Frey, Rüdiger - Mathematisches Institut, Universität Leipzig

• Credit Risk and Incomplete Information: a Nonlinear-Filtering Approach
• VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
• Pricing and Hedging of Credit Derivatives via Nonlinear Rudiger Frey Thorsten Schmidt
• DART. Doctoral Program in Accounting, Reporting, and Taxation
• Derivative Asset Analysis in Models with LevelDependent and Stochastic Volatility
• Optimal Securitization of Credit Portfolios via Impulse Control
• MARKET VOLATILITY AND FEEDBACK EFFECTS FROM DYNAMIC HEDGING 1
• Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value Approach
• Leipzig, 13. Dez. 2010 Treibstoffpreissicherung bei
• Perfect Option Hedging for a Large Trader 1 Rudiger Frey 2
• Discussion Paper No. B306 A Systematic Approach to Pricing and Hedging of
• MARKET VOLATILITY AND FEEDBACK EFFECTS FROM DYNAMIC HEDGING1
• Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk
• Noname manuscript No. (will be inserted by the editor)
• Curriculum vitae Prof. Dr. Rdiger Frey
• short curriculum vitae of Professor Dr. Rdiger Frey
• European Commodity Clearing AG Die European Commodity Clearing AG (ECC) ist das bedeutendste kontinentaleuropische
• Fach-und Diplomandenseminar "Finanzmathematik" (Wintersemester 2010/2011)Datum Sprecher
• Quantitative Risk Management Rudiger Frey
• Datum Sprecher Mittwoch, 13.10.2010; 11:00 -13:00 Vorbesprechung und Vortragseinteilung Prof. Dr. Rdiger Frey
• Risk-Minimization with Incomplete Information in a Model for High-Frequency Data
• Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
• Financial Mathematics in Continuous Time Prof. Rudiger Frey, Universitat Leipzig
• Quantitative Risk Management Rudiger Frey
• Risk Management for Derivatives in Illiquid Markets: A Simulation-Study
• Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
• Filtering and Incomplete Information in Credit Risk Rudiger Frey1
• The Generalization of the Geske--Formula for Compound Options to Stochastic Interest Rates is not trivial --A Note
• Preface xiii 1 Risk in Perspective 1
• January 24, 2011 15:59 WSPC/INSTRUCTION FILE Frey-GabihWunderlich-rev
• Nonlinear Filtering in Models for Interest-Rate and Credit Risk
• Copyright by SIAM. Unauthorized reproduction of this article is prohibited. SIAM J. CONTROL OPTIM. c 2011 Society for Industrial and Applied Mathematics
• Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
• SIAM J. CONTROL OPTIM. c 2011 Society for Industrial and Applied Mathematics Vol. 49, No. 1, pp. 185204
• Kurzlebenslauf von Professor Dr. Rdiger Frey Rdiger Frey ist Professor fr Finanzmathematik
• Market Illiquidity as a Source of Model Risk in Dynamic Rudiger Frey
• Modelling Dependent Defaults Rudiger Frey
• Bounds on European Option Prices under Stochastic Volatility \Lambda
• An Approximation for Credit Portfolio Losses Rudiger Frey
• Fachseminar Sommersemester 2011 "Stochastische Dynamische Optimierung und Anwendung in der Finanzmathematik"
• Superreplication in Stochastic Volatility Models and Optimal Stopping \Lambda
• A Nonlinear Filtering Approach to Volatility Estimation with a View Towards High Frequency Data
• Kontaktdaten: Name: Prof. Dr. Rdiger Frey
• Copulas and credit models Rudiger Frey
• Vorlesungsskript Finanzmathematik I Thorsten Schmidt und Rudiger Frey1
• On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations