Regular biography
Patrick Cheridito is a Professor in the Department of Mathematics at ETH Zurich. His research interests include areas related to financial mathematics and risk management. He is affiliated with the RiskLab Switzerland and is part of Group 3 within the department. His contact information can be found on the department's website, where additional details about his work and profile may be accessed.
Scholar-generated biography
Patrick Cheridito is a researcher at ETH Zurich, focusing on stochastic processes and financial mathematics. His work explores fractional Brownian motion, mixed fractional Brownian motion, and their applications in financial modeling. He investigates market price of risk specifications, arbitrage in fractional Brownian motion models, and dynamic monetary risk measures. Cheridito also contributes to the theory of backward stochastic differential equations, second-order equations, and risk measures on Orlicz hearts. His research includes deep learning methods for solving optimal stopping problems and pricing American-style options. Additionally, he examines systemic risk measurement and allocation, as well as measure changes for jump-diffusion processes.