vix.ing · top · new · best · stats · spec

Frey, Rüdiger

  1. Detecting Rough Volatility: A Filtering Approach
    2023/02/24 by Damian, Camilla, Frey, Rüdiger · 1 citation
    #Computational Finance (q-fin.CP) #FOS: Economics and business
  2. Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
    2019/03/18 by Colaneri, Katia, Frey, Rüdiger · 1 citation
    #FOS: Mathematics #Probability (math.PR)