Christa Cuchiero

University of Vienna - Faculty of Science and Mathematics

Vienna

Austria

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Affine Multiple Yield Curve Models

Mathematical Finance, Vol. 29, Issue 2, pp. 568-611, 2019
Number of pages: 44 Posted: 13 Mar 2019
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
University of Vienna - Faculty of Science and Mathematics, Université Paris VII Denis Diderot and University of Verona - Department of Economics
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Abstract:

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affine processes, forward rate agreement, Libor rate, multiple yield curves, multiplicative spread

2.

Cover's Universal Portfolio, Stochastic Portfolio Theory, and the Numéraire Portfolio

Mathematical Finance, Vol. 29, Issue 3, pp. 773-803, 2019
Number of pages: 31 Posted: 29 May 2020
University of Vienna - Faculty of Science and Mathematics, University of Vienna and University of Toronto
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Diffusions on the unit simplex, ergodic Markov process, functionally generated portfolios, long‐only portfolios, log‐optimal portfolio, stochastic portfolio theory, universal portfolio