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…
math.OC2024
Random carbon tax policy and investment into emission abatement technologies
Katia Colaneri, Rüdiger Frey, Verena Köck
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions…
physics.soc-ph2024
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
Katia Colaneri, Camilla Damian, Rüdiger Frey
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage…