Christoph Frei
Cited by
Cited by
The Scenario Approach for Stochastic Model Predictive Control with Bounds on Closed-Loop Constraint Violations
G Schildbach, L Fagiano, C Frei, M Morari
Automatica 50 (12), 3009-3018, 2014
A Financial Market with Interacting Investors: Does an Equilibrium Exist?
C Frei, G Dos Reis
Mathematics and Financial Economics 4 (3), 161-182, 2011
Optimal Execution of a VWAP Order: A Stochastic Control Approach
C Frei, N Westray
Mathematical Finance 25 (3), 612-639, 2015
Exponential Utility Indifference Valuation in Two Brownian Settings with Stochastic Correlation
C Frei, M Schweizer
Advances in Applied Probability 40 (2), 401-423, 2008
Splitting Multidimensional BSDEs and Finding Local Equilibria
C Frei
Stochastic Processes and their Applications 124 (8), 2654-2671, 2014
Exponential Utility Indifference Valuation in a General Semimartingale Model
C Frei, M Schweizer
Optimality and Risk-Modern Trends in Mathematical Finance, 49-86, 2009
Convergence Results for the Indifference Value based on the Stability of BSDEs
C Frei
Stochastics 85 (3), 464-488, 2013
The Folk Theorem with Imperfect Public Information in Continuous Time
B Bernard, C Frei
Theoretical Economics 11 (2), 411-453, 2016
Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation
C Frei, S Malamud, M Schweizer
Probability Theory and Related Fields 150 (1-2), 219-255, 2011
Dynamic Contracting: Accidents Lead to Nonlinear Contracts
A Capponi, C Frei
SIAM Journal on Financial Mathematics 6 (1), 959-983, 2015
Moment Estimators for Autocorrelated Time Series and their Application to Default Correlations
C Frei, M Wunsch
Journal of Credit Risk 14 (1), 1-29, 2018
BSDEs in Utility Maximization with BMO Market Price of Risk
C Frei, M Mocha, N Westray
Stochastic Processes and their Applications 122 (6), 2486-2519, 2012
Principal Trading Arrangements: When Are Common Contracts Optimal?
M Baldauf, C Frei, J Mollner
Available at SSRN 3177283, 2021
Quadratic FBSDE with Generalized Burger's Type Nonlinearities, PDE Perturbation and Large Deviations
C Frei, G Dos Reis
Stochastics and Dynamics 13 (02), 1250015, 2013
Systemic Influences on Optimal Equity-Credit Investment
A Capponi, C Frei
Management Science 63 (8), 2756-2771, 2017
Managing Counterparty Risk in Over-the-Counter Markets
C Frei, A Capponi, C Brunetti
Journal of Financial and Quantitative Analysis, forthcoming, 2020
Recent Regulation in Credit Risk Management: A Statistical Framework
L Ewanchuk, C Frei
Risks 7 (2), 40, 2019
Optimal Execution in Hong Kong given a Market-On-Close Benchmark
C Frei, N Westray
Quantitative Finance 18 (4), 655-671, 2018
A Stochastic Model for Cancer Metastasis: Branching Stochastic Process with Settlement
C Frei, T Hillen, A Rhodes
Mathematical Medicine and Biology: A Journal of the IMA 37 (2), 153-182, 2020
Optimal Closing Benchmarks
C Frei, J Mitra
Finance Research Letters, forthcoming, 2020
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