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

Frey, Rüdiger - 1993

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

Asset price volatility and option hedging in imperfectly elastic markets

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000591799

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

Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect hedging strategies by a nonlinear version of...

Persistent link: https://www.econbiz.de/10005859384

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

Pricing corporate securities under noisy asset information

Frey, Rüdiger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 403-421

Persistent link: https://www.econbiz.de/10003882528

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

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

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