R. Frey

发表

Copulas and credit models

A. McNeil, R. Frey, Mark A. Nyfeler, 2001 .

Bounds on European Option Prices under Stochastic Volatility

R. Frey, C. Sin, 1999 .

ePubWU Institutional Repository

R. Frey, J. Hledik, 2019 .

Diversification and Systemic Risk: A Financial Network Perspective

Rüdiger Frey, Juraj Hledik, R. Frey, 2018 .

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

A. McNeil, R. Frey, 2000 .

Nonlinear Filtering in Models for Interest-Rate and Credit Risk

W. Runggaldier, R. Frey, 2008 .

Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility

R. Frey, 1997 .

VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

A. McNeil, R. Frey, 2002 .

Optimal securitization of credit portfolios via impulse control

R. Frey, R. Seydel, 2010 .

Optimal liquidation under partial information with price impact

R. Frey, Katia Colaneri, Zehra Eksi, 2016, 1606.05079.

Stochastic processes in insurance and finance

Paul Embrechts, Rüdiger Frey, P. Embrechts, 2001 .

EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies

R. Frey, Zehra Eksi, C. Damian, 2017 .

Corporate security prices in structural credit risk models with incomplete information

R. Frey, Dan Lu, Lars Rösler, 2019 .

Dynamics of Corporate Security Prices in Firm Value Models with Incomplete Information

R. Frey, Dan Lu, 2012 .

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

Rüdiger Frey, R. Frey, Jochen Backhaus, 2008 .

EM Algorithm for Markov Chains Observed Via Gaussian Noise and Point Process Information: Theory and Case Studies

R. Frey, Zehra Eksi, C. Damian, 2017 .

Parameter Estimation in Credit Models Under Incomplete Information

R. Frey, Alexander Herbertsson, 2014 .

Filtering and Incomplete Information in Credit Risk

Thorsten Schmidt, Tomasz R. Bielecki, Rüdiger Frey, 2012 .

Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps

R. Frey, Verena Köck, 2022, ArXiv.

PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS

R. Frey, R. Wunderlich, A. Gabih, 2012 .

Classical solutions of the Backward PIDE for a Marked Point Processes with characteristics modulated by a jump diffusion

R. Frey, Katia Colaneri, 2019 .

PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION

R. Frey, Thorsten Schmidt, 2009 .

Markov-modulated affine processes

R. Frey, Kevin Kurt, 2021, Stochastic Processes and their Applications.

A Nonlinear Filtering Approach To Volatility Estimation With A View Towards High Frequency Data

W. Runggaldier, R. Frey, 2001 .

Dynamic Hedging of Credit Derivatives with Spread- and Contagion Risk

R. Frey, 2007 .

Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance

R. Frey, Verena Köck, 2022, Comput..

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

R. Frey, Thorsten Schmidt, 2011, Finance and Stochastics.

Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times

Wolfgang J. Runggaldier, Rüdiger Frey, W. Runggaldier, 1999, Math. Methods Oper. Res..

A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

Rüdiger Frey, R. Frey, D. Sommer, 1996 .

Lecture Notes Continuous-Time Finance

R. Frey, 2014 .

Perfect option hedging for a large trader

Rüdiger Frey, R. Frey, 1998, Finance Stochastics.

Market Volatility and Feedback Effects from Dynamic Hedging

Rüdiger Frey, R. Frey, A. Stremme, 1997 .

Camilla Damian and Zehra Eksi-Altay and Rüdiger Frey EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies

R. Frey, Wu, Camilla Damian, 2019 .

Quantitative Risk Management: Concepts, Techniques and Tools Revised edition

Alexander J. McNeil, Paul Embrechts, Rüdiger Frey, 2015 .

Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk

Katia Colaneri, Claudia Ceci, Rüdiger Frey, 2019, SIAM J. Financial Math..

Superreplication in stochastic volatility models and optimal stopping

Rüdiger Frey, R. Frey, 2000, Finance Stochastics.

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach

Wolfgang J. Runggaldier, Rüdiger Frey, W. Runggaldier, 2010, Finance Stochastics.

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

Thorsten Schmidt, Rüdiger Frey, R. Frey, 2012, Finance Stochastics.

Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

R. Frey, Katia Colaneri, 2019, Insurance: Mathematics and Economics.

Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions

Rüdiger Frey, Ulrike Polte, R. Frey, 2011, SIAM J. Control. Optim..

On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations

Ling Xu, Thorsten Schmidt, Rüdiger Frey, 2013, SIAM J. Numer. Anal..

Detecting Rough Volatility: A Filtering Approach

R. Frey, Camilla Damian, 2023, 2302.12612.

Lecture Quantitative Risk Management

R. Frey, 2010 .

Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics pdf

Rüdiger Frey, Verena Köck, R. Frey, 2021, ArXiv.

How safe are european safe bonds? An analysis from the perspective of modern credit risk models

R. Frey, Kevin Kurt, Camilla Damian, 2020, 2001.11249.

Correlation and Contagion as Sources of Systemic Risk

R. Frey, J. Hledik, 2014 .

Dependent defaults in models of portfolio credit risk

Alexander J. McNeil, Rüdiger Frey, A. McNeil, 2003 .

The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note

Rüdiger Frey, R. Frey, D. Sommer, 1998, Journal of Applied Probability.

Modelling dependent defaults

Alexander J. McNeil, Rüdiger Frey, A. McNeil, 2001 .

A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data

R. Frey, Katia Colaneri, Camilla Damian, 2022, 2212.13443.

Affine Credit Risk Models under Incomplete Information

W. Runggaldier, R. Frey, Cecilia Prosdocimi, 2007 .

A ffi ne credit risk models under incomplete information

W. Runggaldier, R. Frey, Cecilia Prosdocimi, 2006 .