portrait photo

Rüdiger Frey

Univ.Prof. Dr.rer.pol. Rüdiger Frey
Telephone:
+43 1 31336 4760
Email:
Contact information and photo taken from and editable at WU Directory.

CV

since 2011
Full professor for Mathematics and Finance, Vienna University of Economics and Business
2011
Offer of a Full Professor position for "Stochastic Methods in Economics", TU Wien (declined)
2001-2011
Full Professor (C4) for Financial Mathematics and Optimization, Universität Leipzig
2001
Venia docendi for Finance, University of Zürich
1999-2001
Assistant Professor for Quantitative Finance, Universität Zürich
1996-1999
UBS Research Fellow in Financial Mathematics (postdoctoral position), Department of Mathematics, ETH Zürich
1996
PhD in Financial Economics, University of Bonn
1994-1996
Research Assistant, Faculty of Economics, Universität Bonn
1993-1994
Doctoral education in Paris (DELTA, ENSAE, Paris VI)
1992
Diploma in Mathematics, University of Bonn

Researcher Identifier

Awards and Honors

2009-2011
Member of the board of the Deutsche Gesellschaft für Versicherungs- und Finanzmathematik (DGVFM)
1996
Annual price for the Best PhD dissertation at the Faculty of Law and Economics, University of Bonn (Preis des Präsidenten der italienischen Republik)

Classifications

  • 1118 Probability theory (Details)
  • 1137 Financial mathematics (Details)
  • 5361 Financial management (Details)

Expertise

    No expertises found.

Activities

Position in jury, advisory board, curatorship
  2017 Management Board des Bachelor's Program in Business and Economics, WU Wirtschaftsuniversität Wien - Member
  since 2011 Prüfungsausschuss für die Ausbildung zum certified enterprise risk actuary (CERA) der Deutschen Aktuarvereinigung
Position in internal committee for appointments
  2016 Berufungskommission: Mathematics for Economics and Business, Institut für Statistik und Mathematik, WU Wirtschaftsuniversität Wien - Leader
Position in internal habilitation committee
  2017 Habilitationskommission Dr. Zehra Eksi-Altay, Institut für Statistik und Mathematik, WU Wien - Leader
  2015 Habilitationskommission Dr. Birgit Rudloff, Institut für Statistik und Mathematik, WU Wien - Leiter
Reviewer for scientific organization
  2016 Tenure Verfahren, Cornell University, Ithaca, New York - Referee
  2016 Promotion to Reader, City University London - Referee
  since 2011 Deutsche Forschungsgemeinschaft (DFG) - Referee Proposals/Reports
Editor of a scientific journal
  since 2009 Mathematical Finance - Associate Editor
  2007-2009 Encyclopedia of Quantitative Finance - Section Editor
Reviewer for a scientific journal
  2016 Journal of Economic Dynamics and Control
  since 2011 Statistics & Risk Modelling
  2011 Referee for Stochastic Processes and Applications, Siam Journal of Control and Optimization - Referee
  since 2011 Mathematical Methods of Operations Research
  since 2011 Mathematical Finance
Invitation to Research Seminar
  2018 School of Mathematics, University of Leeds, UK, 01.11. - Probability and Financial Mathematics seminar series, Talk "Dynamic Hedging of Reinsurance Counterparty Credit Risk"
  2016 Mathematisches Kolloquium, Universität Freiburg, Freiburg, Deutschland, 09.06. - Talk “Shall I sell or shall I wait: optimal liquidation under partial information with market impact”
Organization scientific meeting (Conference etc.)
  2016 VCMF 2016 - Vienna Congress on Mathematical Finance, 12.-16.09.2016, WU Wirtschaftsuniversität Wien (gemeinsam mit TU Wien und Universität Wien) - Leader Organizing and Scientific Committee
  2015 Quantitative Risk Management Workshop and Book Launch, 10.6.2015, WU Wien - Organizer
  2013 Stochastics, Economics, and Architecture, Opening Conference of the Institute for Statistics and Mathematics on the New WU Campus, November 22, 2013, WU Wirtschaftsuniversität Wien - Member of the Scientific Committee
  2013 Conference on Current Topics in Mathematical Finance, April 18-19, 2013, WU Wirtschaftsuniversität Wien - Conference Chair
Position in administration
  2017 WU Wien - Member of the academic board of the Bachelor in Business and Economics
  since 2016 Senat, Wirtschaftsuniversität Wien - Member
  since 2016 Department of Finance, Accounting and Statistics, Wirtschaftsuniversität Wien - Deputy Department Chair
  2015 Auswahlkommission für die postdoc Stelle mit Qualifizierungsvereinbarung "Optimierung und Stochastik" - Leader
Supervisor dissertation
  2015 Dissertation "Valuation Algorithms for Structural Models of Financial Networks" von Johannes Hain, WU Wien - Supervisor
  2015 Dissertation "Stochastic Filtering in Pricing and Credit Risk Management" von Lars Rösler, WU Wien - Supervisor
  2011 Dissertation Dr. Ling Xu: "On Galerkin approximations for the Zakai equation with diffusive and point process observations" - Supervisor
  2010 Dissertation Dr. Roland Seydel: "Impulse Control for Jump Di usions: Viscosity Solutions, Quasi-Variational Inequalities and Applications in Bank Risk Management" - Supervisor
  2008 Dissertation Dr. Monika Popp: "Simulation Techniques for Credit and Operational Risk Management" - Supervisor
  2008 Dissertation Dr. Jochen Backhaus: "Pricing and Hedging of Credit Derivatives in Models with Interacting Default Intensities: A Markovian Approach" - Supervisor
  2007 Dissertation Dr. Ulrike Polte: "On hedging and pricing of derivatives in illiquid markets: A PDE approach" - Supervisor
Other scientific activities
  2017 Weiterbildungsseminar "CERA, Module A: Foundations and Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 27.02.-02.03.2017, Wien. - Seminarleiter, Dozent
  2017 Panel Discussion "Ultra-low interest rates in insurance business", at conference IME 2017, July 3, 2017, TU Wien, Vienna. - Panelist
  2016 Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 02.-04.03.2016. CERA, Zagreb, Kroatien. - Seminarleiter, Dozent
  2015 Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 04.-06.03.2015. CERA, Köln, Deutschland. - Seminarleiter, Dozent
  2014 Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 12.-14.03.2014. CERA, Berlin, Deutschland. - Seminarleiter, Dozent
  2014 Dissertation "Hedging in Nonlinear Models of Illiquid Financial Markets" von Nadim Sah, TU Berlin - External Referee
  2014 Dissertation "A General Approach to Credit Risk Modelling" von Frank Gehmlich, TU Chemnitz - External Referee
  2013 Weiterbildungsseminar "Quantitative Methods of ERM" im Rahmen der CERA Ausbildung der deutschen und europäischen Aktuarvereinigung, 23.-25.09.2013. CERA, Köln, Deutschland. - Seminarleiter, Dozent

Publications

Book (monograph)

2015 McNeil, Alexander, Frey, Rüdiger, Embrechts, Paul. 2015. Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance. New Jersey: Princeton University Press. (Details)
2005 McNeil, Alexander, Frey, Rüdiger, Embrechts, Paul. 2005. Quantitative Risk Management: Concepts, Techniques, and Tools in Princeton Series in Finance. New Jersey: Princton Univ. Press. (Details)

Journal article

2019 Frey, Rüdiger, Rösler, Lars, Lu, Dan. 2019. Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance. 29 84-116. open access (Details)
  Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2019. Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications. (Details)
2018 Frey, Rüdiger, Hledik, Juraj. 2018. Diversification and Systemic Risk: A Financial Network Perspective. Risks, 6 (2), 54 open access (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2018. EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics & Risk Modeling, 35 (1-2), 51-72. open access (Details)
2014 Herbertsson, Alexander, Frey, Rüdiger. 2014. Parameter Estimation in Credit Models Under Incomplete Information. Communications in Statistics. Theory and Methods 43 (7): 1409-1436. (Details)
  Frey, Rüdiger, Rösler, Lars. 2014. Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps. International Journal of Theoretical and Applied Finance 17 (7), (Details)
  Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2014. Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach. Communications in Stochastic Analysis 8 (1): 49-79. (Details)
2013 Frey, Rüdiger, Schmidt, Thorsten, Xu, Ling. 2013. On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM Journal on Numerical Analysis (Society for Industrial and Applied Mathematics) 51 (4): 2036-2062. (Details)
2012 Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2012. Portfolio optimization under partial information with expert opinions. International Journal of Theoretical and Applied Finance 15 (1): 1250009-1-18. open access (Details)
  Frey, Rüdiger, Schmidt, Thorsten. 2012. Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Finance and Stochastics 16 (1): 105-133. (Details)
2011 Frey, Rüdiger, Polte, Ulrike. 2011. Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. SIAM Journal on Control and Optimization (Society for Industrial and Applied Mathematics) 49 (1): 185-204. (Details)
2010 Frey, Rüdiger, Backhaus, Jochen. 2010. Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion. Journal of Economic Dynamics and Control 34 710-724. (Details)
  Frey, Rüdiger, Seydel, Roland. 2010. Optimal Securitization of Credit Portfolios via Impulse Control. Mathematics and Financial Economics 4 (1): 1-28. (Details)
  Frey, Rüdiger, Runggaldier, Wolfgang. 2010. Pricing Credit Derivatives under Incomplete Information: a Nonlinear-Filtering Approach. Finance and Stochastics 14 (4): 495-526. (Details)
2009 Frey, Rüdiger, Schmidt, Thorsten. 2009. Pricing corporate securities with noisy asset information. Mathematical Finance 19 403-421. (Details)
2008 Frey, Rüdiger, Popp, Monika, Weber, Stefan . 2008. An Approximation for credit portfolio losses. The Journal of Credit Risk 4 (1): 3-20. (Details)
  Frey, Rüdiger, Backhaus, Jochen. 2008. Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities. International Journal of Theoretical and Applied Finance 11 (6): 611-634. (Details)
2007 Frey, Rüdiger, Eberlein, E, Kalkbrener, M, Overbeck, L. 2007. Mathematics in Financial Risk Management. Jahresbericht der DMV 109 156-161. (Details)
2003 Frey, Rüdiger, McNeil, Alexander. 2003. Dependent defaults in models of portfolio credit risk. Journal of Risk 6 (1): 59-92. (Details)
2002 Frey, Rüdiger, McNeil, Alexander. 2002. VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights. Journal of Banking and Finance 26 1317-1334. (Details)
2001 Frey, Rüdiger, McNeil, Alexander, Nyfeler, M. 2001. Copulas and Credit Risk. Risk ---. (Details)
  Frey, Rüdiger, Runggaldier, Wolfgang. 2001. A nonlinear filtering approach to volatility estimation with a view towards high frequency data. International Journal of Theoretical and Applied Finance, 4, 1-12. (Details)
2000 Frey, Rüdiger. 2000. Risk-Minimization with incomplete information in a model for high frequency data. Mathematical Finance (10): 215-226. (Details)
  Frey, Rüdiger. 2000. Superreplication in Stochastic Volatility Models and Optimal Stopping. Finance and Stochastics (4): 161-188. (Details)
  McNeil, Alexander, Frey, Rüdiger. 2000. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of Empirical Finance, 7, (3-4), 271-300. (Details)
1999 Frey, Rüdiger, Sin, Carlos. 1999. Bound on European Option Prices under Stochastic Volatility. Mathematical Finance 9 97-116. (Details)
  Frey, Rüdiger, Runggaldier, W. 1999. Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times. Mathematical Methods of Operations Reserarch (formerly: Zeitschrift für Operations Research (ZOR)) (50): 339-350. (Details)
1998 Frey, Rüdiger, Sommer, Daniel. 1998. "The generalization of the Geske-formula for compound options to stochastic interest rate is not trivial - a note". Journal of Applied Probability 35 501-509. (Details)
  Frey, Rüdiger. 1998. Perfect Option Hedging for a Large Trader. Finance and Stochastics, 2, (2), 115-141. (Details)
1997 Frey, Rüdiger. 1997. Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility. CWI Quarterly 10 1-34. (Details)
  Frey, Rüdiger, Stremme, Alexander. 1997. Market Volatility and Feedback Effects from Dynamic Hedging. Mathematical Finance 7 (4): 351-374. (Details)
1996 Frey, Rüdiger, Sommer, Daniel. 1996. A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk. Applied Mathematical Finance 3 295-317. (Details)

Chapter in edited volume

2011 Frey, Rüdiger, Schmidt, T. 2011. Filtering and Incomplete Information in Credit Risk. In: Recent Advancements in the Theory and Practice of Credit Derivatives, Hrsg. D. Brigo, T. Bielecki, F. Patras, ---. New Jersey: Wiley. (Details)
  Frey, Rüdiger, Runggaldier, W. 2011. Nonlinear Filtering in Models for Interest-Rate and Credit Risk. In: Handbook of Nonlinear Filtering, Hrsg. D.Crisan, B. Rozovski, 923-959. New York: Oxford Univ. Press. (Details)
2009 Frey, Rüdiger, Bordag, Ljudmila. 2009. Pricing options in illiquid markets: symmetry reductions and exact solutions. In: Nonlinear Models in Mathematical Finance New Research Trends in Option Pricing, Hrsg. Matthias Ehrhardt, 103-129. New York: Nova Science Publishers. (Details)
2008 Frey, Rüdiger, Eberlein, E, von Hammerstein, E.A. 2008. Advanced ccredit portfolio modelling and CDO pricing. In: Mathematics - Key technology for the Future, Hrsg. W. Jäger, H.J. Krebs, 253-280. Berlin: Springer Verlag. (Details)
2007 Frey, Rüdiger, Prosdocimi, Cecilia, Runggaldier, Wolfgang. 2007. Affine credit risk models under incomplete information. In: Stochastic Processes and applications to mathematical finance, Hrsg. Jiro Akahori, Shigeyoshi Ogawa & Shinzo Watanabe, 97-113. Japan: World Scientific. (Details)
2003 Frey, Rüdiger. 2003. A Mean-Field Model for Interacting Defualts and Counterparty Risk. In: Bulletin of the International Statistical Institute, Hrsg. International Statistical Institute, ---. Berlin: -. (Details)
2002 Frey, Rüdiger, Patie, Pierre. 2002. Risk Management for Derivatives in Illiquid Markets: A Simulation Study. In: Advances in Finance and Stochastics, Hrsg. Sandmann, Klaus; Schönbucher, Philip J. (Eds.), 137-160. Berlin: Springer. (Details)
2001 Frey, Rüdiger, Embrechts, P, Furrer, H. 2001. Stochastic Processes in Insurance and Finance. In: Handbook of Statistics. Vol 19, Hrsg. D. Shanbag, C.R. Rao,, 365-412. North Holland: Elsevier. (Details)
2000 Frey, Rüdiger. 2000. Market Illiquidities as a Source of Model Risk in Dynamic Hedging. In: Model Risk, Hrsg. Rajna Gibson, 125-138. London: Risk Publications. (Details)

Paper presented at an academic conference or symposium

2018 Damian, Camilla, Kurt, Kevin, Frey, Rüdiger. 2018. Hidden Markov Model for the Contagion between Eurozone Spreads. 13th German Probability and Statistics Days 2018, Freiburg, Germany, 27.02-02.03. (Details)
  Frey, Rüdiger. 2018. Optimal liquidation under partial information with price impact. A Symposium on Optimal Stopping, ​Rice University, Houston, Texas, United States/USA, 25.06.-29.06. Invited Talk (Details)
  Frey, Rüdiger. 2018. Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective. 10th World Congress of the Bachelier Finance Society, Dublin, Irland, 16.07.-20.07. (Details)
2017 Frey, Rüdiger. 2017. EM Algorithm for Diffusion and Point Process Information: Theory, Numerical Experiments and Applications to Credit Risk. Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL Lausanne, Switzerland, 29.05.-02.06. Invited Talk (Details)
  Eksi-Altay, Zehra, Damian, Camilla, Frey, Rüdiger. 2017. EM Algorithm For Markov Chain Observed via Gaussian Noise and Point Processes Information. VIECO 2017 - Vienna-Copenhagen Conference on Financial Econometrics, Vienna, Austria, 09.03-11.03. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES), Cagliari, Italy, 14.09-16.09. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and numerical experiments. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed via Gaussian Noise and Point Process Information: Theory and Numerical Experiments. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Vienna, Austria, 03.07-05.07. (Details)
  Frey, Rüdiger. 2017. Optimal Liquidation under partial information with price impact. 3rd Berlin-Princeton-Singapore workshop on Quantitative Finance. (Keynote lecture), Humboldt University, Berlin, Deutschland, 19.04.-22.04. Invited Talk (Details)
  Frey, Rüdiger. 2017. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Credit Risk. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, TU Wien, Vienna, Österreich, 03.07.-05.07. (Details)
2016 Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-based discrete-time EM algorithm with diffusion and point process observation. CFE-2016, Seville, Spain, 9.12-11.12. (Details)
  Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. World Congress, Bachelier Finance Society, New York, Vereinigte Staaten/USA, 17.07. (Details)
  Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. Nachwuchstagung der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik, Schloss Reisensburg, Günzburg, Deutschland, 23.09. Invited Talk (Details)
2015 Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. ETH Risk Day 2015, Zürich, Schweiz, 11.09. (Details)
  Frey, Rüdiger. 2015. Correlation and Contagion as Sources of Systemic Risk. 22nd Annual Meeting of the German Finance Association (DGF), University of Leipzig, Leipzig, Deutschland, 25.09.-26.09. (Details)
2014 Frey, Rüdiger. 2014. Corporate Security Prices in Structural Credit Risk Models with Incomplete Information. Workshop on Information Modelling and Filtering in Finance and Insurance, Institut Henri Poincaré, Paris, Frankreich, 03.10. Invited Talk (Details)
  Frey, Rüdiger. 2014. Corporate Security Prices in Structural Credit Risk Models with Incomplete Information. Workshop Recent advances in mathematical finance, Padova, Italien, 22.09. Invited Talk (Details)
  Frey, Rüdiger. 2014. Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles. Lisbon Finance Seminars, Lissabon, Portugal, 09.05.2014. Invited Talk (Details)
  Frey, Rüdiger. 2014. Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps. Conference on Mathematics in Finance 2014, Skukuza, Kruger National Park, South Africa, 24.08.-29.08. Invited Talk (Details)
2013 Frey, Rüdiger. 2013. Portfolio optimization under partial information with expert opinions: a dynamic programming approach. Nomura Seminar on Mathematical Finance, University of Oxford, Großbritannien, 15.11. Invited Talk (Details)
  Frey, Rüdiger. 2013. Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles. The Quantitative Methods in Finance 2013 Conference, Sydney, Australien, 17.12.-20.12. Invited Talk (Details)
2012 Frey, Rüdiger. 2012. Dynamics of Corporate Security Prices and Option Pricing in Firm Value Models with Incomplete Information. Keynote Lecture. 4th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, Deutschland, 11.10.-13.10. (Details)
  Frey, Rüdiger. 2012. Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. Conference on Liquidity and Credit Risk, Universität Freiburg, Freiburg, Deutschland, 15.3. Invited Talk (Details)
  Frey, Rüdiger. 2012. Dynamics of Corporate Security Prices and Option Pricing in Firm Value Models with Incomplete Information. Actuarial and Financial Mathematics Conference 2012, Brussels, Belgien, 09.02-10.02. (Details)
2011 Frey, Rüdiger. 2011. Pricing and hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Workshop on incomplete information and filtering mathematical finance, Chemnitz, Deutschland, Juni. (Details)
2010 Frey, Rüdiger. 2010. Credit Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. China-Germany conference on Mathematics in Industry, Beijing, China, März. (Details)
  Frey, Rüdiger. 2010. Invited speaker. Workshop on Risk Management for Derivatives, Toronto, Kanada, Mai. (Details)
  Frey, Rüdiger. 2010. Optimal Securitization of Credit Portfolios via Impulse Control. World Congress of the, Toronto, Kanada, Juni. (Details)
2009 Frey, Rüdiger. 2009. Credit Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Recent Advancements in the Theory and Practice, Nice, Frankreich, 0909. (Details)
2008 Frey, Rüdiger. 2008. Constructing credit risk models via nonlinear filtering. Second Princeton Credit Risk Conference, Princeton, Vereinigte Staaten/USA, 0508. (Details)
  Frey, Rüdiger. 2008. invited speaker. Workshop "risque de Credit", Èvry, Frankreich, 0608. (Details)
  Frey, Rüdiger. 2008. invited theme talk (non-plenary). Wold congress of the bachelier Finance Society, London, Großbritannien, Juli. (Details)
2007 Frey, Rüdiger. 2007. Invited plenary speaker. Workshop on Credit Risk, Chicago, Vereinigte Staaten/USA, 0607. (Details)
  Frey, Rüdiger. 2007. Invited speaker. Workshop in honor of Wolfgang Runggaldier, Bressanone, Italien, 0607. (Details)
  Frey, Rüdiger. 2007. Option Pricing in Illiquid Markets and Nonlinear Black-Scholes Equations. AMAMEF meeting, Bedlewo, Polen, 0607. (Details)
2006 Frey, Rüdiger. 2006. Contributed Talk. BFS06, Tokio, Japan, August 2006. (Details)
  Frey, Rüdiger. 2006. Workshop leader. "Quantitative Risk Management", Swiss Actuarial Society and Université de Lausanne, Lausanne, Frankreich, Juni 2006. (Details)
2005 Frey, Rüdiger. 2005. Invited plenary speaker and workshop leader. QMF05, Sydney, Australien, Dezember 2005. (Details)
  Frey, Rüdiger. 2005. Invited speaker. Conference on concentration risk in credit portfolios, Deutsche Bundesbank Trainingcenter, Eltville, Deutschland, November 2005. (Details)
  Frey, Rüdiger. 2005. Invited speaker. Risk Day, ETH Zürich, Zürich, Schweiz, Oktober 2005. (Details)
  Frey, Rüdiger. 2005. Invited speaker. Conference in the honour of the 75th birthday of Prof. H. Bühlmann, Florenz, Italien, September 2005. (Details)
2004 Frey, Rüdiger. 2004. Markov Models for Interacting Defaults and Counterparty Risk. Bachelier Finance Society in Chicago, Chicago, Vereinigte Staaten/USA, 0604. (Details)
2003 Frey, Rüdiger. 2003. Invited plenary speaker. C.R.E.D.I.T. conference on portfolio credit risk, Venedig, Italien, September 2003. (Details)
  Frey, Rüdiger. 2003. Invited speaker. Workshop on the Interplay between Finance and Insurance, Kopenhagen, Dänemark, Februar 2003. (Details)
  Frey, Rüdiger. 2003. Presentation. Arbeitsgemeinschaft "Stochastic Analysis in Finance and Insurance", Oberwolfach, Deutschland, März 2003. (Details)
2002 Frey, Rüdiger, McNeil, Alexander. 2002. Modelling Dependent Defaults. World congress of the Bachelier Finance Society (FBS02), Kreta, Griechenland, 06.02. (Details)
2001 Frey, Rüdiger. 2001. Teacher of Masterclass "Dependence Modelling in Risk Management. International Centre for Business Information, Geneva, Schweiz, 12.01. (Details)
2000 Frey, Rüdiger. 2000. Modelling Dependent Defaults. Quantitative Methods in Finance, Sydney, Australien, 12.00. (Details)

Poster presented at an academic conference or symposium

2016 Damian, Camilla, Frey, Rüdiger, Eksi-Altay, Zehra. 2016. Filter-Based Discrete-Time EM Algorithm with Diffusion and Point Process Observation. VCMF-2016, Vienna, Austria, 12.09-14.09. (Details)
2014 Eksi-Altay, Zehra, Frey, Rüdiger. 2014. Modeling Sovereign Credit Risk under Partial-information. Bachelier Finance Society 8th World Congress, Brussels, Belgien, 02.06-06.06. (Details)

Working/discussion paper, preprint

2016 Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2016. Optimal liquidation under partial information with price impact. (Details)
2015 Frey, Rüdiger, Hledik, Juraj. 2015. Correlation and Contagion as Sources of Systemic Risk. Working Paper. Institute for Statistics and Mathematics, WU Vienna University of Economics and Business. (Details)

Unpublished lecture

2017 Frey, Rüdiger. 2017. Summer School "Quantitative Risk Management" (August 21 to August 24, 2017) organized by the Centre des Recherches Mathematiques and Mc Gill University, Montréal as part of the thematic semester "Risk in Complex Systems" Summer School "Quantitative Risk Management" Montréal, Canada, 21.08. (Details)
2016 Frey, Rüdiger. 2016. - 29th International Summer School of the Swiss Association of Actuaries on Quantitative Risk Management, University of Lausanne, 15.-19.8.2016 (Lecturer, with Alex McNeil, Paul Embrechts and Marius Hofert), Lausanne, Switzerland, 15.08. (Details)
2015 Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. Quantitative Risk Management Workshop and Book Launch, WU Wien, Wien, 10.06. (Details)
2002 Frey, Rüdiger. 2002. - Seminaire Bachelier, Jänner 2002, Paris, 01.01. (Details)

Miscellaneous

2017 Frey, Rüdiger. 2017. Panelist, panel discussion "Ultra-low interest rates in insurance business" at Conference Insurance, Mathematics and Economics, TU Wien, July 2017. (Details)
2016 Frey, Rüdiger. 2016. Modul Marktrisiko im Universitätslehrgang Finanzmarktaufsicht 15/17. Executive Academy, WU Wien (10. und 11.10.2016) . (Details)

Projects

2015
Stochastic Filtering and Corporate and Sovereign Credit Risk (2015-2020) (Details)
2014
PhD Programm: Vienna Graduate School of Finance (2014-2018) (Details)
2011
PhD Programm: Vienna Graduate School of Finance (2011-2014) (Details)
Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk (2011-2014) (Details)