The following pages link to Rüdiger Frey (Q650764):
Displaying 35 items.
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- (Q948614) (redirect page) (← links)
- Mathematics in financial risk management (Q948616) (← links)
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581) (← links)
- Perfect option hedging for a large trader (Q1381307) (← links)
- Superreplication in stochastic volatility models and optimal stopping (Q1584194) (← links)
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times (Q1809502) (← links)
- Optimal securitization of credit portfolios via impulse control (Q1932538) (← links)
- Optimal liquidation under partial information with price impact (Q1986008) (← links)
- Markov-modulated affine processes (Q2080289) (← links)
- Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds (Q2665872) (← links)
- Risk Minimization with Incomplete Information in a Model for High-Frequency Data (Q2707144) (← links)
- Market Volatility and Feedback Effects from Dynamic Hedging (Q2707184) (← links)
- (Q2734969) (← links)
- Bounds on European Option Prices under Stochastic Volatility (Q2757296) (← links)
- On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations (Q2855097) (← links)
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS (Q2941060) (← links)
- Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions (Q2999826) (← links)
- (Q3015768) (← links)
- PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (Q3168859) (← links)
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION (Q3393978) (← links)
- (Q3504637) (← links)
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (Q3523569) (← links)
- The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note (Q4215695) (← links)
- (Q4221325) (← links)
- A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates (Q4541534) (← links)
- (Q4550916) (← links)
- Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk (Q5123455) (← links)
- (Q5253267) (← links)
- PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS (Q5389106) (← links)
- Parameter Estimation in Credit Models Under Incomplete Information (Q5419657) (← links)
- (Q5706744) (← links)
- Corporate security prices in structural credit risk models with incomplete information (Q5743118) (← links)
