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Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350
Persistent link: https://www.econbiz.de/10006626460
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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
Frey, Rüdiger; Mcneil, Alexander J. - In: Journal of banking & finance 26 (2002) 7, pp. 1317-1334
Persistent link: https://www.econbiz.de/10005889437
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-188
Persistent link: https://www.econbiz.de/10008217583
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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/10008218617
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Perfect option hedging for a large trader
Frey, Rüdiger - In: Finance and stochastics 2 (1998) 2, pp. 115-142
Persistent link: https://www.econbiz.de/10008218817
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Market Volatility and Feedback Effects from Dynamic Hedging
Frey, Rüdiger; Stremme, Alexander - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 351-374
Persistent link: https://www.econbiz.de/10008219658
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PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
Frey, Rüdiger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 403-422
Persistent link: https://www.econbiz.de/10008270132
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
Mcneil, Alexander J.; Frey, Rüdiger - In: Journal of empirical finance 7 (2000) 3, pp. 271-300
Persistent link: https://www.econbiz.de/10007241090
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An approximation for credit portfolio losses
Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10009932453
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2011) 1, pp. 105-134
Persistent link: https://www.econbiz.de/10009810441