Patrick Cheridito

ETH Zurich

Department of Mathematics

8092 Zurich

Switzerland

SCHOLARLY PAPERS

20

DOWNLOADS
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CITATIONS
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in Total Papers Citations

94

Scholarly Papers (20)

1.

Measuring and Allocating Systemic Risk

Number of pages: 22 Posted: 29 Dec 2013 Last Revised: 26 Jul 2014
Markus K. Brunnermeier and Patrick Cheridito
Princeton University - Department of Economics and ETH Zurich
Downloads 1,032 (11,538)
Citation 2

Abstract:

Systemic risk measure, systemic risk allocation, feedback effects, shadow prices, systemic risk limits, systemic risk charges, cap and trade

2.

Pricing and Hedging CoCos

Number of pages: 27 Posted: 17 Jan 2013 Last Revised: 09 Apr 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 538 (22,371)
Citation 1

Abstract:

Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, intensity-based model, first-passage time model

3.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
Patrick Cheridito, Ulrich Horst, Michael Kupper and Traian A. Pirvu
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 453 (45,872)

Abstract:

Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem

4.

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Number of pages: 39 Posted: 05 Apr 2004
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance
Downloads 453 (47,412)
Citation 61

Abstract:

Affine, Girsanov, arbitrage, Feller

5.

Optimal Trade Execution under Stochastic Volatility and Liquidity

Applied Mathematical Finance, 2014, 21(4), 342--362
Number of pages: 22 Posted: 16 Mar 2013 Last Revised: 02 Sep 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 427 (42,315)

Abstract:

Optimal trade execution, implementation cost, discrete-time stochastic control, Bellman equation, stochastic volatility, stochastic liquidity

6.

Time-Inconsistency of VaR and Time-Consistent Alternatives

Number of pages: 8 Posted: 05 Mar 2008
Patrick Cheridito and Mitja Stadje
ETH Zurich and Tilburg University - Department of Econometrics & Operations Research
Downloads 336 (68,115)
Citation 1

Abstract:

time-consistency, value at risk, composed value at risk, composed average value at risk

7.

A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models

Fisher College of Business Working Paper No. 2007-03-005, Charles A. Dice Working Paper No. 2007-2
Number of pages: 11 Posted: 26 Feb 2007 Last Revised: 27 Sep 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance
Downloads 288 (80,850)
Citation 6

Abstract:

affine diffusion processes, affine transformations, diagonal diffusion matrices

8.

A Reduced Form CoCo Model with Deterministic Conversion Intensity

Number of pages: 13 Posted: 21 Apr 2013 Last Revised: 15 Mar 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 230 (63,350)

Abstract:

Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging

9.

Optimal Trade Execution with a Dark Pool and Adverse Selection

Number of pages: 15 Posted: 02 Sep 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 229 (75,262)

Abstract:

Optimal trade execution, dark pool, adverse selection, stochastic volatility, stochastic liquidity, discrete-time stochastic control

10.

Dual Characterization of Properties of Risk Measures

Number of pages: 27 Posted: 03 Mar 2008
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 212 (112,015)
Citation 2

Abstract:

Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts

11.

Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity

Number of pages: 14 Posted: 22 Oct 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 189 (92,442)

Abstract:

Portfolio execution, stochastic volatility, stochastic liquidity, dark pool, dynamic programming.

12.

Reward-Risk Ratios

Journal of Investment Strategies, Forthcoming
Number of pages: 16 Posted: 10 Sep 2012 Last Revised: 25 Nov 2013
Patrick Cheridito and Eduard Kromer
ETH Zurich and University of California, Berkeley
Downloads 177 (104,397)

Abstract:

Reward measures, risk measures, monotonicity, quasi-concavity, scale invariance, distribution based

13.

Time-Consistency of Indifference Prices and Monetary Utility Functions

Number of pages: 21 Posted: 22 Jan 2006
Patrick Cheridito and Michael Kupper
ETH Zurich and Princeton University
Downloads 156 (146,450)
Citation 4

Abstract:

Dynamic utility functions, time-consistency, monetary utility functions, indifference prices, indifference sets

14.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
Patrick Cheridito, Freddy Delbaen, Samuel Drapeau and Michael Kupper
ETH Zurich, Swiss Federal Institute of Technology at Zurich, CAFR and Humboldt University of Berlin - Department of Mathematics
Downloads 77 (156,346)

Abstract:

Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

15.

A Note on the Dai–Singleton Canonical Representation of Affine Term Structure Models

Mathematical Finance, Vol. 20, Issue 3, pp. 509-519, July 2010
Number of pages: 11 Posted: 08 Jun 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance
Downloads 2 (517,780)
Citation 6
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Abstract:

16.
Downloads 2 (523,907)

Risk Measures on Orlicz Hearts

Mathematical Finance, Vol. 19, Issue 2, pp. 189-214, April 2009
Number of pages: 26 Posted: 27 Apr 2009
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 2 (550,660)
Citation 11
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Abstract:

Risk Measures on Orlicz Hearts

Posted: 09 May 2007
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University

Abstract:

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

17.

Variable Annuities with High Water Mark Withdrawal Benefit

Number of pages: 17 Posted: 14 Dec 2016
Patrick Cheridito and Peiqi Wang
ETH Zurich and Princeton University
Downloads 0 (281,577)

Abstract:

variable annuities, early surrender, stochastic control, optimal stopping, Hamilton--Jacobi--Bellman variational inequality

18.

Comment on 'Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks' by J. Miao

Number of pages: 1 Posted: 01 Aug 2016
Patrick Cheridito and Juan Sagredo
ETH Zurich and Princeton University
Downloads 0 (334,613)

Abstract:

Competitive equilibrium, heterogenous agent models

19.

A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 18 Posted: 24 Jun 2016
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 0 (544,094)
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Abstract:

contingent convertible bonds, credit default swaps, reduced-form model, pricing calibration, hedging

20.

Existence of Sequential Competitive Equilibrium in Krusell–Smith Type Economies

Number of pages: 14 Posted: 14 Jun 2016
Patrick Cheridito and Juan Sagredo
ETH Zurich and Princeton University
Downloads 0 (175,377)

Abstract:

Competitive equilibrium, heterogenous agent models, conditional-no-aggregate-uncertainty