Rüdiger Frey - researchr alias

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Viewing Publication 1 - 9 from 9

2022

Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and FinanceRüdiger Frey, Verena Köck. computation, 10(11):201, 2022. [doi]

2020

Value Adjustments and Dynamic Hedging of Reinsurance Counterparty RiskClaudia Ceci, Katia Colaneri, Rüdiger Frey, Verena Köck. siamfm, 11(3):788-814, 2020. [doi]

2013

On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process ObservationsRüdiger Frey, Thorsten Schmidt, Ling Xu. siamnum, 51(4):2036-2062, 2013. [doi]

2012

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filteringRüdiger Frey, Thorsten Schmidt. fs, 16(1):105-133, 2012. [doi]

2011

Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of SolutionsRüdiger Frey, Ulrike Polte. siamco, 49(1):185-204, 2011. [doi]

2010

Pricing credit derivatives under incomplete information: a nonlinear-filtering approachRüdiger Frey, Wolfgang J. Runggaldier. fs, 14(4):495-526, 2010. [doi]

2000

Superreplication in stochastic volatility models and optimal stoppingRüdiger Frey. fs, 4(2):161-187, 2000. [doi]

1999

Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random timesRüdiger Frey, Wolfgang J. Runggaldier. mmor, 50(2):339-350, 1999. [doi]

1998

Perfect option hedging for a large traderRüdiger Frey. fs, 2(2):115-141, 1998. [doi]

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