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Publications and Preprints

  • C. Cuchiero, Polynomial processes in stochastic portfolio theory
    arXiv:1705.03647, 2017.
    • 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, 2016.
        • C. Cuchiero, W. Schachermayer and L.Wong: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio ,
          arXiv:1611.09631, 2016.
          • 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.
                    • Ph.D. and M.Sc. thesis

                      Talks

                      • 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.