Christa Cuchiero

Prof. for Quantative Riskmanagement
University of Vienna - Department of Statistics and Operations Research
Re­search In­terests

Mathem­at­ical Fin­ance, Stochastic Ana­lysis, Prob­ab­il­ity The­ory and Ma­chine Learn­ing

Se­lec­ted Pub­lic­a­tions
  • Cuch­i­ero, C., Gonon, L., Grigoryeva, L., Ortega, J.-P., Teich­mann, J., 2022. Dis­crete-­Time Sig­na­tures and Ran­dom­ness in Reser­voir Com­put­ing. IEEE Trans­ac­tions on Neural Net­works and Learn­ing Sys­tems, pp. 1–14. ht­tps://arxiv.org/abs/2010.14615.

  • Cuch­i­ero, C., Khos­rawi, W., Teich­mann, J., 2020. A gen­er­at­ive ad­versarial net­work ap­proach to cal­ib­ra­tion of local stochastic volat­il­ity mod­els. Risk 2020, pp.  1–34. ht­tps://arxiv.org/abs/2005.02505.

  • Cuch­i­ero, C., Larsson, M., Teich­mann, J., 2020. Deep neural net­works, gen­eric uni­ver­sal in­ter­pol­a­tion, and con­trolled ODEs. SIAM Journal on Mathem­at­ics of Data Science, 2(3), pp. 901 – 919. ht­tps://arxiv.org/abs/1908.07838.

  • Cuch­i­ero, C., Teich­mann, J., 2020. Gen­er­al­ized Feller pro­cesses and Markovian lifts of stochastic Vol­terra pro­cesses: the affine case. Journal of Evolu­tion Equa­tions, pp. 1–48. ht­tps://doi.org/10.1007/s00028-020-00557-2,ht­tps://arxiv.org/abs/1804.10450.

  • Cuch­i­ero, C., 2019. Poly­no­mial pro­cesses in stochastic port­fo­lio the­ory. Stochastic pro­cesses and their ap­plic­a­tions, 129(5), pp. 1829–1872. ht­tps://arxiv.org/abs/1705.03647.

  • Cuch­i­ero, C., Schach­er­mayer, W., Wong, L., 2019. Cover’s uni­ver­sal port­fo­lio, stochastic port­fo­lio the­ory and the numéraire port­fo­lio. Mathem­at­ical Fin­ance, 29(3), pp. 773–803. http://arxiv.org/abs/1611.09631v1.

  • Cuch­i­ero, C., Fontana, C. and Gnoatto, A., 2016. A gen­eral HJM frame­work for mul­tiple yield curve mod­el­ing. Fin­ance and Stochastics, 20(2), pp. 267–320.http://arxiv.org/pdf/1406.4301.pdf.

  • Cuch­i­ero, C. and Teich­mann, J.,2015. Four­ier trans­form meth­ods for path­wise co­v­ari­ance es­tim­a­tion in the pres­ence of jumps. Stochastic pro­cesses and their ap­plic­a­tions, 125(1), pp. 116–160. http://arxiv.org/pdf/1301.3602.pdf.

  • Cuch­i­ero, C.,  Keller­-Res­sel, M. and Teich­mann, J., 2012. Poly­no­mial pro­cesses and their ap­plic­a­tions to mathem­at­ical fin­ance. Fin­ance and Stochastics,16(4), pp. 711–740. http://arxiv.org/pdf/0812.4740v2.pdf.

  • Cuch­i­ero, C., Fili­pović, D., May­er­hofer, E. and Teich­mann, J., 2011. Affine pro­cesses on pos­it­ive semi­def­in­ite matrices. An­nals of Ap­plied Prob­ab­il­ity, 21(2) pp. 397–463. http://arxiv.org/pdf/0910.0137v3.pdf.

Rüdiger Frey
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