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Derivative asset analysis in models with level-dependent and stochastic volatility
Frey, Rüdiger - 1997
Persistent link: https://www.econbiz.de/10000959999
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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Frey, Rüdiger; Backhaus, Jochen - In: Journal of economic dynamics & control 34 (2010) 4, pp. 710-724
Persistent link: https://www.econbiz.de/10003966525
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Risk management for derivatives in illiquid markets : a simulation study
Frey, Rüdiger; Patie, Pierre - In: Advances in finance and stochastics : essays in honour …, (pp. 137-159). 2002
Persistent link: https://www.econbiz.de/10001672230
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133
Persistent link: https://www.econbiz.de/10009423247