Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
Cuchiero, Christa, Reisinger, Christoph, Rigger, Stefan
Published in Annals of operations research (01.05.2024)
Published in Annals of operations research (01.05.2024)
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Journal Article
Affine multiple yield curve models
Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro
Published in Mathematical finance (01.04.2019)
Published in Mathematical finance (01.04.2019)
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Journal Article
Fourier transform methods for pathwise covariance estimation in the presence of jumps
Cuchiero, Christa, Teichmann, Josef
Published in Stochastic processes and their applications (01.01.2015)
Published in Stochastic processes and their applications (01.01.2015)
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Journal Article
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro
Published in Finance and stochastics (01.04.2016)
Published in Finance and stochastics (01.04.2016)
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Journal Article
Infinite-dimensional Wishart processes
Cox, Sonja, Cuchiero, Christa, Khedher, Asma
Published in Electronic journal of probability (01.01.2024)
Published in Electronic journal of probability (01.01.2024)
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Journal Article
Measure-valued affine and polynomial diffusions
Cuchiero, Christa, Di Persio, Luca, Guida, Francesco, Svaluto-Ferro, Sara
Published in Stochastic processes and their applications (01.09.2024)
Published in Stochastic processes and their applications (01.09.2024)
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Journal Article
Polynomial processes and their applications to mathematical finance
Cuchiero, Christa, Keller-Ressel, Martin, Teichmann, Josef
Published in Finance and stochastics (01.10.2012)
Published in Finance and stochastics (01.10.2012)
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Journal Article
Probability measure-valued polynomial diffusions
Cuchiero, Christa, Larsson, Martin, Svaluto-Ferro, Sara
Published in Electronic journal of probability (01.01.2019)
Published in Electronic journal of probability (01.01.2019)
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Journal Article
Joint calibration to SPX and VIX options with signature‐based models
Cuchiero, Christa, Gazzani, Guido, Möller, Janka, Svaluto‐Ferro, Sara
Published in Mathematical finance (31.07.2024)
Published in Mathematical finance (31.07.2024)
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Journal Article
Special issue on machine learning in finance
Cuchiero, Christa, Hu, Ruimeng, Svaluto‐Ferro, Sara, Xu, Renyuan
Published in Mathematical finance (01.04.2024)
Published in Mathematical finance (01.04.2024)
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Journal Article
Model‐free portfolio theory: A rough path approach
Allan, Andrew L., Cuchiero, Christa, Liu, Chong, Prömel, David J.
Published in Mathematical finance (01.07.2023)
Published in Mathematical finance (01.07.2023)
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Journal Article
Affine Processes on Symmetric Cones
Cuchiero, Christa, Keller-Ressel, Martin, Mayerhofer, Eberhard, Teichmann, Josef
Published in Journal of theoretical probability (01.06.2016)
Published in Journal of theoretical probability (01.06.2016)
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Journal Article