Rüdiger Frey
Orcid: 0000-0002-8402-4653
According to our database1,
Rüdiger Frey
authored at least 11 papers
between 1998 and 2022.
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Bibliography
2022
Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps.
CoRR, 2022
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance.
Comput., 2022
2021
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics.
CoRR, 2021
2020
SIAM J. Financial Math., 2020
2013
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations.
SIAM J. Numer. Anal., 2013
2012
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering.
Finance Stochastics, 2012
2011
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions.
SIAM J. Control. Optim., 2011
2010
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach.
Finance Stochastics, 2010
2000
Finance Stochastics, 2000
1999
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times.
Math. Methods Oper. Res., 1999
1998