Rüdiger Frey

Publication Activity (10 Years)

Years Active: 1998-2022
Publications (10 Years): 4

Top Topics

Optical Flow Computation

Convergence Analysis

Computationally Expensive

Top Venues

SIAM J. Numer. Anal.

SIAM J. Financial Math.

Publications

Rüdiger Frey, Verena Köck
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps. CoRR (2022)
Rüdiger Frey, Verena Köck
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance. Comput. 10 (11) (2022)
Rüdiger Frey, Verena Köck
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. CoRR (2021)
Claudia Ceci, Katia Colaneri, Rüdiger Frey, Verena Köck
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM J. Financial Math. 11 (3) (2020)
Rüdiger Frey, Thorsten Schmidt, Ling Xu
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM J. Numer. Anal. 51 (4) (2013)
Rüdiger Frey, Thorsten Schmidt
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Finance Stochastics 16 (1) (2012)
Rüdiger Frey, Ulrike Polte
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. SIAM J. Control. Optim. 49 (1) (2011)
Rüdiger Frey, Wolfgang J. Runggaldier
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Finance Stochastics 14 (4) (2010)
Rüdiger Frey
Superreplication in stochastic volatility models and optimal stopping. Finance Stochastics 4 (2) (2000)
Rüdiger Frey, Wolfgang J. Runggaldier
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Math. Methods Oper. Res. 50 (2) (1999)
Rüdiger Frey
Perfect option hedging for a large trader. Finance Stochastics 2 (2) (1998)