Concepedia

Patrick Cheridito

PC

48

Publications

4.2K

Citations

31

H-Index

2001

Active since

Affiliations

Princeton University(Current)

University of Konstanz

École Polytechnique Fédérale de Lausanne

University of Münster

Patrick Cheridito is an author at Princeton University specializing in engineering, asset pricing, and business.

Top concepts

EngineeringFinanceBusinessAsset PricingEconomicsStochastic CalculusStatisticsStochastic ProcessesMathematical ProgrammingProbability

Publications per year

2001–2022

48

Publications

48

Fractional Ornstein-Uhlenbeck processes

Patrick Cheridito, Hideyuki Kawaguchi, Makoto Maejima · Electronic Journal of Probability · 2003 · 408 citations · Full text

Brownian Motion Noise, Engineering, Physics +9

Mixed Fractional Brownian Motion

Patrick Cheridito · Bernoulli · 2001 · 373 citations

Engineering, Asset Pricing, European Call Option +7

Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes

Patrick Cheridito, Freddy Delbaen, Michael Kupper · Electronic Journal of Probability · 2006 · 350 citations · Full text

Mathematical Programming, Computational Finance, Dynamic Coherent +13

Market price of risk specifications for affine models: Theory and evidence☆

Patrick Cheridito, Damir Filipović, Robert L. Kimmel · Journal of Financial Economics · 2006 · 345 citations · Full text

Market Price, Economics, Risk Specifications +9

Arbitrage in fractional Brownian motion models

Patrick Cheridito · Finance and Stochastics · 2003 · 334 citations

Levy Process, Asset Pricing, Fractional Stochastics

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