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Christa Cuchiero

Christa Cuchiero Ph.D.
Telephone:
+43 1 31336 6324
Email:
Contact information and photo taken from and editable at WU Directory.

CV

since 2019
Assistant Professor (tenure track), Vienna University of Economics and Business, Institute of Statistics and Mathematics
2018
Habilitation (venia docendi) in Mathematics, University of Vienna
2016-2017
Research visit, ETH Zürich, Departement of Mathematics, invited by the FIM (Forschungsinstitut für Mathematik)
2014-2019
Universitätsassistentin, University of Vienna, Faculty of Mathematics
2013-2014
Universitätsassistentin, Vienna University of Technology, Financial and Actuarial Mathematics.
2012-2013
Postdoc position, University of Vienna, Faculty of Mathematics
2011
Postdoc position, ETH Zürich, Department of Mathematics
2009-2011
Ph.D. position, ETH Zürich, Department of Mathematics
2007-2009
Ph.D. position, Vienna University of Technology, Financial and Actuarial Mathematics, START-prize project “Geometry of Stochastic Differential Equations”.
2007-2011
Ph.D. in Mathematics, ETH Zürich
2006-2007
Junior Risk Analyst, AGF France (Allianz Group), Paris, Risk Management
2005-2006
Internship at Allianz Elementar, ALM & Risk Controlling, Vienna
2004-2005
Applied Mathematics, Ecole Centrale Paris
2001-2006
M.Sc. in Technical Mathematics, Vienna University of Technology

Researcher Identifier

Awards and Honors

2017
Bruti-Liberati Visiting Fellowship in Sydney 2018
Prix de l’Institut Europlace de Finance (EIF): Best paper award in finance for the article “A General HJM Framework for Multiple Yield Curve Modeling” jointly written with Claudio Fontana and Alessandro Gnoatto
2012
Ph.D. thesis awarded with the ETH medal (granted to the best 8% of Ph.D. theses completed at ETH each year)
2002-2004
Scholarships for outstanding studies awarded by the TU Vienna

Classifications

Expertise

  • Mathematical Finance
  • Quantitative Risk Management
  • Stochastic Analysis

Activities

Membership in scientific association
  since 2011 Bachelier Finance Society
Editor of a scientific journal
  since 2018 Journal of Computational Finance - Associate Editor
  since 2017 Finance and Stochastics - Associate Editor
Organization scientific meeting (Conference etc.)
  2019 Quantitative Finance Workshop 2019, Zurich - Co-Organization
  2018 Workshop “Dynamic uncertainty modeling”, Strobl - Co-Organization
  2017 Mini-symposium “Affine and polynomial processes in Finance”, ICCF2017 Conference, Lisbon - Co-Organization
  2016 Workshop “Mathematical Finance beyond classical models”, Zürich - Co-Organization
  2016 Conference “Vienna Congress of Mathematical Finance”, Vienna - Co-Organization
  2015 Workshop “Mathematical Finance beyond classical models”, Zürich - Co-Organization
  since 2015 Several editions of the “Freiburg-Vienna-Zürich Seminar”, Research meeting between the Mathematical Finance groups of Freiburg, Vienna and Zürich - Co-Organization
  2015 Mini-symposium “Modeling in Finance beyond classical paradigms” , ICIAM Conference, Bejing - Co-Organization
  2014 2nd European Actuarial Journal (EAJ) Conference, Vienna - Co-Organization
  2013 6th European Summer School in Financial Mathematics, Vienna - Co-Organization
  2012 Organization of the Mini-symposium “Matrix valued processes and multivariate stochastic volatility modeling”, SIAM Conference, Minneapolis - Co-Organization
Supervisor dissertation
  since 2018 Stefan Rigger - Ph.D Supervision
  since 2018 Sara Svaluto-Ferro - Postdoc Supervision
  since 2018 Francesco Guida - Ph.D Co-Supervision with Luca di Persio
  since 2017 Tonio Möllmann - Ph.D Co-Supervision with Josef Teichmann
Mentoring
  2017 Financial Mathematics Team Challenge, Project with 4 students on “Calibration with neural networks”, University of Cape Town
  2016 Financial Mathematics Team Challenge, Project with 4 students on “Calibration of polynomial market weights models”, University of Cape Town
Other scientific activities
  None Stochastic Processes and their Applications - Referee
  None Statistics and Probability Letters - Referee
  None SIAM Journal on Financial Mathematics - Referee
  None Mathematical Finance - Referee
  None Finance and Stochastics - Referee
  None Electronic Journal of Probability - Referee
  None Annals of Applied Probability - Referee

Publications

Journal article

2019 Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro. 2019. Affine multiple yield curve models. Mathematical Finance. 29 (2), 568-611. (Details)
  Cuchiero, Christa, Larsson, Martin, Svaluto-Ferro, Sara. 2019. Probability measure-valued polynomial diffusions. Electronic Journal of Probability. (Details)
2018 Cuchiero, Christa, Schachermayer, Walter, Wong, Tim-Kam Leonard. 2018. Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Mathematical Finance. (Details)
  Cuchiero, Christa, Larsson, Martin, Svaluto-Ferro, Sara. 2018. Polynomial jump-diffusions on the unit simplex. Annals of Applied Probability. 28 (4), 2451-2500. (Details)
  Cuchiero, Christa. 2018. Polynomial processes in stochastic portfolio theory. Stochastic Processes and their Applications. (Details)
2016 Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro. 2016. A general HJM framework for multiple yield curve modelling. Finance and Stochastics. 20 (2), 267-320. (Details)
  Cuchiero, Christa, Klein, Irene, Teichmann, Josef. 2016. A new perspective on the fundamental theorem of asset pricing for large financial markets. Theory of Probability and Its Applications (Translation of Teorija Verojatnostei i ee Primenenija). 60 (4), 561-579. (Details)
  Cuchiero, Christa, Keller-Ressel, Martin, Mayerhofer, Eberhard, Teichmann, Josef. 2016. Affine Processes on Symmetric Cones. Journal of Theoretical Probability. 29 (2), 359-422. (Details)
2015 Cuchiero, Christa, Teichmann, Josef. 2015. A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. Finance and Stochastics. 19 (4), 743-761. (Details)
  Cuchiero, Christa, Teichmann, Josef. 2015. Fourier transform methods for pathwise covariance estimation in the presence of jumps. Stochastic Processes and their Applications. 125 (1), 116-160. (Details)
2013 Cuchiero, Christa, Teichmann, Josef. 2013. Path properties and regularity of affine processes on general state spaces. Séminaire de Probabilités XLV. 201-244. (Details)
2012 Cuchiero, Christa, Keller-Ressel, Martin, Teichmann, Josef. 2012. Polynomial processes and their applications to mathematical finance. Finance and Stochastics. 16 (4), 711-740. (Details)
2011 Cuchiero, Christa, Filipovic, Damir, Mayerhofer, Eberhard, Teichmann, Josef. 2011. Affine processes on positive semidefinite matrices. Annals of Applied Probability. 21 (2), 397-463. (Details)
2009 Cuchiero, Christa, Filipovic, Damir, Teichmann, Josef. Forthcoming. Affine Models. Encyclopedia of Quantitative Finance. (Details)

Paper presented at an academic conference or symposium

2017 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. ETH Risk Day 2017, Zurich, Switzerland, 15.09. Invited Talk (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: Polynomial processes in stochastic portfolio theory. School and workshop on dynamical models in Finance, Lausanne, Switzerland, 22.05.-24.05. Invited Talk (Details)

Working/discussion paper, preprint

2018 Cuchiero, Christa, Teichmann, Josef. 2018. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case . (Details)
2017 Cuchiero, Christa, Klein, Irene, Teichmann, Josef. 2017. A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting. (Details)

Habilitation

2018 Cuchiero, Christa. 2018. High Dimensional Finance beyond Classical Paradigms. Habilitationsschrift, University of Vienna. (Details)

Dissertation

2011 Cuchiero, Christa. 2011. Affine and plynomial processes. Dissertation, ETH Zürich. (Details)

Master thesis

2006 Cuchiero, Christa. 2006. Affine Interest Rate Models - Theory and Practice. Masterarbeit, Institut für Wirtschaftsmathematik, Technischen Universität Wien. (Details)

Projects

2018
Dynamic uncertainty modeling (2018-2021) (Details)
2017
Macroprudential bank regulation: a continuous time approach (2017-2021) (Details)