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Cheridito, Patrick's
Scholarly Papers
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Aggregate Statistics |
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Downloads
1,970 |
Total
Citations
93 |
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1.
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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416
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62
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Affine, Girsanov, arbitrage, Feller
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2.
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Cheridito, Patrick
Princeton University Horst, Ulrich
Humboldt University of Berlin Kupper, Michael
Humboldt University of Berlin - Department of Mathematics Pirvu, Traian Adrian
McMaster University
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07 Feb 11
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Last Revised:
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14 Mar 13
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337
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Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem
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3.
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Cheridito, Patrick
Princeton University Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research
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320
(44,721)
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2
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time-consistency, value at risk, composed value at risk, composed average value at risk
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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26 Feb 07
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Last Revised:
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27 Sep 10
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264
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7
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affine diffusion processes, affine transformations, diagonal diffusion matrices
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5.
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Cheridito, Patrick
Princeton University Li, Tianhui
Princeton University
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205
(73,057)
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3
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Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts
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6.
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Cheridito, Patrick
Princeton University Kupper, Michael
Princeton University
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150
(98,055)
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4
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Dynamic utility functions, time-consistency, monetary utility functions, indifference prices, indifference sets
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7.
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Cheridito, Patrick
Princeton University Xu, Zhikai
Princeton University
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17 Jan 13
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Last Revised:
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22 Apr 13
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129
(111,440)
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Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, structural model, reduced form model
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8.
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Cheridito, Patrick
Princeton University Kromer, Eduard
University of Giessen
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64
(177,952)
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Reward measures, risk measures, monotonicity, quasi-concavity, scale invariance, distribution based
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9.
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Cheridito, Patrick
Princeton University Sepin, Tardu
Princeton University - Department of Operations Research & Financial Engineering (ORFE)
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55
(192,096)
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Optimal execution, implementation cost, discrete-time stochastic control, Bellman equation, stochastic volatility, stochastic liquidity
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10.
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Cheridito, Patrick
Princeton University Xu, Zhikai
Princeton University
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21 Apr 13
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Last Revised:
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26 Apr 13
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26
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Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging
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11.
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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2
(336,218)
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7
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12.
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Risk Measures on Orlicz Hearts
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Versions (2)
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hide multiple versions |
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Cheridito, Patrick
Princeton University Li, Tianhui
Princeton University
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Posted:
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09 May 07
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Last Revised:
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15 May 09
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2
(336,218)
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10
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Cheridito, Patrick
Princeton University Li, Tianhui
Princeton University
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2
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10
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Cheridito, Patrick
Princeton University Li, Tianhui
Princeton University
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0
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coherent risk measures, convex monetary risk measures, monetary risk measures, acceptance sets, robust representations, cash-additive hulls, transformed norm risk measures, transformed loss risk measures, Orlicz spaces
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Records 1 -
12
of 12 matches
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