Rüdiger Frey
Univ.Prof. Dr.rer.pol. Rüdiger Frey- Telephone:
- +43 1 31336 4760
- Email:
- ruediger.frey@wu.ac.at
Affiliation
CV
-
since
2011
- Full professor for Mathematics and Finance, Vienna University of Economics and Business 2011
- Offer of a Full Professor position for "Stochastic Methods in Economics", TU Wien (declined) 2001-2011
- Full Professor (C4) for Financial Mathematics and Optimization, Universität Leipzig 2001
- Venia docendi for Finance, University of Zürich 1999-2001
- Assistant Professor for Quantitative Finance, Universität Zürich 1996-1999
- UBS Research Fellow in Financial Mathematics (postdoctoral position), Department of Mathematics, ETH Zürich 1996
- PhD in Financial Economics, University of Bonn 1994-1996
- Research Assistant, Faculty of Economics, Universität Bonn 1993-1994
- Doctoral education in Paris (DELTA, ENSAE, Paris VI) 1992
- Diploma in Mathematics, University of Bonn
Researcher Identifier
- ORCID: 0000-0002-8402-4653
Awards and Honors
- 2009-2011
- Member of the board of the Deutsche Gesellschaft für Versicherungs- und Finanzmathematik (DGVFM)
- 1996
- Annual price for the Best PhD dissertation at the Faculty of Law and Economics, University of Bonn (Preis des Präsidenten der italienischen Republik)
Classifications
- 1118 Probability theory (Details)
- 1137 Financial mathematics (Details)
- 5361 Financial management (Details)
Expertise
-
No expertises found.
Activities
| Position in jury, advisory board, curatorship | ||
|---|---|---|
| 2017 | Management Board des Bachelor's Program in Business and Economics, WU Wirtschaftsuniversität Wien - Member | |
| since 2011 | Prüfungsausschuss für die Ausbildung zum certified enterprise risk actuary (CERA) der Deutschen Aktuarvereinigung | |
| Position in internal committee for appointments | ||
| 2016 | Berufungskommission: Mathematics for Economics and Business, Institut für Statistik und Mathematik, WU Wirtschaftsuniversität Wien - Leader | |
| Position in internal habilitation committee | ||
| 2017 | Habilitationskommission Dr. Zehra Eksi-Altay, Institut für Statistik und Mathematik, WU Wien - Leader | |
| 2015 | Habilitationskommission Dr. Birgit Rudloff, Institut für Statistik und Mathematik, WU Wien - Leiter | |
| Reviewer for scientific organization | ||
| 2016 | Tenure Verfahren, Cornell University, Ithaca, New York - Referee | |
| 2016 | Promotion to Reader, City University London - Referee | |
| since 2011 | Deutsche Forschungsgemeinschaft (DFG) - Referee Proposals/Reports | |
| Editor of a scientific journal | ||
| since 2009 | Mathematical Finance - Associate Editor | |
| 2007-2009 | Encyclopedia of Quantitative Finance - Section Editor | |
| Reviewer for a scientific journal | ||
| 2016 | Journal of Economic Dynamics and Control | |
| since 2011 | Statistics & Risk Modelling | |
| 2011 | Referee for Stochastic Processes and Applications, Siam Journal of Control and Optimization - Referee | |
| since 2011 | Mathematical Methods of Operations Research | |
| since 2011 | Mathematical Finance | |
| Invitation to Research Seminar | ||
| 2018 | School of Mathematics, University of Leeds, UK, 01.11. - Probability and Financial Mathematics seminar series, Talk "Dynamic Hedging of Reinsurance Counterparty Credit Risk" | |
| 2016 | Mathematisches Kolloquium, Universität Freiburg, Freiburg, Deutschland, 09.06. - Talk “Shall I sell or shall I wait: optimal liquidation under partial information with market impact” | |
| Organization scientific meeting (Conference etc.) | ||
| 2019 | VCMF 2019 - Vienna Congress on Mathematical Finance, 09.-13.09.2019, WU Wirtschaftsuniversität Wien (& TU Wien, Universität Wien, Wolfgang Pauli Institute Vienna) - Leader Organizing and Scientific Committee | |
| 2016 | VCMF 2016 - Vienna Congress on Mathematical Finance, 12.-16.09.2016, WU Wirtschaftsuniversität Wien (& TU Wien, Universität Wien) - Leader Organizing and Scientific Committee | |
| 2015 | Quantitative Risk Management Workshop and Book Launch, 10.6.2015, WU Wien - Organizer | |
| 2013 | Stochastics, Economics, and Architecture, Opening Conference of the Institute for Statistics and Mathematics on the New WU Campus, November 22, 2013, WU Wirtschaftsuniversität Wien - Member of the Scientific Committee | |
| 2013 | Conference on Current Topics in Mathematical Finance, April 18-19, 2013, WU Wirtschaftsuniversität Wien - Conference Chair | |
| Position in administration | ||
| since 2020 | Doktorats- und PhD-Programme, Wirtschaftsuniversität Wien - Program Director | |
| 2017 | WU Wien - Member of the academic board of the Bachelor in Business and Economics | |
| since 2016 | Senat, Wirtschaftsuniversität Wien - Member | |
| since 2016 | Department of Finance, Accounting and Statistics, Wirtschaftsuniversität Wien - Deputy Department Chair | |
| 2015 | Auswahlkommission für die postdoc Stelle mit Qualifizierungsvereinbarung "Optimierung und Stochastik" - Leader | |
| Supervisor dissertation | ||
| 2018 | Dissertation "Network Models and Systemic Risk" von Juraj Hledik, WU Wien - Supervisor | |
| 2015 | Dissertation "Valuation Algorithms for Structural Models of Financial Networks" von Johannes Hain, WU Wien - Supervisor | |
| 2015 | Dissertation "Stochastic Filtering in Pricing and Credit Risk Management" von Lars Rösler, WU Wien - Supervisor | |
| 2011 | Dissertation Dr. Ling Xu: "On Galerkin approximations for the Zakai equation with diffusive and point process observations" - Supervisor | |
| 2010 | Dissertation Dr. Roland Seydel: "Impulse Control for Jump Di usions: Viscosity Solutions, Quasi-Variational Inequalities and Applications in Bank Risk Management" - Supervisor | |
| 2008 | Dissertation Dr. Monika Popp: "Simulation Techniques for Credit and Operational Risk Management" - Supervisor | |
| 2008 | Dissertation Dr. Jochen Backhaus: "Pricing and Hedging of Credit Derivatives in Models with Interacting Default Intensities: A Markovian Approach" - Supervisor | |
| 2007 | Dissertation Dr. Ulrike Polte: "On hedging and pricing of derivatives in illiquid markets: A PDE approach" - Supervisor | |
| Other scientific activities | ||
| 2019 | Weiterbildungsseminar "CERA, Module A: Foundations and Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 18.02.-21.02.2019, Barcelona. - Seminarleiter, Dozent | |
| 2017 | Weiterbildungsseminar "CERA, Module A: Foundations and Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 27.02.-02.03.2017, Wien. - Seminarleiter, Dozent | |
| 2017 | Panel Discussion "Ultra-low interest rates in insurance business", at conference IME 2017, July 3, 2017, TU Wien, Vienna. - Panelist | |
| 2016 | Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 02.-04.03.2016. CERA, Zagreb, Kroatien. - Seminarleiter, Dozent | |
| 2015 | Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 04.-06.03.2015. CERA, Köln, Deutschland. - Seminarleiter, Dozent | |
| 2014 | Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 12.-14.03.2014. CERA, Berlin, Deutschland. - Seminarleiter, Dozent | |
| 2014 | Dissertation "Hedging in Nonlinear Models of Illiquid Financial Markets" von Nadim Sah, TU Berlin - External Referee | |
| 2014 | Dissertation "A General Approach to Credit Risk Modelling" von Frank Gehmlich, TU Chemnitz - External Referee | |
| 2013 | Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 23.-25.09.2013. CERA, Köln, Deutschland. - Seminarleiter, Dozent | |
Publications
Book (monograph)
| 2020 |
Hofert, Marius, Frey, Rüdiger, McNeil, Alexander J. 2020. The Quantitative Risk Management Exercise Book. Princeton: Princeton University Press.
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(Details) | |
| 2015 | McNeil, Alexander, Frey, Rüdiger, Embrechts, Paul. 2015. Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance. New Jersey: Princeton University Press. | (Details) | |
| 2005 | McNeil, Alexander, Frey, Rüdiger, Embrechts, Paul. 2005. Quantitative Risk Management: Concepts, Techniques, and Tools in Princeton Series in Finance. New Jersey: Princton Univ. Press. | (Details) |
Journal article
| 2020 | Frey, Rüdiger, Kurt, Kevin, Damian, Camilla. 2020. How safe are european safe bonds? An analysis from the perspective of modern credit risk models. Journal of Banking and Finance. 119 | (Details) | |
| Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2020. Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications. 130 (4), 1913-1946. | (Details) | ||
| Ceci, Claudia, Colaneri, Katia, Frey, Rüdiger, Köck, Verena. 2020. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM Journal on Financial Mathematics. 11 (3), 788-814. | (Details) | ||
| 2019 |
Frey, Rüdiger, Rösler, Lars, Lu, Dan. 2019. Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance. 29 84-116.
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(Details) | |
| 2018 |
Frey, Rüdiger, Hledik, Juraj. 2018. Diversification and Systemic Risk: A Financial Network Perspective. Risks. 6 (2), 54
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(Details) | |
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Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2018. EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics and Risk Modeling. 35 (1-2), 51-72.
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(Details) | ||
| 2014 | Herbertsson, Alexander, Frey, Rüdiger. 2014. Parameter Estimation in Credit Models Under Incomplete Information. Communications in Statistics. Theory and Methods 43 (7): 1409-1436. | (Details) | |
| Frey, Rüdiger, Rösler, Lars. 2014. Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps. International Journal of Theoretical and Applied Finance 17 (7), | (Details) | ||
| Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2014. Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach. Communications in Stochastic Analysis 8 (1): 49-79. | (Details) | ||
| 2013 | Frey, Rüdiger, Schmidt, Thorsten, Xu, Ling. 2013. On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM Journal on Numerical Analysis (Society for Industrial and Applied Mathematics) 51 (4): 2036-2062. | (Details) | |
| 2012 |
Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2012. Portfolio optimization under partial information with expert opinions. International Journal of Theoretical and Applied Finance 15 (1): 1250009-1-18.
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(Details) | |
| Frey, Rüdiger, Schmidt, Thorsten. 2012. Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Finance and Stochastics 16 (1): 105-133. | (Details) | ||
| 2011 | Frey, Rüdiger, Polte, Ulrike. 2011. Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. SIAM Journal on Control and Optimization (Society for Industrial and Applied Mathematics) 49 (1): 185-204. | (Details) | |
| 2010 | Frey, Rüdiger, Backhaus, Jochen. 2010. Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion. Journal of Economic Dynamics and Control 34 710-724. | (Details) | |
| Frey, Rüdiger, Seydel, Roland. 2010. Optimal Securitization of Credit Portfolios via Impulse Control. Mathematics and Financial Economics 4 (1): 1-28. | (Details) | ||
| Frey, Rüdiger, Runggaldier, Wolfgang. 2010. Pricing Credit Derivatives under Incomplete Information: a Nonlinear-Filtering Approach. Finance and Stochastics 14 (4): 495-526. | (Details) | ||
| 2009 | Frey, Rüdiger, Schmidt, Thorsten. 2009. Pricing corporate securities with noisy asset information. Mathematical Finance 19 403-421. | (Details) | |
| 2008 | Frey, Rüdiger, Popp, Monika, Weber, Stefan . 2008. An Approximation for credit portfolio losses. The Journal of Credit Risk 4 (1): 3-20. | (Details) | |
| Frey, Rüdiger, Backhaus, Jochen. 2008. Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities. International Journal of Theoretical and Applied Finance 11 (6): 611-634. | (Details) | ||
| 2007 | Frey, Rüdiger, Eberlein, E, Kalkbrener, M, Overbeck, L. 2007. Mathematics in Financial Risk Management. Jahresbericht der DMV 109 156-161. | (Details) | |
| 2003 | Frey, Rüdiger, McNeil, Alexander. 2003. Dependent defaults in models of portfolio credit risk. Journal of Risk 6 (1): 59-92. | (Details) | |
| 2002 | Frey, Rüdiger, McNeil, Alexander. 2002. VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights. Journal of Banking and Finance 26 1317-1334. | (Details) | |
| 2001 | Frey, Rüdiger, McNeil, Alexander, Nyfeler, M. 2001. Copulas and Credit Risk. Risk ---. | (Details) | |
| Frey, Rüdiger, Runggaldier, Wolfgang. 2001. A nonlinear filtering approach to volatility estimation with a view towards high frequency data. International Journal of Theoretical and Applied Finance, 4, 1-12. | (Details) | ||
| 2000 | Frey, Rüdiger. 2000. Risk-Minimization with incomplete information in a model for high frequency data. Mathematical Finance (10): 215-226. | (Details) | |
| Frey, Rüdiger. 2000. Superreplication in Stochastic Volatility Models and Optimal Stopping. Finance and Stochastics (4): 161-188. | (Details) | ||
| McNeil, Alexander, Frey, Rüdiger. 2000. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of Empirical Finance, 7, (3-4), 271-300. | (Details) | ||
| 1999 | Frey, Rüdiger, Sin, Carlos. 1999. Bound on European Option Prices under Stochastic Volatility. Mathematical Finance 9 97-116. | (Details) | |
| Frey, Rüdiger, Runggaldier, W. 1999. Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times. Mathematical Methods of Operations Reserarch (formerly: Zeitschrift für Operations Research (ZOR)) (50): 339-350. | (Details) | ||
| 1998 | Frey, Rüdiger, Sommer, Daniel. 1998. "The generalization of the Geske-formula for compound options to stochastic interest rate is not trivial - a note". Journal of Applied Probability 35 501-509. | (Details) | |
| Frey, Rüdiger. 1998. Perfect Option Hedging for a Large Trader. Finance and Stochastics, 2, (2), 115-141. | (Details) | ||
| 1997 | Frey, Rüdiger. 1997. Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility. CWI Quarterly 10 1-34. | (Details) | |
| Frey, Rüdiger, Stremme, Alexander. 1997. Market Volatility and Feedback Effects from Dynamic Hedging. Mathematical Finance 7 (4): 351-374. | (Details) | ||
| 1996 | Frey, Rüdiger, Sommer, Daniel. 1996. A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk. Applied Mathematical Finance 3 295-317. | (Details) |
Chapter in edited volume
| 2011 | Frey, Rüdiger, Schmidt, T. 2011. Filtering and Incomplete Information in Credit Risk. In: Recent Advancements in the Theory and Practice of Credit Derivatives, Hrsg. D. Brigo, T. Bielecki, F. Patras, ---. New Jersey: Wiley. | (Details) | |
| Frey, Rüdiger, Runggaldier, W. 2011. Nonlinear Filtering in Models for Interest-Rate and Credit Risk. In: Handbook of Nonlinear Filtering, Hrsg. D.Crisan, B. Rozovski, 923-959. New York: Oxford Univ. Press. | (Details) | ||
| 2009 | Frey, Rüdiger, Bordag, Ljudmila. 2009. Pricing options in illiquid markets: symmetry reductions and exact solutions. In: Nonlinear Models in Mathematical Finance New Research Trends in Option Pricing, Hrsg. Matthias Ehrhardt, 103-129. New York: Nova Science Publishers. | (Details) | |
| 2008 | Frey, Rüdiger, Eberlein, E, von Hammerstein, E.A. 2008. Advanced ccredit portfolio modelling and CDO pricing. In: Mathematics - Key technology for the Future, Hrsg. W. Jäger, H.J. Krebs, 253-280. Berlin: Springer Verlag. | (Details) | |
| 2007 | Frey, Rüdiger, Prosdocimi, Cecilia, Runggaldier, Wolfgang. 2007. Affine credit risk models under incomplete information. In: Stochastic Processes and applications to mathematical finance, Hrsg. Jiro Akahori, Shigeyoshi Ogawa & Shinzo Watanabe, 97-113. Japan: World Scientific. | (Details) | |
| 2003 | Frey, Rüdiger. 2003. A Mean-Field Model for Interacting Defualts and Counterparty Risk. In: Bulletin of the International Statistical Institute, Hrsg. International Statistical Institute, ---. Berlin: -. | (Details) | |
| 2002 | Frey, Rüdiger, Patie, Pierre. 2002. Risk Management for Derivatives in Illiquid Markets: A Simulation Study. In: Advances in Finance and Stochastics, Hrsg. Sandmann, Klaus; Schönbucher, Philip J. (Eds.), 137-160. Berlin: Springer. | (Details) | |
| 2001 | Frey, Rüdiger, Embrechts, P, Furrer, H. 2001. Stochastic Processes in Insurance and Finance. In: Handbook of Statistics. Vol 19, Hrsg. D. Shanbag, C.R. Rao,, 365-412. North Holland: Elsevier. | (Details) | |
| 2000 | Frey, Rüdiger. 2000. Market Illiquidities as a Source of Model Risk in Dynamic Hedging. In: Model Risk, Hrsg. Rajna Gibson, 125-138. London: Risk Publications. | (Details) |
Paper presented at an academic conference or symposium
| 2020 | Kurt, Kevin, Frey, Rüdiger. 2020. Markov-modulated Affine Processes. Vienna Seminar in Mathematical Finance and Probability, Vienna, Austria, 15.10. | (Details) | |
| Kurt, Kevin, Frey, Rüdiger. 2020. Markov-modulated Affine Processes. 13th European Summer School in Financial Mathematics, Vienna, Austria, 31.08.-04.09. | (Details) | ||
| 2019 | Frey, Rüdiger, Kurt, Kevin, Damian, Camilla. 2019. Conditionally affine processes with Markov modulated mean reversion and applications in credit risk. QMF 2019 - Quantitative Methods in Finance 2019 Conference, University of Technology, Sydney, Australien, 17.12.-20.12. Invited Talk | (Details) | |
| Frey, Rüdiger. 2019. Dynamic hedging of reinsurance counterparty risk and classical solutions of IPDEs. 12th International Workshop on Stochastic Models and Control, Cottbus, Deutschland, 19.03.-22-03. Invited Talk | (Details) | ||
| Damian, Camilla, Frey, Rüdiger, Kurt, Kevin. 2019. EM Algorithm for a CIR Process with Markov-modulated Mean Reversion Level and Application to Eurozone Credit Spreads. VCMF-2019, Vienna, Austria, 09.09-11.09. | (Details) | ||
| Kurt, Kevin, Frey, Rüdiger, Damian, Camilla. 2019. Sovereign Bond backed Securities as a new safe Asset for the Eurozone: a dynamic Credit Risk Perspective. Vienna Congress on Mathematical Finance, Vienna, Austria, 09.09.-11.09. | (Details) | ||
| Kurt, Kevin, Frey, Rüdiger, Damian, Camilla. 2019. Sovereign-Bond Backed Securities as a New Safe Asset for the Eurozone: A Dynamic Credit Risk Perspective. SIAM Conference on Financial Mathematics & Engineering, Toronto, Canada, 04.06.-07.06. | (Details) | ||
| Frey, Rüdiger, Köck, Verena. 2019. Value adjustments and dynamic hedging of reinsurance counterparty risk. UNSW-Macquarie University workshop “Risk: Modelling, Optimisation and Inference" Sydney, Australien, 12.12.-13.12. Invited Talk | (Details) | ||
| 2018 | Damian, Camilla, Kurt, Kevin, Frey, Rüdiger. 2018. Hidden Markov Model for the Contagion between Eurozone Spreads. 13th German Probability and Statistics Days 2018, Freiburg, Germany, 27.02-02.03. | (Details) | |
| Frey, Rüdiger. 2018. Optimal liquidation under partial information with price impact. A Symposium on Optimal Stopping, Rice University, Houston, Texas, United States/USA, 25.06.-29.06. Invited Talk | (Details) | ||
| Frey, Rüdiger. 2018. Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective. 10th World Congress of the Bachelier Finance Society, Dublin, Irland, 16.07.-20.07. | (Details) | ||
| 2017 | Frey, Rüdiger. 2017. EM Algorithm for Diffusion and Point Process Information: Theory, Numerical Experiments and Applications to Credit Risk. Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL Lausanne, Switzerland, 29.05.-02.06. Invited Talk | (Details) | |
| Eksi-Altay, Zehra, Damian, Camilla, Frey, Rüdiger. 2017. EM Algorithm For Markov Chain Observed via Gaussian Noise and Point Processes Information. VIECO 2017 - Vienna-Copenhagen Conference on Financial Econometrics, Vienna, Austria, 09.03-11.03. | (Details) | ||
| Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES), Cagliari, Italy, 14.09-16.09. | (Details) | ||
| Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed via Gaussian Noise and Point Process Information: Theory and Numerical Experiments. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Vienna, Austria, 03.07-05.07. | (Details) | ||
| Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and numerical experiments. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. | (Details) | ||
| Frey, Rüdiger. 2017. Optimal Liquidation under partial information with price impact. 3rd Berlin-Princeton-Singapore workshop on Quantitative Finance. (Keynote lecture), Humboldt University, Berlin, Deutschland, 19.04.-22.04. Invited Talk | (Details) | ||
| Frey, Rüdiger. 2017. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Credit Risk. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, TU Wien, Vienna, Österreich, 03.07.-05.07. | (Details) | ||
| 2016 | Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-based discrete-time EM algorithm with diffusion and point process observation. CFE-2016, Seville, Spain, 9.12-11.12. | (Details) | |
| Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. World Congress, Bachelier Finance Society, New York, Vereinigte Staaten/USA, 17.07. | (Details) | ||
| Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. Nachwuchstagung der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik, Schloss Reisensburg, Günzburg, Deutschland, 23.09. Invited Talk | (Details) | ||
| 2015 | Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. ETH Risk Day 2015, Zürich, Schweiz, 11.09. | (Details) | |
| Frey, Rüdiger. 2015. Correlation and Contagion as Sources of Systemic Risk. 22nd Annual Meeting of the German Finance Association (DGF), University of Leipzig, Leipzig, Deutschland, 25.09.-26.09. | (Details) | ||
| 2014 | Frey, Rüdiger. 2014. Corporate Security Prices in Structural Credit Risk Models with Incomplete Information. Workshop on Information Modelling and Filtering in Finance and Insurance, Institut Henri Poincaré, Paris, Frankreich, 03.10. Invited Talk | (Details) | |
| Frey, Rüdiger. 2014. Corporate Security Prices in Structural Credit Risk Models with Incomplete Information. Workshop Recent advances in mathematical finance, Padova, Italien, 22.09. Invited Talk | (Details) | ||
| Frey, Rüdiger. 2014. Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles. Lisbon Finance Seminars, Lissabon, Portugal, 09.05.2014. Invited Talk | (Details) | ||
| Frey, Rüdiger. 2014. Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps. Conference on Mathematics in Finance 2014, Skukuza, Kruger National Park, South Africa, 24.08.-29.08. Invited Talk | (Details) | ||
| 2013 | Frey, Rüdiger. 2013. Portfolio optimization under partial information with expert opinions: a dynamic programming approach. Nomura Seminar on Mathematical Finance, University of Oxford, Großbritannien, 15.11. Invited Talk | (Details) | |
| Frey, Rüdiger. 2013. Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles. The Quantitative Methods in Finance 2013 Conference, Sydney, Australien, 17.12.-20.12. Invited Talk | (Details) | ||
| 2012 | Frey, Rüdiger. 2012. Dynamics of Corporate Security Prices and Option Pricing in Firm Value Models with Incomplete Information. Keynote Lecture. 4th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, Deutschland, 11.10.-13.10. | (Details) | |
| Frey, Rüdiger. 2012. Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. Conference on Liquidity and Credit Risk, Universität Freiburg, Freiburg, Deutschland, 15.3. Invited Talk | (Details) | ||
| Frey, Rüdiger. 2012. Dynamics of Corporate Security Prices and Option Pricing in Firm Value Models with Incomplete Information. Actuarial and Financial Mathematics Conference 2012, Brussels, Belgien, 09.02-10.02. | (Details) | ||
| 2011 | Frey, Rüdiger. 2011. Pricing and hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Workshop on incomplete information and filtering mathematical finance, Chemnitz, Deutschland, Juni. | (Details) | |
| 2010 | Frey, Rüdiger. 2010. Credit Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. China-Germany conference on Mathematics in Industry, Beijing, China, März. | (Details) | |
| Frey, Rüdiger. 2010. Invited speaker. Workshop on Risk Management for Derivatives, Toronto, Kanada, Mai. | (Details) | ||
| Frey, Rüdiger. 2010. Optimal Securitization of Credit Portfolios via Impulse Control. World Congress of the, Toronto, Kanada, Juni. | (Details) | ||
| 2009 | Frey, Rüdiger. 2009. Credit Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Recent Advancements in the Theory and Practice, Nice, Frankreich, 0909. | (Details) | |
| 2008 | Frey, Rüdiger. 2008. Constructing credit risk models via nonlinear filtering. Second Princeton Credit Risk Conference, Princeton, Vereinigte Staaten/USA, 0508. | (Details) | |
| Frey, Rüdiger. 2008. invited speaker. Workshop "risque de Credit", Èvry, Frankreich, 0608. | (Details) | ||
| Frey, Rüdiger. 2008. invited theme talk (non-plenary). Wold congress of the bachelier Finance Society, London, Großbritannien, Juli. | (Details) | ||
| 2007 | Frey, Rüdiger. 2007. Invited plenary speaker. Workshop on Credit Risk, Chicago, Vereinigte Staaten/USA, 0607. | (Details) | |
| Frey, Rüdiger. 2007. Invited speaker. Workshop in honor of Wolfgang Runggaldier, Bressanone, Italien, 0607. | (Details) | ||
| Frey, Rüdiger. 2007. Option Pricing in Illiquid Markets and Nonlinear Black-Scholes Equations. AMAMEF meeting, Bedlewo, Polen, 0607. | (Details) | ||
| 2006 | Frey, Rüdiger. 2006. Contributed Talk. BFS06, Tokio, Japan, August 2006. | (Details) | |
| Frey, Rüdiger. 2006. Workshop leader. "Quantitative Risk Management", Swiss Actuarial Society and Université de Lausanne, Lausanne, Frankreich, Juni 2006. | (Details) | ||
| 2005 | Frey, Rüdiger. 2005. Invited plenary speaker and workshop leader. QMF05, Sydney, Australien, Dezember 2005. | (Details) | |
| Frey, Rüdiger. 2005. Invited speaker. Conference in the honour of the 75th birthday of Prof. H. Bühlmann, Florenz, Italien, September 2005. | (Details) | ||
| Frey, Rüdiger. 2005. Invited speaker. Conference on concentration risk in credit portfolios, Deutsche Bundesbank Trainingcenter, Eltville, Deutschland, November 2005. | (Details) | ||
| Frey, Rüdiger. 2005. Invited speaker. Risk Day, ETH Zürich, Zürich, Schweiz, Oktober 2005. | (Details) | ||
| 2004 | Frey, Rüdiger. 2004. Markov Models for Interacting Defaults and Counterparty Risk. Bachelier Finance Society in Chicago, Chicago, Vereinigte Staaten/USA, 0604. | (Details) | |
| 2003 | Frey, Rüdiger. 2003. Invited plenary speaker. C.R.E.D.I.T. conference on portfolio credit risk, Venedig, Italien, September 2003. | (Details) | |
| Frey, Rüdiger. 2003. Invited speaker. Workshop on the Interplay between Finance and Insurance, Kopenhagen, Dänemark, Februar 2003. | (Details) | ||
| Frey, Rüdiger. 2003. Presentation. Arbeitsgemeinschaft "Stochastic Analysis in Finance and Insurance", Oberwolfach, Deutschland, März 2003. | (Details) | ||
| 2002 | Frey, Rüdiger, McNeil, Alexander. 2002. Modelling Dependent Defaults. World congress of the Bachelier Finance Society (FBS02), Kreta, Griechenland, 06.02. | (Details) | |
| 2001 | Frey, Rüdiger. 2001. Teacher of Masterclass "Dependence Modelling in Risk Management. International Centre for Business Information, Geneva, Schweiz, 12.01. | (Details) | |
| 2000 | Frey, Rüdiger. 2000. Modelling Dependent Defaults. Quantitative Methods in Finance, Sydney, Australien, 12.00. | (Details) |
Poster presented at an academic conference or symposium
| 2016 | Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-Based Discrete-Time EM Algorithm with Diffusion and Point Process Observation. VCMF-2016, Vienna, Austria, 12.09-14.09. | (Details) | |
| 2014 | Eksi-Altay, Zehra, Frey, Rüdiger. 2014. Modeling Sovereign Credit Risk under Partial-information. Bachelier Finance Society 8th World Congress, Brussels, Belgien, 02.06-06.06. | (Details) |
Working/discussion paper, preprint
| 2021 | Kurt, Kevin, Frey, Rüdiger. 2021. Markov-modulated Affine Processes. | (Details) | |
| 2016 | Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2016. Optimal liquidation under partial information with price impact. | (Details) | |
| 2015 | Frey, Rüdiger, Hledik, Juraj. 2015. Correlation and Contagion as Sources of Systemic Risk. Working Paper. Institute for Statistics and Mathematics, WU Vienna University of Economics and Business. | (Details) |
Unpublished lecture
| 2017 | Frey, Rüdiger. 2017. Summer School "Quantitative Risk Management" (August 21 to August 24, 2017) organized by the Centre des Recherches Mathematiques and Mc Gill University, Montréal as part of the thematic semester "Risk in Complex Systems" Summer School "Quantitative Risk Management" Montréal, Canada, 21.08. | (Details) | |
| 2016 | Frey, Rüdiger. 2016. - 29th International Summer School of the Swiss Association of Actuaries on Quantitative Risk Management, University of Lausanne, 15.-19.8.2016 (Lecturer, with Alex McNeil, Paul Embrechts and Marius Hofert), Lausanne, Switzerland, 15.08. | (Details) | |
| 2015 | Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. Quantitative Risk Management Workshop and Book Launch, WU Wien, Wien, 10.06. | (Details) | |
| 2002 | Frey, Rüdiger. 2002. - Seminaire Bachelier, Jänner 2002, Paris, 01.01. | (Details) |
Miscellaneous
| 2017 | Frey, Rüdiger. 2017. Panelist, panel discussion "Ultra-low interest rates in insurance business" at Conference Insurance, Mathematics and Economics, TU Wien, July 2017. | (Details) | |
| 2016 | Frey, Rüdiger. 2016. Modul Marktrisiko im Universitätslehrgang Finanzmarktaufsicht 15/17. Executive Academy, WU Wien (10. und 11.10.2016) . | (Details) |
Projects
- 2018
- Vienna Graduate School of Finance (2018-2022) (Details)
- 2015
- Stochastic Filtering and Corporate and Sovereign Credit Risk (2015-2020) (Details)
- 2014
- PhD Programm: Vienna Graduate School of Finance (2014-2018) (Details)
- 2011
- PhD Programm: Vienna Graduate School of Finance (2011-2014) (Details)
- Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk (2011-2014) (Details)