Cheridito, Patrick, Soner, H. Mete, Touzi, Nizar
We study the small time path behavior of double stochastic integrals of the form $\int_0^t(\int_0^rb(u) dW(u))^T dW(r)$, where $W$ is a $d$-dimensional Brownian motion and $b$ is an integrable...
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)
Cheridito, Patrick; Princeton University, USA; Dito@princeton.edu, Delbaen, Freddy; ETH Zürich, Switzerland; Delbaen@math.ethz.ch, Kupper, Michael; ETH Zürich, Switzerland; Kupper@math.ethz.ch
We study dynamic monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a dynamic risk...
Cheridito, Patrick, Soner, H. Mete, Touzi, Nizar
We study the small time path behavior of double stochastic integrals of the form ∫0t(∫0rb(u) dW(u))T dW(r), where W is a d-dimensional Brownian motion and b is an integrable progressively...
Second order backward stochastic differential equations and fully non-linear parabolic PDEs (2005)
Cheridito, Patrick, Soner, H. Mete, Touzi, Nizar, Victoir, Nicolas
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for...
Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)
Cheridito, Patrick, Filipovic, Damir, Yor, Marc
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.
Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)
Cheridito, Patrick, Filipović, Damir, Yor, Marc
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.
Dynamic monetary risk measures for bounded discrete-time processes (2004)
Cheridito, Patrick, Delbaen, Freddy, Kupper, Michael
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite...
Fractional Ornstein-Uhlenbeck processes (2003)
Cheridito, Patrick; ETH Zurich; Dito@math.ethz.ch, Kawaguchi, Hideyuki; Keio University And Sumitomo Mitsui Banking Corporation; Hide@1999.jukuin.keio.ac.jp, Maejima, Makoto; Keio University; Maejima@math.keio.ac.jp
The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. On the one hand, it is a stationary solution of the Langevin equation with Brownian motion noise. On the...
Fractional Ornstein-Uhlenbeck processes (2003)
Cheridito, Patrick; ETH Zurich; Dito@math.ethz.ch, Kawaguchi, Hideyuki; Keio University And Sumitomo Mitsui Banking Corporation; Hide@1999.jukuin.keio.ac.jp, Maejima, Makoto; Keio University; Maejima@math.keio.ac.jp
The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. On the one hand, it is a stationary solution of the Langevin equation with Brownian motion noise. On the...
Mixed fractional Brownian motion (2001)
We show that the sum of a Brownian motion and a non-trivial multiple of an independent fractional Brownian motion with Hurst parameter H ∈ (0,1] is not a semimartingale if H ∈ (0, ½) ∪ (½,...
Regularizing fractional Brownian motion with a view towards stock price modelling / (2001)
Diss. no. 14051 math. SFIT Zurich.
Market Price of Risk Specifications for Affine Models: Theory and Evidence
Patrick Cheridito, Damir Filipovic
We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For...
Coherent and convex monetary risk measures for unbounded càdlàg processes
Patrick Cheridito, Freddy Delbaen, Michael Kupper
Assume that the random future evolution of values is modelled in continuous time. Then, a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. In this paper...
Utility maximization under increasing risk aversion in one-period models
Patrick Cheridito, Christopher Summer
It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication price and the...
Coherent and convex monetary risk measures for unbounded càdlàg processes
Patrick Cheridito, Freddy Delbaen, Michael Kupper
Coherent risk measures, Convex monetary risk measures, Coherent utility functionals, Concave monetary utility functionals, Unbounded càdlàg processes, Extension of risk measures, 91B30, 91B16,...
Cheridito, Patrick, Filipovic, Damir, Kimmel, Robert L.
Dai and Singleton (2000) study a class of term structure models for interest rates that specify the instantaneous interest rate as an affine combination of the components of an N-dimensional affine...