Rüdiger Frey

ETH Zürich

ETH-Zentrum

CH-8092 Zurich

Switzerland

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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12

CROSSREF CITATIONS

9

Scholarly Papers (8)

1.

Risk Management for Derivatives in Illiquid Markets: A Simulation Study

Number of pages: 20 Posted: 16 Feb 2002
Rüdiger Frey and Pierre Patie
ETH Zürich and Swiss Federal Institute of Technology Zurich (ETH) - Department of Mathematics, RiskLab
Downloads 1,038 (22,691)
Citation 3

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risk management, derivatives, option hedging, volatility, illiquid markets, nonlinear Black-Scholes equation

2.

Correlation and Contagion as Sources of Systemic Risk

Number of pages: 19 Posted: 24 Dec 2014
Rüdiger Frey and Juraj Hledik
ETH Zürich and Vienna Graduate School of Finance, Students
Downloads 200 (165,851)
Citation 3

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Systemic risk, Contagion, Financial Networks, Asset Correlations

3.

Parameter Estimation in Credit Models Under Incomplete Information

Number of pages: 30 Posted: 13 Jan 2014
Alexander Herbertsson and Rüdiger Frey
University of Gothenburg - Department of Economics/Centre for Finance and ETH Zürich
Downloads 61 (384,289)
Citation 10

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Credit risk, intensity-based models, filtering, estimation, Markov process

4.

Pricing Corporate Securities Under Noisy Asset Information

Mathematical Finance, Vol. 19, Issue 3, pp. 403-421, July 2009
Number of pages: 19 Posted: 30 Jun 2009
Rüdiger Frey and Thorsten Schmidt
ETH Zürich and University of Freiburg
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6.

Market Volatility and Feedback Effects from Dynamic Hedging

WBS Finance Group Research Paper No. 3
Posted: 06 Sep 1999
Rüdiger Frey and Alexander Stremme
ETH Zürich and University of Warwick - Finance Group

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8.

The Pricing and Hedging of Options in Finitely Elastic Markets

Posted: 23 Apr 1998
Rüdiger Frey
ETH Zürich

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