Rüdiger Frey
Wirtschaftsuniversität Wien
H-index: 30
Europe-Austria
Top articles of Rüdiger Frey
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Statistical Inference for Rough and Persistent Volatility | Camilla Damian Rüdiger Frey Stefan Voigt | 2023/7/10 | |
Detecting Rough Volatility: A Filtering Approach | arXiv preprint arXiv:2302.12612 | Camilla Damian Rüdiger Frey | 2023/2/24 |
Markov-modulated affine processes | Stochastic Processes and their Applications | Kevin Kurt Rüdiger Frey | 2022/11/1 |
Filtering and Parameter Estimation in a Rough Volatility Model | Camilla Damian Rüdiger Frey | 2022/6/3 | |
Convergence analysis of the deep splitting scheme: the case of partial integro-differential equations and the associated FBSDEs with jumps | arXiv preprint arXiv:2206.01597 | Rüdiger Frey Verena Köck | 2022/6/3 |
Invisible Infections: A Partial Information Approach for Estimating the Transmission Dynamics of the Covid-19 Pandemic | arXiv preprint arXiv:2212.13443 | Katia Colaneri Camilla Damian Rüdiger Frey | 2022/12/27 |
Deep neural network algorithms for parabolic PIDEs and applications in insurance and finance | Computation | Rüdiger Frey Verena Köck | 2022/11/10 |
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds | Insurance: Mathematics and Economics | Katia Colaneri Rüdiger Frey | 2021/11/1 |
Optimal liquidation under partial information with price impact | Stochastic Processes and their Applications | Katia Colaneri Zehra Eksi Rüdiger Frey Michaela Szölgyenyi | 2020/4/1 |
The Quantitative Risk Management Exercise Book | Marius Hofert Rüdiger Frey Alexander J McNeil | 2020 | |
How safe are european safe bonds? An analysis from the perspective of modern credit risk models | Journal of Banking & Finance | Rüdiger Frey Kevin Kurt Camilla Damian | 2020/10/1 |
