2011
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Frey, R., Schmidt, T. and Xu, L. "On Galerkin Approximations for
the Zakai Equation with Diffusive and Point Process Observations" PDF
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Contributions to refereed journals
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1996
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Frey, R. and Sommer, D. "A
Systematic Approach to Pricing and Hedging of International Derivatives with
Interest Rate Risk", Applied Mathematical Finance 3, 295-317 (1996). PDF
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1996
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Frey, R. "Derivative Asset Analysis in Models with Level
Dependent and Stochastic Volatility", CWI Quaterly 10, no 1 (special issue on
the Mathematics of Finance) p 1-34. PS (372k)
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1997
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Frey, R. and
Stremme, A. "Market Volatility and Feedback Effects from Dynamic Hedging",
Mathematical Finance 7 (1997), p 351-374. PS (273k) PDF (297k)
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1998
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Frey, R. and
Sommer, D. "The Generalization of the Geske-Formula for Compound Options to
Stochastic Interest Rates is Not Trivial - a Note", Journal of Applied
Probability, June 1998. PS (203k) |
1998
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Frey, R.
"Perfect Option Replication for a Large Trader", Finance and Stochastics 2,
(1998), p 115-142. PS (465k) |
1999
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Frey, R. and
Sin, C.A. "Bounds on European Option Prices under Stochastic Volatility",
Mathematical Finance 9, (1999) p 97-116. PS (285k) |
1999
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Frey, R. and
Runggaldier, W. "Risk-minimizing hedging strategies under restricted
information: the case of stochastic volatility models observable only at
discrete random times", Mathematical Methods of Operations Research vol 50,
No 3 (1999) |
2000
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McNeil, A. and Frey, R. "Estimation of Tail-Related
Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value
Approach",
Journal of Empirical Finance 7, p 271-300, (2000). PS (564k) PDF (547k) |
2000
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Frey, R.
"Superreplication in Stochastic Volatility Models and Optimal Stopping",
Finance and Stochastics, vol 4 Nr 2, p 161-188 (2000). PS (394k) |
2000
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Frey, R.
"Risk-Minimization with Incomplete Information in a Model for High Frequency
Data", Mathematical Finance, vol 10, no 2 (2000). PS |
2001
|
Frey, R. and
Runggaldier, W. "Nonlinear Filtering Techniques for Volatility Estimation with
a View towards High Frequency Data", International Journal of Theoretical and
Applied Finance 4, p 271-300 (2001). PS (520k) |
2001
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Frey, R. and
McNeil, A., Nyfeler, M. "Copulas and credit models", RISK, p 111-114,
(October 2001). PDF (360k) |
2002
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Frey, R. and
McNeil, A,. "VaR and expected shortfall in portfolios of dependent credit
risks: Conceptual and practical insights", Journal of Banking & Finance,
vol 26, p 1317-1334 (2002). PDF (326k) |
2003
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Frey, R. and
McNeil, A,. "Dependent Defaults in Models of Portfolio Credit Risk",
Journal of Risk 6(1) 59--92 (2003). An earlier working paper version is
available online. PDF (320k) |
2007
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Eberlein, E. and Frey, R. and Kalkbrener, M. and Overbeck, L.
"Mathematics in Financial Risk Management" (in Jahresbericht der
DMV) working-paper version as PDF
(350k) |
2008
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Frey, R. and Popp, M. and Weber, S. "An
approximation for credit portfolio losses", The Journal of Credit Risk, vol
4, no1, p 3-20 (2008) PDF
(250k) |
2008
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Frey, R. and Backhaus, J. "Pricing and Hedging of Portfolio Credit Derivatives
with Interacting Default Intensities" International
Journal of Theoretical and Applied Finance, vol 11 (6), 611-634 (2008); PDF
|
2009
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Frey, R. and Schmidt, T. "Pricing Corporate Securities under
Noisy Asset Information", Mathematical Finance 19, pp.~403 - 421.PDF (490k) |
2010
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Frey, R. and
Backhaus, J. "Dynamic hedging of synthetic CDO-tranches with spread- and
contagion risk", in Journal of Economic Dynamics and Control 34, 710--724 PDF
(340k) |
| 2010 |
Frey, R. and Runggaldier, W.J. "Pricing Credit Derivatives under
Incomplete Information: a Nonlinear-Filtering Approach", Finance
and Stochastics, 14 (4) pp. 495 - 526 PDF |
2010
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Frey, R. and Seydel, R.
"Optimal Securitization of Credit Portfolios via Impulse
Control", Mathematics and Financial Economics, 4 (1), pp. 1-28 PDF |
| 2011 |
Frey, R. and Schmidt, T. "Pricing and Hedging of Credit
Derivatives via the Innovations Approach to Nonlinear Filtering" PDF
(309k), Finance and Stochastics (online first Feb 2011 DOI 10.1007/sd00780 - 011 - 0153 - 0)
|
2011
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Frey, R. and Polte, U.
"Nonlinear Black-Scholes Equations in Finance: Associated Control
Problems and Properties of Solutions" SIAM Journal of Control and Optimization, 49 (1) pp. 185 - 204 PDF |
2011
|
Frey, R., Gabih, Abdelali and Wunderlich, Ralf
"Portfolio Optimization under Partial Information with Expert Opinions", preprint, department of mathematics, Universität Leipzig, to appear in International
Journal of Theoretical and Applied Finance PDF |
top
2000
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Frey, R. "Market Iiquidity as a Source of Model Risk in
Dynamic Hedging in Model Risk", ed. by R. Gibson, RISK Publications, London
(2000) PS (230K) |
2001
|
Embrechts, P.
and Frey, R. and Furrer, H.J. "Stochastic Processes in Finance and
Insurance",
Handbook of Statistics, Volume 19 , p 365-412 (2001). Stochastic
Processes: Theory and Methods, Edited by D.N. Shanbhag and C.R. Rao (North Holland). PS (750k) |
2002
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Frey, R. and
Patie, P. "Risk Management for Derivatives in Illiquid Markets: A Simulation
Study", ed. by Sandmann, K. and Schönbucher in Advances in Finance and
Stochastics, Berlin (2002). PDF |
2011
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Frey, R. and Schmidt, T. "Filtering and Incomplete
Information in Credit Risk", Chapter
7 in Recent Advancements in the Theory and Practice of Credit
Derivativesk, Damiano Brigo, Tom Bielecki and Frederic Patras, ed.,
Wiley, New Jersey PDF
|
| 2011 |
Frey, R. and
Runggaldier, W.J. "Nonlinear Filtering in Models for Interest-Rate and Credit
Risk" Chapter 32 in "Handbook
of Nonlinear Filtering", D. Crisan, B. Rozovski, eds.,Oxford University Press
PDF |
1997
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Frey, R. and Michaud, P.
"The Effect of GARCH-type Volatilities on Prices and Payoff-Distributions of
Derivative Assets - a Simulation Study" , preprint, ETH Zürich. PDF |
2001
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Frey, R. and McNeil,
A. "Modelling Dependent Defaults", preprint, Universität and ETH Zürich.
PS , PDF |
2004
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Frey, R. and
Backhaus, J. "Portfolio Credit Risk Models with Interacting Default
Intensities: a Markovian Approach", preprint, department of mathematics,
Universität Leipzig. PDF
|
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