Research of Christoph Frei

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