Christa Cuchiero

Finance · 2009–2023

A researcher in the Science corpus: 5 papers; trusts 14 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 54 citations into it; #5,501 of 10,518 by trust here, #5,938 by citations
• Applied Mathematics — 15 citations into it
• Economics and Econometrics — 15 citations into it
• Demography — 8 citations into it
• Mathematical Physics — 8 citations into it
• Modeling and Simulation — 5 citations into it
• Molecular Biology — 5 citations into it; #7,598 of 17,773 by trust here, #16,150 by citations

Whom Christa Cuchiero trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jim Gatheral
2. Eduardo Abi Jaber
3. Thibault Jaisson
4. Mathieu Rosenbaum
5. Paul Glasserman
6. A. Sepp
7. Omar El Euch
8. Martin Larsson
9. Josef Teichmann
10. Claudio Pacati

Who trusts Christa Cuchiero overall

1. Eduardo Abi Jaber
2. Jim Gatheral
3. Guido Gazzani
4. Martin Larsson
5. Martin Keller‐Ressel
6. Janka Möller
7. Sergio Pulido

Papers from Christa Cuchiero's perspective

Ordered by how strongly the researchers Christa Cuchiero trusts endorse each paper. Same corpus, a different order for every researcher.

1. Volatility is rough
2. Limit theorems for nearly unstable Hawkes processes
3. The characteristic function of rough Heston models
4. Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
5. An Introduction To The Theory Of Point Processes
6. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
7. Affine Volterra processes (The Annals of Applied Probability)
8. Perfect hedging in rough Heston models (The Annals of Applied Probability)
9. Smiling twice: The Heston++ model (Journal of Banking & Finance)
10. A regime-switching Heston model for VIX and S&P 500 implied volatilities

Their papers

• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2018) — 82 citations
• Joint calibration to SPX and VIX options with signature‐based models (2023) — 47 citations
• A weak solution theory for stochastic Volterra equations of convolution type (2019) — 54 citations
• A new perspective on the fundamental theorem of asset pricing for large financial markets (2014) — 46 citations
• Affine Processes on Positive Semidefinite Matrices (2009) — 165 citations