Dr. sc. ETH Sara Papariello-Svaluto-Ferro, MSc ETH

POST DOC UNIVERSITY ASSISTANT

I am a Post Doc University Assistant within the group of Christa Cuchiero. I received my PhD at ETH Zürich.

 

 

WEBSITE

CURRICULUM VITAE

COURSES

PUBLICATIONS

ACTIVITIES

U:CRIS

 

Office hour:
upon request

RESEARCH INTERESTS

  • Stochastic analysis
  • Analysis of finite and infinite dimensional stochastic processes continuous and with jumps
  • with interesting analytical properties
  • Affine and polynomial processes
  • Processes taking values in different spaces of probability measures
  • Stochastic representations of PDEs
  • Infinite dimensional stochastic optimization
  • Stochastic systems of interacting particles
  • McKean-Vlasov equations
  • Markov processes and rough paths
  • Search for universal structures that allow the exploitation of known techniques in order to deduce information about generic stochastic processes, with particular interest in signature processes
  • Mathematical finance
  • Stochastic and rough volatility modeling
  • Large financial markets
  • Stochastic portfolio theory and systemic risk
  • Biological mathematics, in particular population genetics

PUBLICATIONS

  • Published
    • Innite dimensional polynomial processes (with C. Cuchiero). Finance and Stochastics, 25(2), 383–426, 2021.
    • Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces (with M. Larsson). Electronic Journal of Probability, 25(159), 2020.
    • Probability measure-valued polynomial diffusions (with C. Cuchiero, M. Larsson). Electronic Journal of Probability, 24(30), 1-32, 2019.
    • Polynomial jump-diffusions on the unit simplex (with C. Cuchiero, M. Larsson). Annals of Applied Probability, 28(4), 2451-2500, 2018.
  • Working Papers
    • An incomplete guide to market completeness (with C. Cuchiero, S. Rigger, W. Schachermayer).
      Working paper, 2021.
    • A polynomial (and affine) approach to Sig-Models (with C. Cuchiero, G. Gazzani).
      Working paper, 2021.
    • Controlled measure-valued martingales: a viscosity solution approach (with A. Cox, S. Källblad, M. Larsson).
      Working paper, 2021.
    • Signatures of Lévy-Process: from moments estimation to calibration through Lévy Sig-Models (with C. Cuchiero, F. Primavera).
      Working paper, 2021.
    • Universality of affine and polynomial processes (with C. Cuchiero, J. Teichmann).
      Working paper, 2021.
    • Propagation of minimality in the supercooled Stefan problem (with C. Cuchiero, S. Rigger).
      Working paper, 2020.

ACTIVITIES

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Universality of affine and polynomial processes

Sara Papariello-Svaluto-Ferro
Talks in Financial and Insurance Mathematics
Lecture series, colloquium, Talk or oral contribution
29.4.2021 - 29.4.2021

Universality of affine and polynomial processes

Sara Papariello-Svaluto-Ferro
Talk or oral contribution
.4.2021 - ..

Seminar on Machine Learning in Finance

Christa Cuchiero , Sara Papariello-Svaluto-Ferro
Seminar on Machine Learning in Finance
Seminar/Workshop, Organisation of ...
.3.2021 - .6.2021

Universality of affine and polynomial processes and application to processes on the unit interval

Sara Papariello-Svaluto-Ferro
Workshop on Representations of (jump-) diffusions
Seminar/Workshop, Talk or oral contribution
21.12.2020 - 21.12.2020

13th European Summer School in Financial Mathematics

Christa Cuchiero , Irene Klein , Mathias Pohl , Sara Papariello-Svaluto-Ferro , Lisa Carli , Mathias Beiglböck , Daniel Bartl , Rüdiger Frey , Zehra Eksi , Junjian Yang , Guido Gazzani , Stefan Rigger
13th European Summer School in Financial Mathematics
Summer/Winter school, Organisation of ...
31.8.2020 - 4.9.2020

Showing entries 1 - 5 out of 22

2016-2018: Group organizer, ETH Zurich, Organization of the following groups: