Classification: 1165: Stochastics

Publications

Journal article

2019 Gür, Sercan, Pötzelberger, Klaus. 2019. Sensitivity of boundary crossing probabilities of the Brownian motion. Monte Carlo Methods and Applications. (Details)
2018 Vana, Laura, Hofmarcher, Paul, Grün, Bettina, Hornik, Kurt. 2018. Identifying key factors in accounting-based models of credit risk based on a predictive model averaging approach. Advances in Quantitative Analysis of Finance and Accounting. 16 117-146. (Details)
2016 Andreas, Martin, Kuessel, Lorenz, Wirth, Stefan, Gruber, Kathrin, Rhomberg, Franziska, Gomari-Grisar, Fatemeh, Franz, Maximilian, Zeisler, Harald, Gottsauner-Wolf, Michael. 2016. Bioimpedance cardiography in pregnancy: A longitudinal cohort study on hemodynamic pattern and outcome. BMC Pregnancy and Childbirth 16 (1), 128-137. open access (Details)

Paper presented at an academic conference or symposium

2018 Cuchiero, Christa. 2018. Calibration of financial models using neural networks. DEM Workshop in Financial Mathematics, Verona, Italien, 31.10. Invited Talk (Details)
  Cuchiero, Christa. 2018. Calibration of financial models using neural networks. 6th NUS-USPC Workshop on Machine Learning and FinTech, Singapore, Singapur, 18.04.-19.04. Invited Talk (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Advanced Methods in Mathematical Finance, Angers, Frankreich, 28.08.-31.08. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. • Workshop on Stochastic Modelling and Financial Applications, Verona, Italien, 01.06.-02.06. Invited Talk (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. 9th International Workshop on applied Probability, Budapest, Ungarn, 18.06.-21.06. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Innovative Research in Mathematical Finance in Honor of Yuri Kabanov, Zürich, Schweiz, 07.09. Invited Talk (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Mathematical finance workshop, Connecticut, Vereinigte Staaten/USA, 13.10. (Details)
  Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Stochastic Analysis and its Applications, Banff, Oaxaca, Kanada, 13.05.-18.05. (Details)
  Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Deutschland, 24.05.-25.05. (Details)
  Cuchiero, Christa. 2018. Rough covariance modeling - theory and empirics. Quantitative Methods in Finance, Sydney, Australien, 11.12.-14.12. Invited Talk (Details)
  Cuchiero, Christa. 2018. Rough volatility modeling from an affine point of view. Actuarial and Financial Mathematics Conference, Brussels, Belgien, 08.02.-09.02. Invited Talk (Details)
2017 Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. Invited Talk (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. • Mathematical Finance Workshop, Paris-Diderot, Frankreich, 07.12. (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. Thera Stochastics, A Mathematics Conference in Honor of Ioannis Karatzas, Thera (Santorin), Italy, 31.05-02.06. Invited Talk (Details)
  Cuchiero, Christa. 2017. Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. Oberwolfach Meeting on Mathematics of Quantitative Finance, Oberwolfach-Walke, Germany, 26.02.-4.3. (Details)
  Cuchiero, Christa. 2017. Keynote talk: Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. Advances in Financial Mathematics, Paris, France, 10.1.-13.1. Invited Talk (Details)
  Cuchiero, Christa. 2017. Keynote talk: Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. ETH Risk Day 2017, Zurich, Switzerland, 15.09. Invited Talk (Details)
  Cuchiero, Christa. 2017. Keynote talk: Polynomial processes in stochastic portfolio theory. School and workshop on dynamical models in Finance, Lausanne, Switzerland, 22.05.-24.05. Invited Talk (Details)
  Cuchiero, Christa. 2017. Non-linear (PI)DEs and affine processes. International Workshop on BSDEs, SPDEs and their Applications, Edinburgh, Großbritannien, 03.07.-07.07. (Details)
  Cuchiero, Christa. 2017. Rough volatility modeling from an affine point of view. • Stochastic analysis and modeling conference, Verona, Italien, 18.12. Invited Talk (Details)
  Cuchiero, Christa. 2017. Rough volatility modeling from an affine point of view. Advances in Stochastic Analysis for Risk Modeling, Luminy, Frankreich, 13.11.-17.11. (Details)
2016 Gruber, Kathrin. 2016. Quasi-exakte Tests zur Überprüfung des Rasch Modells und fehlende Werte: Was tun? 12. Tagung der Österreichischen Gesellschaft für Psychologie, Innsbruck, Österreich, 31.03.-02.04. (Details)
2014 Pittner, Stefan, Frühwirth-Schnatter, Sylvia. 2014. Probabilistic Clustering of Panel Time Series Using a Time-Inhomogenous Model Built Around Markov Chains. 14th Annual Conference of European Network for Business and Industrial Statistics, Linz, Österreich, 21.09.-25.09. (Details)
2013 Frühwirth-Schnatter, Sylvia, Pittner, Stefan, Weber, Andrea, Winter-Ebmer, Rudolf. 2013. Capturing the Treatment Effect of Bankruptcy on Employment Profiles Through Model-Based Clustering. Meeting of the National Research Network "The Austrian Center for Labor Economics and the Analysis of the Welfare State", Innsbruck, Österreich, 12.09.-13.09.. (Details)
  Frühwirth-Schnatter, Sylvia, Pittner, Stefan, Weber, Andrea, Winter-Ebmer, Rudolf. 2013. Development of Employment Status After Bankruptcy: Model-Based Clustering Using a Mixture of Time-Inhomogeneous Markov Chains. 1st Workshop in Applied Econometrics, Wien, Österreich, 13.05-13.05. (Details)
  Frühwirth-Schnatter, Sylvia, Pittner, Stefan, Weber, Andrea, Winter-Ebmer, Rudolf. 2013. Model-Based Clustering for Studying the Impact of Bankruptcy on the Employee's Future. 20th Summer Working Group on Model-Based Clustering, Bologna, Italien, 21.07.-27.07.. (Details)

Poster presented at an academic conference or symposium

2014 Pittner, Stefan, Frühwirth-Schnatter, Sylvia. 2014. Clustering of Categorical Time Series by Modelling Their Time-Varying Dynamics. 21st Summer Working Group on Model-Based Clustering, Dublin, Irland, 20.07.-26.07.. (Details)
  Pittner, Stefan, Frühwirth-Schnatter, Sylvia. 2014. Individual Textile Shopping Data - Typical Temporal Patterns and Forecasting Through Model-Based Clustering. International Society for Bayesian Analysis World Meeting, Cancun, Mexiko, 14.07.-18.07.. (Details)

Textbook

2014 Hatzinger, Reinhold, Hornik, Kurt, Nagel, Herbert, Maier, Marco. 2014. R: Einführung durch angewandte Statistik. 2. Auflage. München: Pearson Studium. (Details)

Unpublished lecture

2018 Cuchiero, Christa. 2018. Rough affine covariance models. London Mathematical Finance Seminar Series, London, 08.11.18 (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Probability Seminar at Korteweg-de Vries Institute for Mathematics, Amsterdam, 25.06.18 (Details)
  Cuchiero, Christa. 2018. High and Infinite Dimensional Finance in the Light of Affine and Polynomial Processes. Probability and Computational Finance Seminars, Carengie Mellone University, Pittsburgh, 29.01.18 (Details)
2017 Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. de Finetti Risk Seminars, Università degli Studi di Milano, 21.12.17 (Details)
  Cuchiero, Christa. 2017. Markovian representations of stochastic Volterra equations. Bachelier Seminar, Paris, 08.12.17 (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. Seminari di Finanza Quantitativa, Pisa, 29.06.17 (Details)
  Cuchiero, Christa. 2017. Modelfree portfolio optimization in the long run. Mathematical and Computational Finance Seminar, University of Oxford, 09.03.17 (Details)
2016 Cuchiero, Christa. 2016. Cover's Universal Portfolio, Stochastic Portfolio Theory. Finance and Stochastics Seminar, Imperial College, 07.12.16 (Details)

Projects

  • No projects found.
  • Cuchiero, Christa (Details)
  • Hornik, Kurt (Details)
  • Pittner, Stefan (Former researcher)