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Asset price volatility and option hedging in imperfectly elastic markets

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000936296

The pricing and hedging of options in finitely elastic markets

Frey, Rüdiger - 1996

Persistent link: https://www.econbiz.de/10000939781

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000946123

Bounds on European option prices under stochastic volatility

Frey, Rüdiger - 1997

Persistent link: https://www.econbiz.de/10000974834

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

Market volatility and feedback effects from dynamic hedging

Frey, Rüdiger - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 351-374

Persistent link: https://www.econbiz.de/10001232778

A systematic approach to pricing and hedging international derivatives with interest rate risk : analysis of international derivatives under stochastic interest rates

Frey, Rüdiger - In: Applied mathematical finance 3 (1996) 4, pp. 295-317

Persistent link: https://www.econbiz.de/10001217786

Portfolio insurance and volatility

Frey, Rüdiger; Stremme, Alexander - 1994

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

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

Diversification and systemic risk : a financial network perspective

Frey, Rüdiger; Hledik, Juraj - In: Risks : open access journal 6 (2018) 2, pp. 1-11

In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out a simulation study that determines the...

Persistent link: https://www.econbiz.de/10011867381