Cuchiero, Christa

1. Signature-based models: theory and calibration
   2022/07/26 by Christa Cuchiero, Cuchiero, Christa, Guido Gazzani +3 · 11 citations
   Economics, Econometrics and Finance · Engineering · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Stochastic processes and financial applications
2. Joint calibration to SPX and VIX options with signature-based models
   2023/01/30 by Christa Cuchiero, Cuchiero, Christa, Guido Gazzani +5 · 8 citations
   Economics, Econometrics and Finance · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
3. Deep neural networks, generic universal interpolation, and controlled ODEs
   2019/08/15 by Cuchiero, Christa, Larsson, Martin, Teichmann, Josef · 5 citations
   #Dynamical Systems (math.DS) #FOS: Mathematics #Optimization and Control (math.OC)
4. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
   2018/04/27 by Cuchiero, Christa, Teichmann, Josef · 3 citations
   #60H15 #60J25 #FOS: Mathematics #Probability (math.PR)
5. Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
   2022/08/03 by Christa Cuchiero, Francesca Primavera, Cuchiero, Christa +3 · 4 citations
   Economics, Econometrics and Finance · Mathematics · #60J76 #60L10 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Markov Chains and Monte Carlo Methods #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
6. Global universal approximation of functional input maps on weighted spaces
   2023/06/05 by Christa Cuchiero, Philipp Schmocker, Cuchiero, Christa +3 · 5 citations
   Computer Science · Engineering · Physics and Astronomy · #Neural Networks and Applications #Control Systems and Identification #Model Reduction and Neural Networks
7. Signature Methods in Stochastic Portfolio Theory
   2023/10/03 by Cuchiero, Christa, Möller, Janka · 5 citations
   #60L10 #62P05 #90C20 #91G10 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR)
8. Measure-valued processes for energy markets
   2022/10/17 by Cuchiero, Christa, Di Persio, Luca, Guida, Francesco +1 · 3 citations
   #FOS: Economics and business #Mathematical Finance (q-fin.MF)
9. Markovian lifts of positive semidefinite affine Volterra type processes
   2019/07/02 by Cuchiero, Christa, Teichmann, Josef · 2 citations
   #60H15 #60J25 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
10. Signature SDEs from an affine and polynomial perspective
    2023/02/02 by Cuchiero, Christa, Svaluto-Ferro, Sara, Teichmann, Josef · 3 citations
    #58K20 #60G20 #60L10 #60L70 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
11. Affine Models
    2008/09/11 by Cuchiero, Christa, Filipovic, Damir, Teichmann, Josef · 1 citation
    #91B70 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)
12. A new perspective on the fundamental theorem of asset pricing for large financial markets
    2014/12/23 by Cuchiero, Christa, Klein, Irene, Teichmann, Josef · 1 citation
    #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Probability (math.PR)
13. Polynomial processes in stochastic portfolio theory
    2017/05/10 by Cuchiero, Christa · 1 citation
    #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
14. Probability measure-valued polynomial diffusions
    2018/07/09 by Cuchiero, Christa, Larsson, Martin, Svaluto-Ferro, Sara · 1 citation
    #60G57 #60J68 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
15. Discrete-time signatures and randomness in reservoir computing
    2020/09/17 by Cuchiero, Christa, Gonon, Lukas, Grigoryeva, Lyudmila +2 · 1 citation
    #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Neural and Evolutionary Computing (cs.NE) #Probability (math.PR)
16. Propagation of minimality in the supercooled Stefan problem
    2020/10/07 by Cuchiero, Christa, Rigger, Stefan, Svaluto-Ferro, Sara · 1 citation
    #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
17. Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
    2021/11/02 by Cuchiero, Christa, Reisinger, Christoph, Rigger, Stefan · 1 citation
    #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
18. Polynomial Volterra processes
    2024/03/21 by Jaber, Eduardo Abi, Cuchiero, Christa, Pelizzari, Luca +2 · 1 citation
    #45D05 #60H15 #60K50 #FOS: Mathematics #Probability (math.PR)
19. Infinite-dimensional Wishart-processes
    2023/04/07 by Sonja Cox, Cox, Sonja, Christa Cuchiero +3 · 1 citation
    Mathematics · #FOS: Mathematics #Probability (math.PR) #Random Matrices and Applications #Spectral Theory in Mathematical Physics