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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/10009400211
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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/10006626460
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PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
Frey, Rüdiger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 403-422
Persistent link: https://www.econbiz.de/10008270132
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Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang - In: Finance and stochastics 14 (2010) 4, pp. 495-527
Persistent link: https://www.econbiz.de/10008721029
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Indeterminacy and the elasticity of substitution in one-sector models
Frey, Rüdiger; Backhaus, Jochen - In: Journal of economic dynamics & control 34 (2010) 4, pp. 623-636
Persistent link: https://www.econbiz.de/10008398251
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-188
Persistent link: https://www.econbiz.de/10008217583
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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/10008218617
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Perfect option hedging for a large trader
Frey, Rüdiger - In: Finance and stochastics 2 (1998) 2, pp. 115-142
Persistent link: https://www.econbiz.de/10008218817
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Market Volatility and Feedback Effects from Dynamic Hedging
Frey, Rüdiger; Stremme, Alexander - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 351-374
Persistent link: https://www.econbiz.de/10008219658
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Cutting edge classic from October 2001. Credit risk - Copulas and credit models - Latent variable models of default are used extensively both in internal credit rating methodologie...
Frey, Rüdiger; McNeil, Alexander; Nyfeler, Mark - In: Risk : managing risk in the world's financial markets 49 (2012), pp. 90-94
Persistent link: https://www.econbiz.de/10010012863