Professor Dr. Rüdiger Frey

Member of Top Level Research Area

Research interests

• Financial mathematics
• Quantitative risk management
• Stochastics
• Financial economics

Links

• Before coming to Leipzig I was an assistant professor at the University of Zurich and postdoc at the financial mathematics group of the ETH Zurich. Visit the homepage of the financial mathematics group at the ETH Zurich the National Center of Competence in Research (NCCR) Financial Valuation and Risk Management at the University of Zurich.
• I am teaching workshops on various issues in Quantitative Risk Management (together with collegues from the ETH Zurich). See the home page of mathrisk.com for details.
• At present I am working on a book about Quantitative Risk Management .

Curriculum vitae

Current projects

• (Credit) Risk Management and Dependence Modelling
• (Credit Risk under incomplete information and nonlinear filtering
• Risk Management for Derivatives under Market Frictions

Publications

Publications you will find here.

Contact

Secretary:

Group

Postal Address:

Prof. Dr. Rüdiger Frey
Mathematisches Institut
Fakultät für Mathematik und Informatik
Universität Leipzig
04081 Leipzig

Address for Visitors:

Johannisgasse 26
04109 Leipzig