15 citations · 23 across the 6 of their papers we have counts for
8 papers
If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
Luna Rigby, Rüdiger Frey, Erik Schlögl
Model risk arises from the misspecification of probabilistic models used for pricing and hedging derivatives. While model risk for European-style claims has been widely studied, mu…
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps
Rüdiger Frey, Verena Köck
High-dimensional parabolic partial integro-differential equations (PIDEs) appear in many applications in insurance and finance. Existing numerical methods suffer from the curse of…
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics
Rüdiger Frey, Verena Köck
In recent years a large literature on deep learning based methods for the numerical solution partial differential equations has emerged; results for integro-differential equations…
How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
Rüdiger Frey, Kevin Kurt, Camilla Damian
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called…
Value adjustments and dynamic hedging of reinsurance counterparty risk
Claudia Ceci, Katia Colaneri, Rdiger Frey +1
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the cedi…
Optimal Liquidation under Partial Information with Price Impact
Katia Colaneri, Zehra Eksi, Rüdiger Frey +1
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finit…
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations
Rüdiger Frey, Thorsten Schmidt, Ling Xu
This paper studies Galerkin approximations applied to the Zakai equation of stochastic filtering. The basic idea of this approach is to project the infinite-dimensional Zakai equat…
Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Rüdiger Frey, Abdelali Gabih, Ralf Wunderlich
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from st…