CV Patrick Cheridito

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1 CV Patrick Cheridito Department of Mathematics, ETH Zurich Rämistrasse 101, 8092 Zurich, Switzerland https ://people.math.ethz.ch/ patrickc Academic Appointments Professor at the Department of Mathematics, ETH Zurich and Director of RiskLab Switzerland June 2016 present Faculty member of the Department of Operations Research and Sep 2003 May 2016 Financial Engineering, Princeton University Member of the Interdepartmental Committee of the Bendheim Center Sep 2003 May 2016 for Finance, Princeton University Associated Faculty of the Program in Applied and Computational Nov 2007 May 2016 Mathematics, Princeton University Affiliations RiskLab Switzerland, ETH Risk Center, Swiss Association of Actuaries, Swiss Finance Institute NSF Award DMS Awards Grant for organizing a thematic semester in the spring of 2015 at the Center for Interdisciplinary Research in Bielefeld, Germany. NSF Award DMS NSF Career Award DMS Alfred Rheinstein Faculty Award 2006 Peek Junior Faculty Award 2006 NSF Award DMS Research Fellowship of the Swiss National Science Foundation for the year Prize of the Dimitris N. Chorafas Foundation for the doctoral dissertation PhD Supervision Juan Sagredo, PhD 2016, ORFE, Princeton University Zhikai Xu. PHD 2016, ORFE, Princeton University Tardu Sepin, PhD 2015, ORFE, Princeton University 1

2 Kihun Nam, PhD 2014, PACM, Princeton University Jared Klyman, PhD 2011, ORFE, Princeton University Alexander Wugalter, PhD 2011, ORFE, Princeton University Mitja Stadje, PhD 2009, ORFE, Princeton University Teaching Seminar on Optimal Stopping Master s Level, 2017, ETH Zurich Quantitative Risk Management Master s Level 2017, ETH Zurich Asset Pricing 2 Master s Level 2016, Princeton University Convex Analysis PhD Level , Princeton University Probability Theory PhD Level , Princeton University Stochastic Analysis Seminar for PhD Students , Princeton University Stochastic Calculus and Finance PhD Level , Princeton University Financial Risk Management Master s Level , Princeton University Financial Risk Management Undergraduate Level , Princeton University Editorial Boards Journal of Risk Mathematics of Operations Research SIAM Journal on Financial Mathematics Preprints P. Cheridito and P. Wang. Variable annuities with high water mark withdrawal benefit. SSRN Preprint. P. Cheridito and J. Sagredo Existence of sequential competitive equilibrium in Krusell?Smith type economies. SSRN Preprint. P. Cheridito and J. Sagredo. Comment on Competitive equilibria of economies with a continuum of consumers and aggregate shocks by J. Miao. SSRN Preprint. P. Cheridito, M. Cheridito and L. Tangpi. Representation of increasing convex functionals with countably additive measures. arxiv Preprint P. Cheridito, F. Delbaen, S. Drapeau and M. Kupper. Stochastic order-monotone uncertaintyaverse preferences. SSRN Preprint. P. Cheridito and T. Sepin Portfolio execution with a dark pool under stochastic volatility and liquidity. SSRN Preprint P. Cheridito and T. Sepin. Optimal trade execution with a dark pool and adverse selection. SSRN Preprint. P. Cheridito and M. Brunnemeier. Measuring and allocating systemic risk. SSRN Preprint. P. Cheridito and Z. Xu. Pricing and hedging CoCos. SSRN Preprint. 2

3 Publications P. Cheridito, M. Kupper and L. Tangpi (2017). Duality formulas for robust pricing and hedging in discrete time. Forthcoming in the SIAM Journal on Financial Mathematics. P. Cheridito and K. Nam (2017). BSEs, BSDEs and fixed point problems. Forthcoming in Annals of Probability. D. Bartl, P. Cheridito, M. Kupper and L. Tangpi (2017). Duality for increasing convex functionals with countably many marginal constraints. Banach Journal of Mathematical Analysis 11(1), p P. Cheridito, U. Horst, M. Kupper and T. Pirvu (2016). Equilibrium pricing in incomplete markets under translation invariant preferences. Mathematics of Operations Research 41(1), p P. Cheridito and K. Nam (2015). Multidimensional quadratic and subquadratic BSDEs with special structure. Stochastics 87(5), p P. Cheridito, M. Kupper and N. Vogelpoth (2015). Conditional Analysis on R d. Set Optimization and Applications The State of the Art, p P. Cheridito and Z. Xu (2015). A reduced form CoCo model with deterministic conversion intensity. The Journal of Risk 17(3), p P. Cheridito and T. Sepin (2014). Optimal trade execution under stochastic volatility and liquidity. Applied Mathematical Finance 21(4), p P. Cheridito and K. Nam (2014). BSDEs with terminal conditions that have bounded Malliavin derivative. Journal of Functional Analysis 266(3), p P. Cheridito, F. Fabozzi, C. Fox and W.C. Kim (2014). Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments. Economic Letters 122(2), p P. Cheridito and Z. Xu (2013). How to value a CoCo. Creditflux. P. Cheriditio and E. Kromer (2013). Reward-risk ratios. Journal of Investment Strategies 3(1), p P. Cheridito, S. Drapeau and M. Kupper (2013). Weak closedness of monotone sets of lotteries and robust representation of risk preferences. Risk Measures and Attitudes. European Actuarial Academy Series, p P. Cheridito and M. Stadje (2013). BS Es and BSDEs with non-lipschitz drivers : comparison, convergence and robustness. Bernoulli 19(3), p

4 P. Cheridito and M. Stadje (2012). Existence, minimality and approximation of solutions to BSDEs with convex drivers. Stochastic Processes and their Applications 122(4), 2012, p P. Cheridito and A. Wugalter (2012). Pricing and hedging in affine models with possibility of default. SIAM Journal on Financial Mathematics 3(1), p P. Cheridito, A. Nikeghbali and E. Platen (2012). Processes of class Sigma, last passage times and drawdowns. SIAM Journal on Financial Mathematics 3(1), p P. Cheridito and E. Kromer (2011). Ordered contribution allocations : theoretical properties and applications. The Journal of Risk 14(1). P. Cheridito and Y. Hu (2011). Optimal consumption and investment in incomplete markets with general constraints. Stochastics and Dynamics 11(2), p P. Cheridito and M. Kupper (2011). Composition of time-consistent dynamic monetary risk measures in discrete time. International Journal of Theoretical and Applied Finance 14(1), p P. Cheridito, D. Filipovic and R. Kimmel (2010). A note on the Dai Singleton canonical representation of affine term structure models. Mathematical Finance 20(3), 2010, p P. Cheridito and M. Kupper (2009). Recursiveness of indifference prices and translation-invariant preferences. Mathematics and Financial Economics, 2(3), p P. Cheridito and M. Stadje (2009). Time-inconsistency of VaR and time-consistent alternatives. Finance Research Letters, 6(1), p P. Cheridito and T. Li (2009). Risk measures on Orlicz hearts. Mathematical Finance 19(2), p P. Cheridito and T. Li (2008). Dual characterization of properties of risk measures on Orlicz hearts. Mathematics and Financial Economics 2(1), p P. Cheridito, H.M. Soner, N. Touzi and N. Victoir (2007). Second order backward stochastic differential equations and fully non-linear parabolic PDEs. Communications on Pure and Applied Mathematics 60(7), p P. Cheridito, D. Filipovic and R. Kimmel (2007). Market price of risk specifications for affine models : theory and evidence. Journal of Financial Economics 83(1), p P. Cheridito, F. Delbaen and M. Kupper (2006). Dynamic monetary risk measures for bounded discrete-time processes. Electronic Journal of Probability, 11, p

5 P. Cheridito, F. Delbaen and M. Kupper (2006). Coherent and convex monetary risk measures for unbounded càdlàg processes Finance and Stochastics, 10(3), p P. Cheridito and C. Summer (2006). Utility maximization under increasing risk aversion in one-period models. Finance and Stochastics, 10(1), p P. Cheridito, D. Filipovic and M. Yor (2005). Equivalent and absolutely continuous measure changes for jump-diffusion processes. Annals of Applied Probability, 15(3), p P. Cheridito, H.M. Soner and N. Touzi (2005). The multi-dimensional super-replication problem under gamma constraints. Annales de l Institute Henri Poincaré (C) Non Linear Analysis, 22(5), p P. Cheridito, H.M. Soner and N. Touzi (2005). Small time path behavior of double stochastic integrals and applications to stochastic control. Annals of Applied Probability, 15(4), p P. Cheridito and D. Nualart (2005). Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H in (0,1/2). Annales de l Institute Henri Poincaré (B) Probability and Statistics, 41(6), p P. Cheridito, F. Delbaen and M. Kupper (2004). Coherent and convex monetary risk measures for bounded càdlàg processes. Stochastic Processes and their Applications, 112(1), p Gaussian moving averages, semimartingales and option pricing. Stochastic Processes and their Applications, 109(1), p P. Cheridito, H, Kawaguchi and M. Maejima (2003). Fractional Ornstein Uhlenbeck processes. Electronic Journal of Probability, 8(3), p Arbitrage in fractional Brownian motion models. Finance and Stochastics, 7(4), p Representations of Gaussian measures that are equivalent to Wiener measure. Séminaire de Probabilités, Vol. XXXVII, p Springer Lecture Notes in Mathematics, Vol P. Cheridito (2002). Sensitivity of the Black Scholes option price to the local path behavior of the stochastic process modeling the underlying asset. Proceedings of the Steklov Institute of Mathematics, Vol. 237, p P. Cheridito (2001). Mixed fractional Brownian motion. Bernoulli, 7(6), p