Christa Cuchiero
Univ.-Prof. Dr. DI PDMember of the Young Academy since 2020
- Department of Statistics and Operations Research, University of Vienna
Orcid-ID:
0000-0003-1308-5341
Research Areas:
- Mathematics
- Financial mathematics
- Stochastics
- Risk management
- Machine learning
- Statistics
Profile:
Publications:
Selected Memberships:
- Bachelier Finance Society
- Wolfgang Pauli Institute, Vienna
Selected Prizes:
- 2019 FWF START Award
- 2018 Bruti-Liberati Visiting Fellowship in Sydney
- 2012 Ph.D. thesis awarded with the ETH medal (granted to the best 8% of Ph.D. theses completed at ETH each year)
- 2017 Prix de l’Institut Europlace de Finance (EIF): Best paper award in finance for the article “A General HJM Framework for Multiple Yield Curve Modeling” jointly written with Claudio Fontana and Alessandro Gnoatto
Selected Publications:
- C. Cuchiero, D. Filipović, E. Mayerhofer and J. Teichmann, Affine processes on positive semidefinite matrices, Annals of Applied Probability, 21 (2): 397–463, 2011.
- C. Cuchiero, M. Keller-Ressel and J. Teichmann, Polynomial processes and their applications to mathematical finance, Finance and Stochastics, 16 (4): 711–740, 2012.
- C. Cuchiero, C. Fontana and A. Gnoatto, A general HJM framework for multiple yield curve modeling, Finance and Stochastics, 20 (2): 267–320, 2016.
- C. Cuchiero and J. Teichmann, Generalized Feller processes and Markovian lifts of stochastic Volterra processes: The affine case, Journal of Evolution Equations, 2020
- C. Cuchiero, Polynomial processes in stochastic portfolio theory, Stochastic processes and their applications, 129 (5): 1829–1872, 2019.