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Publications

  • C. Cuchiero, G. Gazzani, I. Klein, Risk measures under model uncertainty: a Bayesian viewpoint
    arXiv:2204.07115 , Frontiers of Mathematical Finance 2(4), 2023.
    • 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 , forthcoming in SIAM Journal on Numerical Analysis, 2023.
      • C. Cuchiero, G. Gazzani and S. Svaluto-Ferro, Signature based models: theory and calibration
        arXiv:2207.13136 , SIAM Journal on Financial Mathematics 14(3), 2023.
        • C. Cuchiero, C. Reisinger, and S. Rigger, Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
          arXiv: 2111.01783 , Annals of Operations Research, 2023.
          • A. Allan, C. Cuchiero, C. Liu and D. Prömel, Model-free portfolio theory: A rough path approach
            arXiv:2109.01843 , Mathematical Finance, 2023.
            • 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.
                                                  • Preprints

                                                    • C. Cuchiero and J. Möller, Signature Methods in Stochastic Portfolio Theory
                                                      arXiv:2310.02322 , Preprint, 2023.
                                                    • C. Cuchiero, T. Möllmann and J. Teichmann, Ramifications of generalized Feller theory
                                                      arXiv:2308.03858 , Preprint, 2023.
                                                    • C. Cuchiero, P. Schmocker and J. Teichmann, Global universal approximation of functional input maps on weighted spaces
                                                      arXiv:2306.03303 , Preprint, 2023.
                                                    • S. Cox, C. Cuchiero and A. Khedher, Infinite Wishart processes
                                                      arXiv:2304.03490 , Preprint, 2023.
                                                    • C. Cuchiero, S. Svaluto-Ferro and J. Teichmann, Signature SDEs from an affine and polynomial perspective
                                                      arXiv:2302.01362 , Preprint, 2023.
                                                    • C. Cuchiero, G. Gazzani, J. Möller, S. Svaluto-Ferro, Joint calibration of SPX and VIX options with signature-based models
                                                      arXiv:2301.13235 , Preprint, 2023.
                                                    • 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