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Current projects |
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2014 |
Frey, R. and Hledik, J. ``Correlation and Contagion as Sources of Systemic
Risk’’ PDF |
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2014 |
Frey, R. and Rösler, L. and Lu, D. "Corporate security prices
in structural credit risk models with incomplete information" PDF” |
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Contributions to refereed journals
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1996 |
Frey, R. and Sommer, D. "A
Systematic Approach to Pricing and Hedging of International Derivatives
with Interest Rate Risk", Applied Mathematical Finance 3, 295-317
(1996). PDF |
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1996 |
Frey, R. "Derivative Asset Analysis in Models with Level
Dependent and Stochastic Volatility", CWI Quaterly
10, no 1 (special issue on the Mathematics of Finance) p 1-34. PS (372k) |
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1997 |
Frey, R. and Stremme, A. "Market
Volatility and Feedback Effects from Dynamic Hedging",
Mathematical Finance 7 (1997), p 351-374. PS (273k) PDF (297k) |
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1998 |
Frey, R. and Sommer, D. "The
Generalization of the Geske-Formula for Compound
Options to Stochastic Interest Rates is Not Trivial - a Note",
Journal of Applied Probability, June 1998. PS (203k) |
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1998 |
Frey, R. "Perfect Option Replication for a Large
Trader", Finance and Stochastics 2,
(1998), p 115-142. PS (465k)
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1999 |
Frey, R. and Sin, C.A. "Bounds on European Option Prices
under Stochastic Volatility", Mathematical Finance 9, (1999) p
97-116. PS (285k)
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1999 |
Frey, R. and Runggaldier, W. "Risk-minimizing
hedging strategies under restricted information: the case of stochastic
volatility models observable only at discrete random times",
Mathematical Methods of Operations Research vol
50, No 3 (1999) |
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2000 |
McNeil, A. and Frey, R. "Estimation of Tail-Related Risk
Measures for Heteroscedastic Financial Time
Series: an Extreme Value Approach", Journal of Empirical Finance
7, p 271-300, (2000). PS (564k) PDF (547k) |
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2000 |
Frey, R. "Superreplication in
Stochastic Volatility Models and Optimal Stopping", Finance and Stochastics, vol 4 Nr 2, p
161-188 (2000). PS (394k) |
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2000 |
Frey, R. " Risk-Minimization
with Incomplete Information in a Model for High Frequency Data",
Mathematical Finance, vol 10, no 2 (2000). PS |
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2001 |
Frey, R. and Runggaldier, W. "Nonlinear
Filtering Techniques for Volatility Estimation with a View towards High
Frequency Data", International Journal of Theoretical and Applied
Finance 4, p 271-300 (2001). PS (520k) |
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2001 |
Frey, R. and McNeil, A., Nyfeler, M. "Copulas
and credit models", RISK, p 111-114, (October 2001). PDF (360k) |
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2002 |
Frey, R. and McNeil, A,. "
VaR and expected shortfall in
portfolios of dependent credit risks: Conceptual and practical
insights", Journal of Banking & Finance, vol
26, p 1317-1334 (2002). PDF (326k) |
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2003 |
Frey, R. and McNeil, A,. "Dependent
Defaults in Models of Portfolio Credit Risk", Journal of Risk 6(1)
59--92 (2003). An earlier working paper version is available online. PDF (320k) |
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2007 |
Eberlein, E. and
Frey, R. and Kalkbrener,
M. and Overbeck, L. "Mathematics
in Financial Risk Management" (in Jahresbericht
der DMV) working-paper version
as PDF (350k) |
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2008 |
Frey, R. and Popp, M. and Weber, S. "An approximation for
credit portfolio losses", The Journal of Credit Risk, vol 4, no1, p 3-20 (2008) PDF
(250k) |
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2008 |
Frey, R. and Backhaus, J. "Pricing and Hedging of Portfolio
Credit Derivatives with Interacting Default Intensities"
International Journal of Theoretical and Applied Finance, vol 11 (6), 611-634 (2008); PDF
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2009 |
Frey, R. and Schmidt, T. "Pricing Corporate Securities under
Noisy Asset Information", Mathematical Finance 19, pp.~403 - 421. PDF (490k) |
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2010 |
Frey, R. and Backhaus, J. "Dynamic hedging of synthetic
CDO-tranches with spread- and contagion risk", in Journal of
Economic Dynamics and Control 34, 710--724 PDF
(340k) |
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2010
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Frey, R. and Runggaldier, W.J. "Pricing
Credit Derivatives under Incomplete Information: a Nonlinear-Filtering
Approach", Finance and Stochastics, 14
(4) pp. 495 - 526 PDF
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2010 |
Frey, R. and Seydel, R. "Optimal Securitization of
Credit Portfolios via Impulse Control", Mathematics
and Financial Economics, 4 (1), pp. 1-28 PDF |
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2011
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Frey, R. and Schmidt, T. " Pricing
and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear
Filtering"? PDF (309k) , Finance
and Stochastics 16 (1), 105 -133. |
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2011 |
Frey, R. and Polte, U. "Nonlinear Black-Scholes
Equations in Finance: Associated Control Problems and Properties of
Solutions" SIAM Journal of Control and Optimization,
49 (1) pp. 185 - 204 PDF |
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2012
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Frey, R., Gabih, Abdelali
and Wunderlich, Ralf "Portfolio Optimization under
Partial Information with Expert Opinions", preprint, department of mathematics, Universität
Leipzig, in International
Journal of Theoretical and Applied Finance PDF |
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2013 |
Frey, R., Schmidt, T. and Xu,
L. "On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process
Observations" PDF
in Siam Journal of Numerical Analysis PDF |
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2014 |
Frey, R., Gabih,
Abdelali and Wunderlich,
Ralf "Portfolio
Optimization under Partial Information with Expert Opinions: a Dynamic
Programming Approach", Communications in Stochastic
Analysis, 8 (1), 49-79 PDF |
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2014 |
Frey, R. and Rösler, L.. "Contagion
effects and collateralized credit value adjustments for credit default
swaps PDF
, to appear in International Journal of
Theoretical and Applied Finance |
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Contributions to books |
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2000 |
Frey, R. " Market Iiquidity as a
Source of Model Risk in Dynamic Hedging in Model Risk", ed. by R.
Gibson, RISK Publications, London (2000) PS (230K) |
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2001 |
Embrechts, P. and Frey, R. and Furrer, H.J. "Stochastic Processes in Finance
and Insurance", Handbook of Statistics, Volume 19
, p 365-412 (2001). Stochastic Processes: Theory and Methods, Edited
by D.N. Shanbhag and C.R. Rao (North Holland). PS (750k) |
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2002 |
Frey, R. and Patie, P. "Risk
Management for Derivatives in Illiquid Markets: A Simulation Study",
ed. by Sandmann, K. and Schönbucher
in Advances in Finance and Stochastics, Berlin
(2002). PDF |
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2011 |
Frey, R. and Schmidt, T. "Filtering
and Incomplete Information in Credit Risk", Chapter 7
in Recent Advancements in the Theory and Practice of Credit Derivativesk, Damiano Brigo, Tom Bielecki and
Frederic Patras, ed., Wiley, New Jersey PDF |
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2011
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Frey, R. and Runggaldier, W.J. "Nonlinear
Filtering in Models for Interest-Rate and Credit Risk"? Chapter 32 in
"Handbook of Nonlinear Filtering", D. Crisan, B. Rozovski, eds.,Oxford University Press PDF |
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Older working papers |
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1997 |
Frey, R. and Michaud, P. "The Effect of GARCH-type
Volatilities on Prices and Payoff-Distributions of Derivative Assets - a
Simulation Study" , preprint, ETH Zürich. PDF |
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2001 |
Frey, R. and McNeil, A. "Modelling Dependent Defaults",
preprint, Universität and ETH Zürich. PS , PDF |
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2004 |
Frey, R. and Backhaus, J. "Portfolio Credit Risk Models with
Interacting Default Intensities: a Markovian
Approach", preprint, department of mathematics, Universität Leipzig. PDF
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