S
Zodix
Study
Academic Library
Search
Dashboard
Shelves
Open access
My library
Inbox
Notes
Write
Learn
Alerts
More
Ask your library
Notifications
Quick cite
Review
Search or jump to…
⌘K
Patrick Cheridito · Study
Home
/
Author
Patrick Cheridito
40 works
· latest 2021
· 2 institutions
cluster: provisional
ORCID 0000-0001-9074-7295
Follow
Suggest an ORCID correction
h-index
33
i10
38
Citations
4,253
Works here
40
04
05
06
08
09
10
11
12
13
14
15
17
18
19
20
21
Most cited in this library
Fractional Ornstein-Uhlenbeck processes
2003 · 418 citations
Mixed Fractional Brownian Motion
2001 · 387 citations
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
2006 · 340 citations
Arbitrage in fractional Brownian motion models
2003 · 332 citations
Market price of risk specifications for affine models: Theory and evidence☆
2006 · 326 citations
Works
40 shown
Solving high-dimensional optimal stopping problems using deep learning
European Journal of Applied Mathematics
·
2021
·
4 authors
·
Open access
88
citations
Pricing and Hedging American-Style Options with Deep Learning
Journal of risk and financial management
·
2020
·
3 authors
·
Open access
69
citations
Martingale optimal transport duality
Mathematische Annalen
·
2020
·
3 authors
·
Open access
32
citations
Measuring and Allocating Systemic Risk
Risks
·
2019
·
2 authors
·
Open access
61
citations
Robust expected utility maximization with medial limits
Journal of Mathematical Analysis and Applications
·
2018
·
3 authors
·
Open access
36
citations
Deep optimal stopping
arXiv (Cornell University)
·
2018
·
3 authors
·
preprint
·
Open access
138
citations
Duality Formulas for Robust Pricing and Hedging in Discrete Time
SIAM Journal on Financial Mathematics
·
2017
·
3 authors
65
citations
Multidimensional quadratic and subquadratic BSDEs with special structure
Stochastics
·
2015
·
2 authors
·
Open access
57
citations
Stochastic Order-Monotone Uncertainty-Averse Preferences
SSRN Electronic Journal
·
2015
·
4 authors
·
preprint
·
Open access
5
citations
Optimal Trade Execution Under Stochastic Volatility and Liquidity
Applied Mathematical Finance
·
2014
·
2 authors
·
Open access
30
citations
BSDEs with terminal conditions that have bounded Malliavin derivative
Journal of Functional Analysis
·
2013
·
2 authors
·
Open access
46
citations
Reward–risk ratios
The Journal of Investment Strategies
·
2013
·
2 authors
·
Open access
44
citations
BS$\Delta$Es and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness
Bernoulli
·
2013
·
1 author
·
Open access
39
citations
Measuring and Allocating Systemic Risk
SSRN Electronic Journal
·
2013
·
2 authors
·
preprint
·
Open access
31
citations
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
EAA series
·
2013
·
3 authors
·
chapter
2
citations
Processes of Class Sigma, Last Passage Times, and Drawdowns
SIAM Journal on Financial Mathematics
·
2012
·
3 authors
·
Open access
30
citations
OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
Stochastics and Dynamics
·
2011
·
2 authors
·
Open access
48
citations
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
International Journal of Theoretical and Applied Finance
·
2011
·
2 authors
147
citations
A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
Mathematical Finance
·
2010
·
3 authors
·
Open access
36
citations
Recursiveness of indifference prices and translation-invariant preferences
Mathematics and Financial Economics
·
2009
·
2 authors
52
citations
RISK MEASURES ON ORLICZ HEARTS
Mathematical Finance
·
2009
·
2 authors
214
citations
Time-inconsistency of VaR and time-consistent alternatives
Finance research letters
·
2008
·
2 authors
·
Open access
69
citations
Dual characterization of properties of risk measures on Orlicz hearts
Mathematics and Financial Economics
·
2008
·
2 authors
73
citations
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs
Communications on Pure and Applied Mathematics
·
2006
·
4 authors
·
Open access
239
citations
Market price of risk specifications for affine models: Theory and evidence☆
Journal of Financial Economics
·
2006
·
3 authors
·
Open access
326
citations
Coherent and convex monetary risk measures for unbounded càdlàg processes
Finance and Stochastics
·
2006
·
3 authors
·
Open access
113
citations
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes
Electronic Journal of Probability
·
2006
·
3 authors
·
Open access
340
citations
Time-Consistency of Indifference Prices and Monetary Utility Functions
SSRN Electronic Journal
·
2006
·
2 authors
·
preprint
·
Open access
17
citations
Equivalent and absolutely continuous measure changes for jump-diffusion processes
The Annals of Applied Probability
·
2005
·
3 authors
·
Open access
95
citations
Coherent and convex monetary risk measures for unbounded càdlàg processes
Finance and Stochastics
·
2005
·
3 authors
65
citations
The multi-dimensional super-replication problem under gamma constraints
Annales de l Institut Henri Poincaré C Analyse Non Linéaire
·
2005
·
3 authors
·
Open access
54
citations
Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2005
·
2 authors
133
citations
Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
·
2005
·
3 authors
97
citations
Coherent and convex monetary risk measures for bounded càdlàg processes
Stochastic Processes and their Applications
·
2004
·
3 authors
·
Open access
91
citations
Market Price of Risk Specifications for Affine Models: Theory and Evidence
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
39
citations
Gaussian moving averages, semimartingales and option pricing
Stochastic Processes and their Applications
·
2003
·
1 author
·
Open access
44
citations
Arbitrage in fractional Brownian motion models
Finance and Stochastics
·
2003
·
1 author
332
citations
Fractional Ornstein-Uhlenbeck processes
Electronic Journal of Probability
·
2003
·
2 authors
·
Open access
418
citations
Mixed Fractional Brownian Motion
Bernoulli
·
2001
·
1 author
387
citations
Regularizing fractional Brownian motion with a view towards stock price modelling
Repository for Publications and Research Data (ETH Zurich)
·
2001
·
1 author
·
thesis
·
Open access
51
citations