Univ.-Prof. Dr. Dipl.-Ing. Christa Cuchiero

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Professorship for Quantitative Risk Management at the Faculty of Business Administration and Economics

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Curriculum Vitae:


born 1983 in Linz, Austria
2001-2006 Studied technical mathematics at the Vienna University of Technology, specializing in business and financial mathematics
2004-2005 Studied applied mathematics at the Ecole Centrale Paris
2006-2007 Risk analyst, Allianz France, Paris
2007-2011 Ph.D. in Mathematics, ETH Zurich, Dissertation: Affine and polynomial processes
2011-2013 Postdoc, ETH Zurich and University of Vienna, Faculty of Mathematics
2013-2014 University Assistant (Postdoc), Vienna University of Technology, Financial and Actuarial Mathematics
2014-2019 University Assistant (Postdoc), University of Vienna, Faculty of Mathematics
2018 Habilitation in Mathematics, University of Vienna
2019 Assistant Professor, Vienna University of Economics and Business, Institute of Statistics and Mathematics
2019 START Prize, "Universal structures in Mathematical Finance"
2020 Professor, Université de Paris (Diderot), Laboratoire de Probabilité, Statistique et Modélisation
since March 2020 Professor of Quantitative Risk Management at the Institute of Statistics and Operations Research at the University of Vienna

Research areas:

* Mathematical Finance and Quantitative Riskmanagement (data driven risk inference, stochastic volatility, stochastic portfolio theory, robust portfolio optimization, arbitrage theory, interest rate theory, systemic risk)
* Machine Learning in Finance, Insurance and Economics
* Stochastic processes in finite and infinite dimensions
* McKean Vlasov equations, interacting particle systems and mean field games
* Statistics of stochastic processes, statistics with high-frequency data, covariance estimation, robust model calibration
* Universal approximation theorems in dynamic situations