Rüdiger Frey

Available identifiers

zbMath Open frey.rudigerMaRDI QIDQ650764

List of research outcomes

Publication	Date of Publication	Type
Markov-modulated affine processes	2022-10-07	Paper
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps	2022-06-03	Paper
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds	2021-11-19	Paper
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics	2021-09-23	Paper
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk	2020-09-28	Paper
Optimal liquidation under partial information with price impact	2020-04-07	Paper
Corporate security prices in structural credit risk models with incomplete information	2019-05-08	Paper
EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies	2018-01-11	Paper
https://portal.mardi4nfdi.de/entity/Q5253267	2015-06-04	Paper
CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS	2015-01-21	Paper
Parameter Estimation in Credit Models Under Incomplete Information	2014-06-11	Paper
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations	2013-10-24	Paper
Optimal securitization of credit portfolios via impulse control	2013-01-20	Paper
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering	2012-11-15	Paper
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS	2012-04-24	Paper
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach	2011-11-27	Paper
https://portal.mardi4nfdi.de/entity/Q3015768	2011-07-13	Paper
Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions	2011-05-17	Paper
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES	2011-04-27	Paper
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion	2010-04-22	Paper
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION	2009-08-28	Paper
Mathematics in financial risk management	2008-10-17	Paper
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA	2008-09-03	Paper
https://portal.mardi4nfdi.de/entity/Q3504637	2008-06-11	Paper
Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions	2007-08-11	Paper
https://portal.mardi4nfdi.de/entity/Q5706744	2005-11-21	Paper
https://portal.mardi4nfdi.de/entity/Q4550916	2003-01-15	Paper
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times	2002-11-24	Paper
A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates	2002-09-04	Paper
https://portal.mardi4nfdi.de/entity/Q2734969	2002-02-03	Paper
Bounds on European Option Prices under Stochastic Volatility	2001-11-26	Paper
Risk Minimization with Incomplete Information in a Model for High-Frequency Data	2001-03-29	Paper
Market Volatility and Feedback Effects from Dynamic Hedging	2001-03-29	Paper
Superreplication in stochastic volatility models and optimal stopping	2000-11-01	Paper
https://portal.mardi4nfdi.de/entity/Q4221325	1999-01-03	Paper
The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note	1998-11-29	Paper
Perfect option hedging for a large trader	1998-03-17	Paper

Research outcomes over time

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