Univ.-Prof. Dr. DI PD

Christa Cuchiero

Mitglied der Jungen Akademie seit 2020

  • Institut für Statistik und Operations Research, Universität Wien

Kontakt:

Orcid-ID:

0000-0003-1308-5341

Forschungsbereiche:

  • Mathematik
  • Finanzmathematik
  • Stochastik
  • Risikomanagement
  • Machine Learning
  • Statistik

Zur Person:

CV/Website

Publikationen:

Webseite

Ausgewählte Mitgliedschaften:

  • Bachelier Finance Society
  • Wolfgang Pauli Institute, Vienna

Ausgewählte Preise und Auszeichnungen:

  • 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

Ausgewählte Publikationen:

  • 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.