Articles
- Horak, B. and Frei, C. (2025):
Bayesian Clustering for Portfolio Credit Risk
- Baldauf, M., Frei, C. and Mollner, J. (2024):
Block Trade Contracting,
Journal of Financial Economics 160, 103901
- Horak, B. and Frei, C. (2024):
Cannabis Legalization: Do Banking Transactions Reflect a Shift Away from the Illegal Market?,
Applied Economics Letters 31, 1104–1111
- Frei, C. and Huang, Q. (2023):
Traditional and Digital Currencies in Over-the-Counter Markets,
Mathematics and Financial Economics 17, 457–497
- Frei, C. (2023):
Open Banking: Opportunities and Risks,
in: Walker, T., Nikbakht, E., and Kooli, M. (eds.),
The Fintech Disruption: How Financial Innovation Is Transforming the Banking Industry., Palgrave Macmillan, 167–189
- Baldauf, M., Frei, C. and Mollner, J. (2022):
Principal Trading Arrangements: When Are Common Contracts Optimal?,
Management Science 68, 3112–3128
Best Paper in Asset Pricing (SFS Cavalcade North America, 2019)
- Frei, C., Capponi, A. and Brunetti, C. (2022):
Counterparty Risk in Over-the-Counter Markets,
Journal of Financial and Quantitative Analysis 57, 1058–1082
an earlier version appeared in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System
- Frei, C. and Welsh, L. (2022):
How the Closure of a U.S. Tax Loophole May Affect Investor Portfolios,
Journal of Risk and Financial Management 15, 209
- Frei, C. and Mitra, J. (2021):
Optimal Closing Benchmarks,
Finance Research Letters 40, 101674
- Frei, C. (2020):
A New Approach to Risk Attribution and its Application in Credit Risk Analysis,
Risks 8, 65
- Frei, C., Hillen, T. and Rhodes, A. (2020):
A Stochastic Model for Cancer Metastasis: Branching Stochastic Process with Settlement,
Mathematical Medicine and Biology 14, 153–182
- Ewanchuk, L. and Frei, C. (2019):
Recent Regulation in Credit Risk Management: A Statistical Framework,
Risks 7, 40
- Frei, C. and Westray, N. (2018):
Optimal Execution in Hong Kong given a
Market-On-Close Benchmark,
Quantitative
Finance 18, 655–671
- Frei, C. and Wunsch, M. (2018):
Moment Estimators for Autocorrelated Time
Series and
their Application to Default Correlations (Online Appendix),
Journal of Credit Risk 14, 1–29
- Frei, C. and Yan, C. (2018):
An Explicit Optimal Strategy for Flow Trades at NASDAQ around its Close,
in: Kilgour, M. et al. (eds.),
Recent Advances in Mathematical and Statistical Methods, Springer, 499–508
- Capponi, A. and Frei, C. (2017):
Systemic Influences on Optimal Equity-Credit
Investment (Online Appendix),
Management
Science 63, 2756–2771
- 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 Contracting: 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, 1250015
- 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., 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 dos Reis, G. (2011):
A Financial Market with Interacting
Investors: Does an Equilibrium
Exist?,
Mathematics
and Financial Economics 4, 161–182
- 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
