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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
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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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Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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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
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295
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Bounds on European option prices under stochastic volatility
Frey, Rüdiger; Sin, Carlos A. - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 97-116
Persistent link: https://www.econbiz.de/10001372177
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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
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VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
Frey, Rüdiger; McNeil, Alexander J. - In: Journal of banking & finance 26 (2002) 7, pp. 1317-1334
Persistent link: https://www.econbiz.de/10001688506
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A nonlinear filtering approach to volatility estimation with a view towards high frequency
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001578681