Gebäude D4

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Rüdiger Frey
Prof. for Mathematics & Finance
WU Vienna - Department for Finance, Accounting and Statistics
Research Interests

Financial mathematics, Quantitative risk management, sportsbet appStochastics, Financial economics

Selected Publications
  • Frey, R., Kurt, K., Damian, C., 2020, How safe are european safe bonds? An analysis from the perspective of modern credit risk models. Journal of Banking and Finance 119, 1-18; this paper won the Sportsbet login in category 1: “quantitative-analytical or theoretical work”.
  • Ceci, C., Colaneri, K., Frey, R., Köck, V., 2020, Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM Journal on Financial Mathematics 11 (3), 788-814.
  • Colaneri, K., Eksi-Altay, Z., Frey, R., Szölgyenyi, M., 2020, Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications 130 (4), 1913-1946.
  • sportsbet appFrey, R., Rösler, L., Lu, D., 2019, Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance 29, 84-116.
  • Damian, C., Eksi-Altay, Z., Frey, R., 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.
  • Book: McNeil, A., Frey, R., Embrechts, P., 2015, Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance. New Jersey: Princeton University Press.
Conferences
  • VCMF 2019 – Vienna Congress on Mathematical Finance, September 9-13, 2019, WU Wien (& TU Wien, Universität Wien, Wolfgang Pauli Institute Vienna), Leader Organizing and Scientific Committee.
Thomas Gehrig
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