Rüdiger Frey

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2025 J jnl
Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro-Differential Equations and the Associated Forward Backward SDEs with Jumps.
SIAM J. Sci. Comput.
Rüdiger Frey, Verena Köck
2022 J jnl
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps.
CoRR
Rüdiger Frey, Verena Köck
2022 J jnl
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance.
Comput.
Rüdiger Frey, Verena Köck
2021 J jnl
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics.
CoRR
Rüdiger Frey, Verena Köck
2020 J jnl
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk.
SIAM J. Financial Math.
Claudia Ceci, Katia Colaneri, Rüdiger Frey, Verena Köck
2013 J jnl
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations.
SIAM J. Numer. Anal.
Rüdiger Frey, Thorsten Schmidt, Ling Xu
2012 J jnl
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering.
Finance Stochastics
Rüdiger Frey, Thorsten Schmidt
2011 J jnl
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions.
SIAM J. Control. Optim.
Rüdiger Frey, Ulrike Polte
2010 J jnl
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach.
Finance Stochastics
Rüdiger Frey, Wolfgang J. Runggaldier
2000 J jnl
Superreplication in stochastic volatility models and optimal stopping.
Finance Stochastics
Rüdiger Frey
1999 J jnl
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times.
Math. Methods Oper. Res.
Rüdiger Frey, Wolfgang J. Runggaldier
1998 J jnl
Perfect option hedging for a large trader.
Finance Stochastics
Rüdiger Frey