Patrick Cheridito - Concepedia

Author

Patrick Cheridito

Princeton University ORCID

Also Known As

Cheridito, Patrick, Eckstein, Stephan, P CHERIDITO, PATRICK CHERIDITO, Patrick Cheridito, Yor, Marc

111

Publications

4.5K

Citations

H-Index

Concepts

All Affiliations

Princeton University ETH Zurich University of Konstanz École Polytechnique Fédérale de Lausanne University of Münster

About

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

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Engineering	19	21	2.4K
2	Business	14	15	1.4K
3	Management	4	4	230
4	Natural Sciences	3	3	328
5	Medicine	2	2	297

Patrick Cheridito

Publications

4.2K

Citations

H-Index

Page 1

	Year	Citations
Fractional Ornstein-Uhlenbeck processes Patrick Cheridito, Hideyuki Kawaguchi, Makoto Maejima Electronic Journal of Probability Brownian Motion NoiseEngineeringPhysicsFractional Ornstein-uhlenbeck ProcessesStochastic Processes	2003	408
Mixed Fractional Brownian Motion Patrick Cheridito Bernoulli EngineeringAsset PricingEuropean Call OptionStochastic ProcessesFractional Stochastics	2001	373
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes Patrick Cheridito, Freddy Delbaen, Michael Kupper Electronic Journal of Probability Mathematical ProgrammingComputational FinanceDynamic CoherentAsset PricingDual Characterizations	2006	350
Market price of risk specifications for affine models: Theory and evidence☆ Patrick Cheridito, Damir Filipović, Robert L. Kimmel Journal of Financial Economics Market PriceEconomicsRisk SpecificationsFinancial EconomicsAsset Pricing	2006	345
Arbitrage in fractional Brownian motion models Patrick Cheridito Finance and Stochastics Levy ProcessAsset PricingFractional Stochastics	2003	334
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs Patrick Cheridito, H. Meté Soner, Nizar Touzi, Communications on Pure and Applied Mathematics EngineeringNatural SciencesStochastic ProcessesStochastic CalculusPartial Differential Equations	2006	238
RISK MEASURES ON ORLICZ HEARTS Patrick Cheridito, Tianhui Li Mathematical Finance Heart FailureEngineeringSuch Risk MeasuresRisk MetricFunctional Analysis	2009	220
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME Patrick Cheridito, Michael Kupper International Journal of Theoretical and Applied Finance EngineeringOne-step Risk MeasuresDynamic EconomicsDiscrete TimeFinancial Mathematics	2011	158
Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) Patrick Cheridito, David Nualart Annales de l Institut Henri Poincaré Probabilités et Statistiques	2005	134
Deep Splitting Method for Parabolic PDEs Christian Beck, S. Becker, Patrick Cheridito, SIAM Journal on Scientific Computing	2021	130

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