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Rüdiger Frey
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2020 – today
- 2022
- [j9]Rüdiger Frey
, Verena Köck:
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance. Comput. 10(11): 201 (2022) - [i2]Rüdiger Frey, Verena Köck:
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps. CoRR abs/2206.01597 (2022) - 2021
- [i1]Rüdiger Frey, Verena Köck:
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. CoRR abs/2109.11403 (2021) - 2020
- [j8]Claudia Ceci, Katia Colaneri
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM J. Financial Math. 11(3): 788-814 (2020)
2010 – 2019
- 2013
- [j7]Rüdiger Frey, Thorsten Schmidt
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM J. Numer. Anal. 51(4): 2036-2062 (2013) - 2012
- [j6]Rüdiger Frey, Thorsten Schmidt
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Finance Stochastics 16(1): 105-133 (2012) - 2011
- [j5]Rüdiger Frey, Ulrike Polte:
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. SIAM J. Control. Optim. 49(1): 185-204 (2011) - 2010
- [j4]Rüdiger Frey, Wolfgang J. Runggaldier:
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Finance Stochastics 14(4): 495-526 (2010)
2000 – 2009
- 2000
- [j3]Rüdiger Frey:
Superreplication in stochastic volatility models and optimal stopping. Finance Stochastics 4(2): 161-187 (2000)
1990 – 1999
- 1999
- [j2]Rüdiger Frey, Wolfgang J. Runggaldier:
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Math. Methods Oper. Res. 50(2): 339-350 (1999) - 1998
- [j1]Rüdiger Frey:
Perfect option hedging for a large trader. Finance Stochastics 2(2): 115-141 (1998)
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