# Publications and Preprints

- C. Cuchiero, L. Gonon, L. Grigoryeva, Lyudmila, J.P. Ortega and J. Teichmann, Discrete-time signatures and randomness in reservoir computing

arXiv:2010.14615, Preprint, 2020. - C. Cuchiero, S. Rigger, S. Svaluto-Ferro, Propagation of minimality in the supercooled Stefan problem

arXiv:2010.03580, Preprint, 2020. - C. Cuchiero, Universal structures in Mathematical Finance, Internationale Mathematische Nachrichten, 08/2020.
- C. Cuchiero, W. Khosrawi and J. Teichmann , A generative adversarial network approach to calibration of local stochastic volatility models

arXiv:2005.02505, Risk, 2020. - C. Cuchiero and S. Svaluto-Ferro, Infinite dimensional polynomial processes

arXiv:1911.02614, forthcoming in Finance and Stochastics, 2020. - E. Abi Jaber, C.~Cuchiero, M. Larsson and S.Pulido, A weak solution theory for stochastic Volterra equations of convolution type

arXiv:1909.01166, Preprint, 2019. - C. Cuchiero, M. Larsson and J. Teichmann , Deep neural networks, generic universal interpolation, and controlled ODEs

arXiv:1908.07838, SIAM Journal on Mathematics of Data Science, 2(3):901--919, 2020. - C. Cuchiero, J. Teichmann, Markovian lifts of positive semidefinite affine Volterra type processes

arXiv:1907.01917, Decisions in Economics and Finance, 42(2):407--448, 2019. - C. Cuchiero, M. Larsson and S.Svaluto-Ferro, Probability measure-valued polynomial diffussions

arXiv:1807.03229, accepted in Electronic Journal of Probability, 2019. - C. Cuchiero, J. Teichmann, Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case

arXiv:1804.10450, Journal of Evolution Equations, 1--48, 2020. - C. Cuchiero, Polynomial processes in stochastic portfolio theory

arXiv:1705.03647, Stochastic processes and their applications, 129(5):1829-1872, 2019. - 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, to appear in Theory of Probability and its applications, 2020. - C. Cuchiero, M. Larsson and S.Svaluto-Ferro: Polynomial jump-diffusions on the unit simplex,

arXiv:1612.04266, Ann. Appl. Probab., 28(4):2451--2500, 2018, 2018. - C. Cuchiero, W. Schachermayer and L.Wong: Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio ,

arXiv:1611.09631, Mathematical Finance, 29(3):773--803, 2019. - C. Cuchiero, C. Fontana and A.Gnoatto: Affine multiple yield curve models,

arXiv:1603.00527v1, Mathematical Finance, 29(2):568-611, 2019. - 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. - C. Cuchiero, J. Teichmann: Path properties and regularity of affine processes on general state spaces,

arXiv:1107.1607, Séminaire de Probabilités XLV, 2013. - C. Cuchiero, M. Keller-Ressel, J. Teichmann:
Polynomial processes and their applications to mathematical finance,

arXiv:0812.4740, Finance and Stochastics, 16(4):711-740, 2012. - C. Cuchiero, D. Filipovic, M. Mayerhofer,
J. Teichmann: Affine processes on positive semidefinite matrices,

arXiv:0910.0137, Ann. Appl. Probab., 21(2):397-463, 2011. - C. Cuchiero, D. Filipovic, J. Teichmann: Affine models,

arXiv/0809.1985, Encyclopedia of Quantitative Finance, 2010. - C. Cuchiero: High Dimensional Finance beyond Classical Paradigms, Habiltation thesis, University of Vienna, 2018.
- C. Cuchiero: Affine and polynomial processes, Ph.D. thesis ETH Zürich, 2011.
- C. Cuchiero: Affine interest rate models - theory and practice, M.Sc. thesis TU Wien, 2006.
- Markovian representations of stochastic Volterra equations, May 2018,

Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Germany.

- Markovian representations of stochastic Volterra equations, May 2018,

Stochastic analysis and its applications, Oaxaca, Mexico.

- Calibration of financial models using neural networks, April 2018,

NUS-USPC Machine Learning and Fintech Conference, Singapore.

- Rough volatility modeling from an affine point of view, February 2018,

Actuarial and Financial Mathematics Conference, Brussels, Belgium.

- High and infinite dimensional finance in the light of affine and polynomial processes, January 2018,

Probability and Computational Finance Seminar, Carnegie Mellon University, Pittsburgh, USA.

- Markovian representations of stochastic Volterra equations, January 2018,

Workshop on Quantitative Finance, Rom, Italy.

- Markovian representations of stochastic Volterra equations, January 2018,

Bachelier Colloquium 2018, Metabief, France.

- (Probability) measure valued polynomial diffusions, December 2017,

De Finetti Risk Seminar, Milan, Italy.

- Markovian representations of stochastic Volterra equations, December 2017,

Stochastic Analysis and Modeling Conference, Verona, Italy.

- 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.