2 citations · 2 across the 5 of their papers we have counts for
6 papers
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…
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…
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…
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…
Markov-Modulated Affine Processes
Kevin Kurt, Rüdiger Frey
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a fu…
Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
Katia Colaneri, Rüdiger Frey
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jum…