Christoph Frei

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Traditional and digital currencies in over-the-counter markets Mathematics and Financial Economics	2023-09-20	Paper
A stochastic model for cancer metastasis: branching stochastic process with settlement Mathematical Medicine and Biology: A Journal of the IMA	2022-11-11	Paper
An explicit optimal strategy for flow trades at NASDAQ around its close	2019-06-11	Paper
Optimal execution in Hong Kong given a market-on-close benchmark Quantitative Finance	2018-11-14	Paper
The folk theorem with imperfect public information in continuous time Theoretical Economics	2018-09-11	Paper
Dynamic contracting: accidents lead to nonlinear contracts SIAM Journal on Financial Mathematics	2015-10-21	Paper
Optimal execution of a VWAP order: a stochastic control approach Mathematical Finance	2015-07-15	Paper
The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations Automatica	2015-04-28	Paper
Splitting multidimensional BSDEs and finding local equilibria Stochastic Processes and their Applications	2014-08-28	Paper
Convergence results for the indifference value based on the stability of BSDEs Stochastics	2014-04-25	Paper
Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations Stochastics and Dynamics	2013-05-28	Paper
A financial market with interacting investors: does an equilibrium exist? Mathematics and Financial Economics	2013-01-20	Paper
BSDEs in utility maximization with BMO market price of risk Stochastic Processes and their Applications	2012-06-19	Paper
Convexity bounds for BSDE solutions, with applications to indifference valuation Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2011-09-27	Paper
scientific article; zbMATH DE number 5666915 (Why is no real title available?)	2010-02-05	Paper
Exponential utility indifference valuation in two Brownian settings with stochastic correlation Advances in Applied Probability	2008-08-05	Paper

Research outcomes over time

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