Publications and Preprints

Christa Cuchiero

  • Affine Processes on Positive Semidefinite Matrices (with Damir Filipovic, Eberhard Mayerhofer and Josef Teichmann), Preprint, submitted 2009 (pdf)
  • Polynomial Processes and their Applications to Mathematical Finance (with Martin Keller-Ressel and Josef Teichmann), Preprint, submitted 2009 (pdf)
  • Affine Models (with Damir Filipovic and Josef Teichmann), forthcoming in Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (pdf)
  • Affine Interest Rate Models-Theory and Practice (supervisor J. Teichmann), Master Thesis at the Vienna University of Technology (2006) (pdf)

Working papers

  • A generalization of matrix Riccati differential equations: existence and comparison results (with Eberhard Mayerhofer), submitted (2008) (pdf)