Christoph Frei

Address

University of Alberta
Mathematical and Statistical Sciences
Edmonton AB T6G 2G1
Canada



Office:	CAB 621
Phone:	+1 780 492 3613
Email:
LinkedIn:


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Summary (version française)

Christoph is an associate professor of mathematical finance at the University of Alberta. He grew up in Switzerland and studied mathematics at ETH Zurich. During his PhD studies in mathematical finance at ETH Zurich, he worked in the financial industry. After receiving his PhD degree, Christoph was a researcher at École Polytechnique in Paris before joining the University of Alberta in 2010. In the first half of 2013, he was a visiting professor at ETH Zurich. Recently, he was the main organizer of the PIMS Summer School 2016 in Mathematical Finance and the Sixth International IMS-FIPS Workshop. Christoph is the Chair of the scholarships and fellowships selection committee for mathematical sciences of the Natural Sciences and Engineering Research Council of Canada. His current research is in mathematical finance (algorithmic trading and optimal investment under systemic risk) as well as mathematical economics (game theory and contract theory in continuous time).

Preprints and Publications

• Frei, C. and Westray, N. (2016):
  Optimal Execution in Hong Kong given a Market-On-Close Benchmark
  
  
• Capponi, A. and Frei, C. (2016):
  Systemic Influences on Optimal Equity-Credit Investment (Online Appendix),
  accepted for publication in Management Science
  
  
• Bernard, B. and Frei, C. (2016):
  The Folk Theorem with Imperfect Public Information in Continuous Time (Online Appendix),
  Theoretical Economics 11, 411-453
  
  
• Capponi, A. and Frei, C. (2015):
  Dynamic Multitasking: Accidents Lead to Nonlinear Contracts,
  SIAM Journal on Financial Mathematics 6, 959-983
  
  
• Frei, C. and Westray, N. (2015):
  Optimal Execution of a VWAP Order: a Stochastic Control Approach,
  Mathematical Finance 25, 612-639
  
  
• Frei, C. (2014):
  Splitting Multidimensional BSDEs and Finding Local Equilibria,
  Stochastic Processes and their Applications 124, 2654-2671
  
  
• Schildbach, G., Fagiano, L., Frei, C. and Morari, M. (2014):
  The Scenario Approach for Stochastic Model Predictive Control with Bounds on Closed-Loop Constraint Violations,
  Automatica 50, 3009-3018
  
  
• Frei, C. (2013):
  Convergence Results for the Indifference Value based on the Stability of BSDEs,
  Stochastics 85, 464-488
  
  
• Frei, C. and dos Reis, G. (2013):
  Quadratic FBSDE with Generalized Burger's Type Nonlinearities, PDE Perturbation and Large Deviations,
  Stochastics and Dynamics 13
  
  
• Frei, C., Mocha, M. and Westray, N. (2012):
  BSDEs in Utility Maximization with BMO Market Price of Risk,
  Stochastic Processes and their Applications 122, 2486-2519
  
  
• Frei, C. and dos Reis, G. (2011):
  A Financial Market with Interacting Investors: Does an Equilibrium Exist?,
  Mathematics and Financial Economics 4, 161-182
  
  
• Frei, C., Malamud, S. and Schweizer, M. (2011):
  Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation,
  Probability Theory and Related Fields 150, 219-255
  
  
• Frei, C. and Schweizer, M. (2009):
  Exponential Utility Indifference Valuation in a General Semimartingale Model,
  in: Delbaen, F., Rásonyi, M. and Stricker, C. (eds.), Optimality and Risk - Modern Trends in Mathematical Finance. The Kabanov Festschrift, Springer, 49-86
  
  
• Frei, C. and Schweizer, M. (2008):
  Exponential Utility Indifference Valuation in Two Brownian Settings with Stochastic Correlation,
  Advances in Applied Probability 40, 401-423
  
  

Dissertation

• Frei, C. (2009):
  Exponential Utility Indifference Valuation: Correlation, Semimartingales, BSDEs, Convergence,
  Diss. ETH No. 18494, ETH Zürich