Research output per year
Research output per year
Personal profile
Curriculum Vitae
Offer of a Full Professor position for "Stochastic Methods in Economics", TU Wien (declined)
2011
Full Professor (C4) for Financial Mathematics and Optimization, Universität Leipzig
2001 → 2011
Venia docendi for Finance, University of Zürich
2001
Assistant Professor for Quantitative Finance, Universität Zürich
1999 → 2001
UBS Research Fellow in Financial Mathematics (postdoctoral position), Department of Mathematics, ETH Zürich
1996 → 1999
PhD in Financial Economics, University of Bonn
1996
Research Assistant, Faculty of Economics, Universität Bonn
1994 → 1996
Doctoral education in Paris (DELTA, ENSAE, Paris VI
1993 → 1994
Diploma in Mathematics, University of Bonn
1992
Full professor for Mathematics and Finance, Vienna University of Economics and Business
2011 → …
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Publications
-
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance
Frey, R. & Köck, V., Nov 2022, In: Computation. 10, 11, 201.Publication: Scientific journal › Journal article › peer-review
Open Access -
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics
Frey, R. & Köck, V., 2022, Mathematical and Statistical Methods for Actuarial Sciences and Finance. Corazza, M., Perna, C., Pizzi, C. & Sibillo, M. (eds.). Cham, Schweiz: Springer, p. 272 - 277Publication: Chapter in book/Conference proceeding › Contribution to conference proceedings
-
Markov-modulated affine processes
Kurt, K. & Frey, R., Nov 2022, In: Stochastic Processes and their Applications. 153, p. 391-422Publication: Scientific journal › Journal article › peer-review
-
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Colaneri, K. & Frey, R., 2021, In: Insurance, Mathematics and Economics. 101, p. 498 - 507Publication: Scientific journal › Journal article › peer-review
-
Markov-modulated Affine Processes
Kurt, K. & Frey, R., 2021.Publication: Working/Discussion Paper › Working Paper/Preprint
Activities
-
Deep neural network algorithms for parabolic PIDEs and FBSDEJs: convergence and applications (joint with Verena Köck)
Rüdiger Frey (Speaker)
28 Apr 2022 → 29 Apr 2022Activity: Talk or presentation › Science to science
-
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Finance and Insurance (joint with Verena Köck)
Rüdiger Frey (Speaker)
31 Mar 2022 → 1 Apr 2022Activity: Talk or presentation › Science to science
-
York Management School, University of York, UK, 07.06.
Rüdiger Frey (Participant)
2022Activity: Event participation/organisation › Invitation to research seminar
-
University Tor Vergata, Rome, Italy, 29.10.
Rüdiger Frey (Participant)
2021Activity: Event participation/organisation › Invitation to research seminar
-
Vienna University of Economics and Business (Organisational unit)
Rüdiger Frey (Member)
2021 → …Activity: Membership/function › University self-administration, Cooperation manager
Projects
- 5 Finished
-
Vienna Graduate School of Finance
Mürmann, A., Frey, R., Gehrig, T., Hautsch, N., Jankowitsch, R., Laux, C., Loranth, G., Pichler, S., Strobl, G., Sögner, L., Wagner, C. & Zechner, J.
1/09/18 → 31/08/22
Project: Research funding
-
Stochastic Filtering and Corporate and Sovereign Credit Risk
Frey, R., Damian, C., Hirk, R., Hornik, K., Pichler, S. & Szölgyenyi, M.
1/04/15 → 31/03/20
Project: Research funding
-
PhD Programm: Vienna Graduate School of Finance
Dockner, E., Frey, R., Geyer, A., Jankowitsch, R., Laux, C., Mürmann, A., Pichler, S., Stoughton, N. & Zechner, J.
1/03/14 → 28/02/18
Project: Research funding
-
Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk
1/12/11 → 1/08/14
Project: Research funding
-
PhD Programm: Vienna Graduate School of Finance
Zechner, J., Frey, R., Geyer, A., Jankowitsch, R., Laux, C., Mürmann, A., Pichler, S. & Stoughton, N.
1/03/11 → 28/02/14
Project: Research funding