Publications
- C. Cuchiero, S. Rigger, S. Svaluto-Ferro, Propagation of minimality in the supercooled Stefan problem
arXiv: 2010:03580 , The Annals of Applied Probability, 2022.
- E. Abi Jaber, C. Cuchiero, M. Larsson and S. Pulido, A weak solution theory for stochastic Volterra equations of convolution type
arXiv: 1909:01166 , The Annals of Applied Probability, 3(6):2924–2952, 2021.
- C. Cuchiero and S. Svaluto-Ferro, Infinite dimensional polynomial processes
arXiv: 1911:0264 , Finance and Stochastics 25(9):1-44, 2021.
- C. Cuchiero, L. Gonon, L. Grigoryeva, J.-P. Ortega and J. Teichmann, Discrete-Time Signatures and Randomness in Reservoir Computing
arXiv:2010.14615, IEEE Transactions on Neural Networks and Learning Systems, 2021.
- 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, 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, 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.
Preprints
- C. Cuchiero, L. Di Persio, F. Guida and Sara Svaluto-Ferro Measure-valued processes for enery markets
arXiv:2210.09331 , Preprint, 2022.
- C. Cuchiero, F. Primavera and S. Svaluto-Ferro, Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
arXiv:2208.02293 , Preprint, 2022.
- C. Cuchiero, G. Gazzani and S. Svaluto-Ferro, Signature based models: theory and calibration
arXiv:2207.13136 , Preprint, 2022.
- C. Cuchiero, C. Reisinger, S. Rigger, Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
arXiv:2206.14641 , Preprint 2022.
- C. Cuchiero, G. Gazzani, I. Klein, Risk measures under model uncertainty: a Bayesian viewpoint
arXiv:2204.07115 ,Preprint. 2022.
- C. Cuchiero, L. Di Persio, F. Guida, and S. Svaluto-Ferro, Measure-valued affine and polynomial diffusions
arXiv:2112.15129 Preprint, 2021.
- C. Cuchiero, C. Reisinger, and S. Rigger, Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
arXiv:2111.01783, Preprint, 2021.
- A. Allan, C. Cuchiero, C. Liu and D. Prömel, Model-free portfolio theory: A rough path approach
arXiv:2109.018432021, Preprint, 2021.
Habilitation, Ph.D. and M.Sc. thesis