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.