61 citations · 62 across the 3 of their papers we have counts for
8 papers
Risk measures under model uncertainty: a Bayesian viewpoint
Christa Cuchiero, Guido Gazzani, Irene Klein
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their…
Discrete-time signatures and randomness in reservoir computing
Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva +2
A new explanation of geometric nature of the reservoir computing phenomenon is presented. Reservoir computing is understood in the literature as the possibility of approximating in…
A generative adversarial network approach to calibration of local stochastic volatility models
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To ac…
Deep neural networks, generic universal interpolation, and controlled ODEs
Christa Cuchiero, Martin Larsson, Josef Teichmann
A recent paradigm views deep neural networks as discretizations of certain controlled ordinary differential equations, sometimes called neural ordinary differential equations. We m…
Markovian lifts of positive semidefinite affine Volterra type processes
Christa Cuchiero, Josef Teichmann
We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Felle…
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
Christa Cuchiero, Josef Teichmann
We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller proper…