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Christoph Frei

Observed names: CHRISTOPH FREI, Frei, Christoph, Frei, Christoph Martin
ORCID: 0000-0001-7284-3064
Observed ORCID: 0000-0001-7284-3064
OpenAlex ID: A5022464627
The scenario approach for Stochastic Model Predictive Control with bounds on closed-loop constraint violations
2014 · Georg Schildbach, Lorenzo Fagiano, et al. · Automatica · 276
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A financial market with interacting investors: does an equilibrium exist?
2011 · Christoph Frei, Gonçalo dos Reis · Mathematics and Financial Economics · 78
Optimal Execution of a Vwap Order: a Stochastic Control Approach
2013 · Christoph Frei, Nicholas Westray · Mathematical Finance · 65
Splitting multidimensional BSDEs and finding local equilibria
2014 · Christoph Frei · Stochastic Processes and their Applications · 29
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Exponential utility indifference valuation in two Brownian settings with stochastic correlation
2008 · Christoph Frei, Martin Schweizer · Advances in Applied Probability · 29
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Dynamic Contracting: Accidents Lead to Nonlinear Contracts
2015 · Agostino Capponi, Christoph Frei · SIAM Journal on Financial Mathematics · 24
Principal Trading Arrangements: When Are Common Contracts Optimal?
2021 · Markus Baldauf, Christoph Frei, et al. · Management Science · 19
Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations
2017 · Christoph Frei, Marcus Wunsch · The Journal of Credit Risk · 15
Open Banking: Opportunities and Risks
2023 · Christoph Frei · Palgrave studies in financial services technology · 14
Systemic Influences on Optimal Equity-Credit Investment
2016 · Agostino Capponi, Christoph Frei · Management Science · 14
Exponential Utility Indifference Valuation in a General Semimartingale Model
2009 · Christoph Frei, Martin Schweizer · Springer eBooks · 14
Convergence results for the indifference value based on the stability of BSDEs
2012 · Christoph Frei · Stochastics · 11
A stochastic model for cancer metastasis: branching stochastic process with settlement
2019 · Christoph Frei, Thomas Hillen, et al. · Mathematical Medicine and Biology A Journal of the IMA · 10
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Quadratic Fbsde With Generalized Burgers' Type Nonlinearities, Perturbations and Large Deviations
2012 · CHRISTOPH FREI, GONÇALO DOS REIS · Stochastics and Dynamics · 9
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Counterparty Risk in Over-the-Counter Markets
2021 · Christoph Frei, Agostino Capponi, et al. · Journal of Financial and Quantitative Analysis · 8
BSDEs in utility maximization with BMO market price of risk
2012 · Christoph Frei, Markus Mocha, et al. · Stochastic Processes and their Applications · 8
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Convexity bounds for BSDE solutions, with applications to indifference valuation
2010 · Christoph Frei, Semyon Malamud, et al. · Probability Theory and Related Fields · 8
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Block trade contracting
2024 · Markus Baldauf, Christoph Frei, et al. · Journal of Financial Economics · 7
Recent Regulation in Credit Risk Management: A Statistical Framework
2019 · Logan Ewanchuk, Christoph Frei · Risks · 7
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The folk theorem with imperfect public information in continuous time
2016 · Benjamin Bernard, Christoph Frei · Theoretical Economics · 7
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Optimal Closing Benchmarks
2019 · Christoph Frei, Joshua Mitra · Finance research letters · 5
A New Approach to Risk Attribution and Its Application in Credit Risk Analysis
2020 · Christoph Frei · Risks · 4
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Managing Counterparty Risk in OTC Markets
2017 · Christoph Frei, Agostino Capponi, et al. · Finance and Economics Discussion Series · 4
Traditional and Digital Currencies in Over-the-Counter Markets
2020 · Christoph Frei, Qianhong Huang · Mathematics and Financial Economics · 2
Optimal execution in Hong Kong given a market-on-close benchmark
2017 · Christoph Frei, Nicholas Westray · Quantitative Finance · 2
Works count: 46
Citation count: 672
H-index: 11
I10-index: 13
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