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Publications and Preprints

  • 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, accepted in Annals of Applied Probability, 2017.
          • C. Cuchiero, W. Schachermayer and L.Wong: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio ,
            arXiv:1611.09631, 2017.
            • 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.
                      • 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.