Research output per year
Research output per year
Personal profile
Curriculum Vitae
Full professor for Mathematics and Finance, Vienna University of Economics and Business (ongoing)
2011 → 2024
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
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
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Detecting rough volatility: a filtering approach
Damian, C. & Frey, R., 2024, In: Quantitative Finance. 24, 10, p. 1493-1508Publication: Scientific journal › Journal article › peer-review
Open Access -
Detecting Rough Volatility: A Filtering Approach
Damian, C. & Frey, R., 24 Feb 2023.Publication: Working/Discussion Paper › Working Paper/Preprint
Open AccessFile29 Downloads (Pure) -
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
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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
Activities
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Steady Does It? On the impact of tax uncertainty on investment into carbon abatement technologies
Frey, R. (Speaker)
19 Sept 2023Activity: Talk or presentation › Science to science
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Research Seminar at Centre for Risk Analytics, Macquarie University Sydney, Australia
Frey, R. (Participant)
28 May 2023Activity: Event participation/organisation › Invitation to research seminar
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Steady Does It? On the impact of tax uncertainty on investment into carbon abatement technologies
Frey, R. (Speaker)
28 Apr 2023Activity: Talk or presentation › Science to science
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Steady Does it? On the impact of tax uncertainty on investment into carbon abatement technologies
Frey, R. (Speaker)
20 Apr 2023Activity: Talk or presentation › Science to science
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Institute for Statistics and Mathematics (Organisational unit)
Frey, R. (Member)
2023 → …Activity: Membership/function › University self-administration, Cooperation manager
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VGSF: Vienna Graduate School of Finance
Cuchiero, C. (Researcher), Frey, R. (Researcher), Gehrig, T. (Researcher), Hautsch, N. (Researcher), Jankowitsch, R. (Researcher), Laux, C. (Researcher), Loranth, G. (Researcher), Mürmann, A. (PI - Project head), Pichler, S. (Researcher), Rammerstorfer, M. (Researcher), Randl, O. (Researcher), Sögner, L. (Researcher), Strobl, G. (Researcher), Wagner, C. (Researcher), Zechner, J. (Researcher), Lieder, C. (Contact person for administrative matters) & Schäfer, L. (Contact person for administrative matters)
1/10/24 → 30/09/28
Project: Research funding
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Vienna Graduate School of Finance
Mürmann, A. (PI - Project head), Frey, R. (Researcher), Gehrig, T. (Researcher), Hautsch, N. (Researcher), Jankowitsch, R. (Researcher), Laux, C. (Researcher), Loranth, G. (Researcher), Pichler, S. (Researcher), Strobl, G. (Researcher), Sögner, L. (Researcher), Wagner, C. (Researcher) & Zechner, J. (Researcher)
1/09/18 → 31/08/22
Project: Research funding
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Stochastic Filtering and Corporate and Sovereign Credit Risk
Frey, R. (PI - Project head), Damian, C. (Researcher), Hirk, R. (Researcher), Hornik, K. (Researcher), Pichler, S. (Researcher) & Szölgyenyi, M. (Researcher)
1/04/15 → 31/03/20
Project: Research funding
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PhD Programm: Vienna Graduate School of Finance
Dockner, E. (Researcher), Frey, R. (Researcher), Geyer, A. (Researcher), Jankowitsch, R. (Researcher), Laux, C. (Researcher), Mürmann, A. (Researcher), Pichler, S. (Researcher), Stoughton, N. (Researcher) & Zechner, J. (Researcher)
1/03/14 → 28/02/18
Project: Research funding
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Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk
Frey, R. (PI - Project head)
1/12/11 → 1/08/14
Project: Research funding