3 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.MF2024
Playing with Fire? A Mean Field Game Analysis of Fire Sales and Systemic Risk under Regulatory Capital Constraints
Rüdiger Frey, Theresa Traxler
We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their…
q-fin.CP2023
Detecting Rough Volatility: A Filtering Approach
Camilla Damian, Rüdiger Frey
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since…
math.NA2022★ 3 cited
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…