Faculty

Rüdiger Frey

Contact Details:

Email: ruediger.frey@wu.ac.at 
Personal Homepage

Professor at the Institute for Statistics and Mathematics

Research Interests:
Financial mathematics, Quantitative risk management, Stochastics, Financial economics

Selected Publications:

Book: McNeil, Alexander, Frey, Rüdiger, Embrechts, Paul. 2015. Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance. New Jersey: Princeton University Press.

Frey, Rüdiger, Rösler, Lars. 2014. Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps. International Journal of Theoretical and Applied Finance 17 (7): 1450044/1--29.

Herbertsson, Alexander, Frey, Rüdiger. 2014. Parameter Estimation in Credit Models Under Incomplete Information. Communications in Statistics. Theory and Methods 43 (7): 1409-1436.

Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2014. Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach. Communications in Stochastic Analysis 8 (1): 49-79.

Frey, Rüdiger, Schmidt, Thorsten, Xu, Ling. 2013. On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM Journal on Numerical Analysis (Society for Industrial and Applied Mathematics) 51 (4): 2036-2062.