Fractional ornstein-uhlenbeck processes P Cheridito, H Kawaguchi, M Maejima | 482 | 2003 |
Market price of risk specifications for affine models: Theory and evidence P Cheridito, D Filipović, RL Kimmel Journal of Financial Economics 83 (1), 123-170, 2007 | 447 | 2007 |
Mixed fractional Brownian motion P Cheridito Bernoulli, 913-934, 2001 | 407 | 2001 |
Arbitrage in fractional Brownian motion models P Cheridito Finance and stochastics 7 (4), 533-553, 2003 | 400 | 2003 |
Dynamic monetary risk measures for bounded discrete-time processes P Cheridito, F Delbaen, M Kupper | 395 | 2006 |
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs P Cheridito, HM Soner, N Touzi, N Victoir Communications on Pure and Applied Mathematics: A Journal Issued by the …, 2007 | 338 | 2007 |
Risk measures on Orlicz hearts P Cheridito, T Li Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009 | 256 | 2009 |
Deep optimal stopping S Becker, P Cheridito, A Jentzen Journal of Machine Learning Research 20 (74), 1-25, 2019 | 239 | 2019 |
Composition of time-consistent dynamic monetary risk measures in discrete time P Cheridito, M Kupper International Journal of Theoretical and Applied Finance 14 (01), 137-162, 2011 | 172 | 2011 |
Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter P Cheridito, D Nualart Annales de l'IHP Probabilités et statistiques 41 (6), 1049-1081, 2005 | 165 | 2005 |
Coherent and convex monetary risk measures for bounded cadlag processes P Cheridito, F Delbaen, M Kupper Stochastic Processes and their Applications 112 (1), 1-22, 2004 | 165 | 2004 |
Equivalent and absolutely continuous measure changes for jump-diffusion processes P Cheridito, D Filipović, M Yor Annals of applied probability, 1713-1732, 2005 | 163 | 2005 |
Deep splitting method for parabolic PDEs C Beck, S Becker, P Cheridito, A Jentzen, A Neufeld SIAM Journal on Scientific Computing 43 (5), A3135-A3154, 2021 | 144 | 2021 |
Regularizing fractional Brownian motion with a view towards stock price modelling P Cheridito ETH Zurich, 2001 | 123 | 2001 |
Measuring and allocating systemic risk MK Brunnermeier, P Cheridito Risks 7 (2), 46, 2019 | 115 | 2019 |
Coherent and convex monetary risk measures for unbounded cadlag processes P Cheridito, F Delbaen, M Kupper Finance and Stochastics 9 (3), 369-387, 2005 | 112 | 2005 |
Solving high-dimensional optimal stopping problems using deep learning S Becker, P Cheridito, A Jentzen, T Welti European Journal of Applied Mathematics 32 (3), 470-514, 2021 | 96 | 2021 |
Time-inconsistency of VaR and time-consistent alternatives P Cheridito, M Stadje Finance Research Letters 6 (1), 40-46, 2009 | 90 | 2009 |
Duality formulas for robust pricing and hedging in discrete time P Cheridito, M Kupper, L Tangpi SIAM Journal on Financial Mathematics 8 (1), 738-765, 2017 | 74 | 2017 |
The multi-dimensional super-replication problem under gamma constraints P Cheridito, HM Soner, N Touzi Annales de l'IHP Analyse non linéaire 22 (5), 633-666, 2005 | 73 | 2005 |