Rüdiger Frey

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Quantitative Risk Management: Concepts, Techniques and Tools : Concepts, Techniques and Tools

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

Superreplication in stochastic volatility models and optimal stopping

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

Dependent defaults in models of portfolio credit risk

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

Modelling dependent defaults

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

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

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

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

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

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

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

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

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

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..

Perfect option hedging for a large trader

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

Optimal Liquidation under Partial Information with Price Impact

Rüdiger Frey, Katia Colaneri, Zehra Eksi, 2016 .

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

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

Interacting Defaults and Counterparty Risk : a Markovian Approach

Rüdiger Frey, Jochen Backhaus, 2003 .

The Pricing and Hedging of Options in Finitely Elastic Markets

Rüdiger Frey, 1996 .

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.

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 .

Modelling Dependent Defaults: Asset Correlations Are Not Enough

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

Quantitative Risk Management: Concepts, Techniques and Tools Revised edition

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

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

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

Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach

Rüdiger Frey, Jochen Backhaus, 2004 .

Filtering and Incomplete Information in Credit Risk

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

Stochastic processes in insurance and finance

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

Diversification and Systemic Risk: A Financial Network Perspective

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

Market Volatility and Feedback Effects from Dynamic Hedging

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

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 2 Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Pierre Patie, Rüdiger Frey, R. Frey, 2002 .