015,
7th AMeMef, Lausanne, Switzerland.
- A new perspective on the fundamental theorem of asset pricing for large financial
markets, August 2015,
ICIAM, Peking, China.
- Polynomial processes and their applications in stochastic portfolio theory, July 2015,
Summer School in Stochastic Finance , Athens, Greece.
- A new perspective on the fundamental theorem of asset pricing for large financial
markets, May 2015,
Conference on Advanced Modelling in Mathematical Finance , Kiel, Germany.
- A general HJM framework for multiple yield curve modeling, April 2015,
Financial and Insurance Mathematics Seminar at ETHZ, Zürich, Switzerland.
- A new perspective on the fundamental theorem of asset pricing for large financial
markets, January 2015,
XVI Workshop on Quantitative Finance, Parma, Italy.
- A new perspective on the fundamental theorem of asset pricing for large financial
markets, January 2015
Bachelier Colloquium 2015, Metabief, France.
- A convergence result for the Emery topology and
a variant of the proof of the Fundamental Theorem of
Asset Pricing, September 2014,
Stochastics of Environmental and Financial Economics , Oslo, Norway.
- A convergence result for the Emery topology and
a variant of the proof of the Fundamental Theorem of
Asset Pricing, July 2014,
Seminar Talk, EPFL Lausanne, Switzerland.
- An HJM approach for multiple yield curves, June 2014,
Bachelier Finance Society 8th World Congress
, Brussels, Belgium.
- A convergence result for the Emery topology and a
variant of the proof of the Fundamental Theorem of
Asset Pricing, May 2014,
Workshop on Mathematical Finance:
Arbitrage and Portfolio Optimization
, Banff, Canada.
- A convergence result for the Emery topology and
insights in the proof of the Fundamental Theorem of
Asset Pricing, March 2014
The London Mathematical Finance Seminar Series , London, England.
- An HJM approach for multiple yield curves, January 2014,
XV Workshop on Quantitative Finance, Florence, Italy.
- An HJM approach for multiple yield curves, January 2014,
Bachelier Colloquium 2014, Metabief, France.
- An HJM approach for multiple yield curves, December 2013,
Seminar Talk, Universite Paris Diderot (Paris 7), Paris, France.
- An HJM approach for multiple yield curves, November 2013,
Seminar Talk, Dublin City University, Dublin, Ireland.
- An HJM approach for multiple yield curves, November 2013,
Kolloquium Versicherungs- und Finanzmathematik, Hannover, Hannover, Germany.
- An HJM approach for multiple yield curves, October 2013,
Workshop on Stochastic Processes and Statistics in Finance, Okinawa, Japan.
- An HJM approach for multiple yield curves, September 2013,
PRisMa-Workshop Vienna, Vienna, Austria.
- An HJM approach for multiple yield curves, September 2013,
OEMG DMV Congress 2013, Innsbruck, Austria.
- Fourier transform methods for pathwise covariance estimation and calibration of stochastic volatility
models, September 2013,
Seminar Talk, TU Chemnitz, Chemnitz, Germany.
- Fourier transform methods for pathwise covariance estimation and calibration of stochastic volatility
models, July 2013,
Seminar Talk, LMU Munich, Munich, Germany.
- Fourier transform methods for pathwise covariance estimation in the presence of jumps, June 2013,
Advanced Finance and Stochastics, Moscow, Russia.
- Fourier transform methods for pathwise covariance estimation and calibration of affine models, June 2013,
Conference on Frontiers in Financial Mathematics, Dublin, Ireland.
- Affine processes and their applications in mathematical finance;
Fourier transform methods for pathwise covariance estimation in the presence of jumps, May 2013,
Workshop on Financial Mathematics, Beirut, Lebanon.
- Fourier transform methods for pathwise covariance estimation in the presence of jump, March 2013,
Financial and Insurance Mathematics Seminar at ETHZ, Zürich, Switzerland.
- Fourier transform methods for pathwise covariance estimation in the presence of jumps, November 2012,
Finance and Stochastics Seminar at Imperial College, London, United Kingdom.
- Fourier transform methods for pathwise covariance estimation in the presence of jumps, October 2012,
4th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, Germany.
- Calibration of multivariate affine stochastic volatility models, June 2012,
BFS 7th world congress, Sydney, Australia.
- Matrix valued affine SDEs and their applications to multivariate stochastic volatility modeling, Mai 2012,
Conference on OCDNGND, Vienna, Austria.
- Multivariate affine stochastic volatility models - theoretical aspects and calibration, Mai 2012,
Seminar Talk, LMU Munich, Munich, Germany.
- Multivariate affine stochastic volatility models - theoretical aspects and calibration, Mai 2012,
Seminar Talk, University of Kiel, Kiel, Germany.
- Calibration of multivariate affine stochastic volatility models, April 2012,
Mathematical and statistical methods for actuarial sciences and finance, Venice, Italy.
- Multivariate affine stochastic covariance models, November 2011,
Workshop on Interest Rates and Credit Risk, Chemnitz, Germany.
- Multivariate affine stochastic volatility models, June 2011,
DYNSTOCH Conference 2011, Heidelberg, Germany.
- Affine processes and applications to multivariate stochastic volatility modeling, May 2011,
Seminar zur Stochastik der Finanzmaerkte TU Berlin, Berlin, Germany.
- Affine processes on symmetric cones, September 2010,
Conference on Stochastic Processes and their Applications, Osaka, Japan.
- Affine processes on non-canonical state spaces, July 2010,
Conference on Analysis, Stochastics and Applications, Vienna, Austria.
- Affine processes on positive semidefinite matrices, June 2010,
6th World Congress of the Bachelier Finance Society, Toronto, Canada.
- Affine processes on positive semidefinite matrices, April 2010,
Workshop on Random Matrices, Zürich, Switzerland.
- Polynomial processes - Implementation in Premia, March 2010,
Meeting for the Premia release 12 software, Paris, France.
- Affine processes on positive semidefinite matrices, February 2010,
International Workshop on Mathematical Finance, Tokyo, Japan.
- Affine processes on positive semidefinite matrices, December 2009,
Probability seminar ETHZ, ETH Zürich, Switzerland.
- Affine processes on positive semidefinite matrices, September 2009
One day workshop on portfolio risk management,TU Wien, Austria.
- Affine processes on positive semidefinite matrices, September 2009,
OEMG + DMV Kongress, Graz, Austria.
- Polynomial processes and applications to option pricing, May 2009,
Instanbul Workshop on Mathematical Finance, Istanbul, Turkey.
- Polynomial processes and applications to option pricing, April 2009,
Seminar Talk, TU München , München, Germany.
- A class of analytically tractable processes, December 2008,
Special Semester on Stochastics with Emphasis on Finance ,
Linz, Austria.
- A class of analytically tractable processes with applications to option pricing, July 2008
5th World Congress of the Bachelier Finance Society, London, United Kingdom.