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…
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…