CV Patrick Cheridito Professor of Mathematics, ETH Zurich Director of RiskLab Switzerland 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 NSF Award DMS-1515753 Awards Grant for organizing a thematic semester in the spring of 2015 at the Center for Interdisciplinary Research in Bielefeld, Germany. NSF Award DMS-0735404 NSF Career Award DMS-0642361 Alfred Rheinstein Faculty Award 2006 Peek Junior Faculty Award 2006 NSF Award DMS-0505932 Research Fellowship of the Swiss National Science Foundation for the year 2002 03 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 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 1
Teaching Asset Pricing 2 Master s Level 2016, Princeton University Convex Analysis PhD Level 2012-2013, Princeton University Probability Theory PhD Level 2010-2015, Princeton University Stochastic Analysis Seminar for PhD Students 2010-2016, Princeton University Stochastic Calculus and Finance PhD Level 2004 2010, Princeton University Financial Risk Management Master s Level 2003 2008, Princeton University Financial Risk Management Undergraduate Level 2003 2006, Princeton University Editorial Boards Journal of Risk Mathematics of Operations Research SIAM Journal on Financial Mathematics P. Cheridito and K. Nam (2016). BSEs, BSDEs and fixed point problems. Forthcoming in Annals of Probability. Publications D. Bartl, P. Cheridito, M. Kupper and L. Tangpi (2016). Duality for increasing convex functionals with countably many marginal constraints. Forthcoming in Banach Journal of Mathematical Analysis. 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. 174 195. P. Cheridito and K. Nam (2015). Multidimensional quadratic and subquadratic BSDEs with special structure. Stochastics 87(5), p. 871 884. P. Cheridito, M. Kupper and N. Vogelpoth (2015). Conditional Analysis on R d. Set Optimization and Applications The State of the Art, p. 179 212. P. Cheridito and Z. Xu (2015). A reduced form CoCo model with deterministic conversion intensity. The Journal of Risk 17(3), p. 1 18. P. Cheridito and T. Sepin (2014). Optimal trade execution under stochastic volatility and liquidity. Applied Mathematical Finance 21(4), p. 342 362. 2
P. Cheridito and K. Nam (2014). BSDEs with terminal conditions that have bounded Malliavin derivative. Journal of Functional Analysis 266(3), p. 1257 1285. 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. 154 158 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. 1 16. 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. 3 9. P. Cheridito and M. Stadje (2013). BS Es and BSDEs with non-lipschitz drivers : comparison, convergence and robustness. Bernoulli 19(3), p. 1047 1085. 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. 1540 1565. P. Cheridito and A. Wugalter (2012). Pricing and hedging in affine models with possibility of default. SIAM Journal on Financial Mathematics 3(1), p. 328 350. 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. 208 303. 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. 283 299. 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. 137 162. 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. 509 519. P. Cheridito and M. Kupper (2009). Recursiveness of indifference prices and translation-invariant preferences. Mathematics and Financial Economics, 2(3), p. 173 188. 3
P. Cheridito and M. Stadje (2009). Time-inconsistency of VaR and time-consistent alternatives. Finance Research Letters, 6(1), p. 40 46 P. Cheridito and T. Li (2009). Risk measures on Orlicz hearts. Mathematical Finance 19(2), p. 189 214. P. Cheridito and T. Li (2008). Dual characterization of properties of risk measures on Orlicz hearts. Mathematics and Financial Economics 2(1), p. 29 55. 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. 1081 1110. 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. 123 170. P. Cheridito, F. Delbaen and M. Kupper (2006). Dynamic monetary risk measures for bounded discrete-time processes. Electronic Journal of Probability, 11, p. 57 106. P. Cheridito, F. Delbaen and M. Kupper (2006). Coherent and convex monetary risk measures for unbounded càdlàg processes Finance and Stochastics, 10(3), p. 427 448. P. Cheridito and C. Summer (2006). Utility maximization under increasing risk aversion in one-period models. Finance and Stochastics, 10(1), p. 147 158. 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. 1713 1732. 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. 633 666. 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. 2472 2495. 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. 1049 1081. 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. 1 22. 4
P. Cheridito (2003). Gaussian moving averages, semimartingales and option pricing. Stochastic Processes and their Applications, 109(1), p. 47 68. P. Cheridito, H, Kawaguchi and M. Maejima (2003). Fractional Ornstein Uhlenbeck processes. Electronic Journal of Probability, 8(3), p. 1 14. P. Cheridito (2003). Arbitrage in fractional Brownian motion models. Finance and Stochastics, 7(4), p. 533 553. P. Cheridito (2003). Representations of Gaussian measures that are equivalent to Wiener measure. Séminaire de Probabilités, Vol. XXXVII, p. 81-89. Springer Lecture Notes in Mathematics, Vol. 1832. 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. 225 239. P. Cheridito (2001). Mixed fractional Brownian motion. Bernoulli, 7(6), p. 913 934. 5