Rüdiger Frey

Research Interests
Financial mathematics, Quantitative risk management, Stochastics, Financial economics
Selected Publications
Book: McNeil, A., Frey, R., Embrechts, P., 2015, Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance, New Jersey: Princeton University Press.
Frey, R., Rösler, L., 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, A., Frey, R., 2014, Parameter Estimation in Credit Models Under Incomplete Information. Communications in Statistics, Theory and Methods 43(7), 1409-1436.
Frey, R., Gabih, A., Wunderlich, R., 2014, Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach, Communications in Stochastic Analysis 8(1), 49-79.
Frey, R., Schmidt, T., Xu, L., 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.