Patrick Cheridito

Affiliations: 
Applied and Computational Mathematics Princeton University, Princeton, NJ 
Area:
Mathematics, Applied Mathematics
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"Patrick Cheridito"

Children

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Mitja Stadje grad student 2009 Princeton
Jared Klyman grad student 2011 Princeton
Alexander Wugalter grad student 2011 Princeton
Kihun Nam grad student 2014 Princeton
Tardu S. Sepin grad student 2015 Princeton
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Publications

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Cheridito P, Stadje M. (2013) BSδEs and BSDEs with non-Lipschitz drivers: Comparison, convergence and robustness Bernoulli. 19: 1047-1085
Cheridito P, Wugalter A. (2012) Pricing and hedging in affine models with possibility of default Siam Journal On Financial Mathematics. 3: 328-350
Cheridito P, Stadje M. (2012) Existence, minimality and approximation of solutions to BSDEs with convex drivers Stochastic Processes and Their Applications. 122: 1540-1565
Cheridito P, Stadje M. (2009) Time-inconsistency of VaR and time-consistent alternatives Finance Research Letters. 6: 40-46
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