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Risk minimization with incomplete information in a model for high-frequency data

Frey, Rüdiger - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 215-225

Persistent link: https://www.econbiz.de/10002177564

Portfolio insurance and volatility

Frey, Rüdiger; Stremme, Alexander - 1994

Persistent link: https://www.econbiz.de/10000891385

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger - 1993

Persistent link: https://www.econbiz.de/10000873425

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger; Stremme, Alexander - 1993

Persistent link: https://www.econbiz.de/10000412479

An approximation for credit portfolio losses

Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20

Persistent link: https://www.econbiz.de/10003745393

Optimal securitization of credit portfolios via impulse control

Frey, Rüdiger; Seydel, Roland C. - In: Mathematics and financial economics 4 (2010) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10008807103

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

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

Optimal Securitization of Credit Portfolios via Impulse Control

Seydel, Roland C. - 2010

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line with reality we assume that there are non-negligible...

Persistent link: https://www.econbiz.de/10013135270