### Publications and Preprints

- Baldauf, M., Frei, C. and Mollner, J. (2023):

Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact

- Horak, B. and Frei, C. (2023):

Cannabis Legalization: Do Banking Transactions Reflect a Shift Away from the Illegal Market?

- 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**

- 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

- Frei, C. (2009):

Exponential Utility Indifference Valuation: Correlation, Semimartingales, BSDEs, Convergence,

*Diss. ETH No. 18494*, ETH Zürich