Damian, Camilla, Frey, Rüdiger. 2023. Detecting Rough Volatility: A Filtering Approach.

Colaneri, Katia, Damian, Camilla, Frey, Rüdiger. 2022. Invisible Infections: A Partial Information Approach For Estimating The Transmission Dynamics Of The Covid-19 Pandemic.

Frey, Rüdiger, Köck, Verena. 2022. Convergence Analysis of the Deep Splitting Scheme: The Case of Partial Integro Differential Equations and the Associated FBSDEs With Jumps.

Frey, Rüdiger, Köck, Verena. 2022. Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance. Computation 10 (11), 201. doi.org/10.3390/computation10110201

Kurt, Kevin, Frey, Rüdiger. 2022. Markov-modulated affine processes. Stochastic Processes and their Applications 153, 391-422. doi.org/10.1016/j.spa.2022.08.009

Colaneri, Katia, Frey, Rüdiger. 2021. Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. Insurance: Mathematics and Economics 101, Part B, 498-507. doi.org/10.1016/j.insmatheco.2021.09.003

Ceci, Claudia, Colaneri, Katia, Frey, Rüdiger, Köck, Verena. 2020. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM Journal on Financial Mathematics 11 (3), 788-814. doi.org/10.1137/19M1283045

Frey, Rüdiger, Kurt, Kevin, Damian, Camilla. 2020. How safe are european safe bonds? An analysis from the perspective of modern credit risk models. Journal of Banking & Finance 119. doi.org/10.1016/j.jbankfin.2020.105939

Colaneri, Katia, Eksi, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2019. Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications 130 (4), 1913-1946. doi.org/10.1016/j.spa.2019.06.004

Frey, Rüdiger, Rösler, Lars, Lu, Dan. 2019. Corporate Security Prices in Structural Credit Risk Models with Incomplete Information. Mathematical Finance 29, 84-116. doi.org/10.1111/mafi.12176

Frey, Rüdiger, Hledik, Juraj. 2018. Diversification and Systemic Risk: A Financial Network Perspective. Risks 6(2), 54. http://doi.org/10.3390/risks6020054

Damian, Camilla, Eksi, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed via Gaussian Noise and Point Process Information: Theory and Case Studies. Statistics & Risk Modeling 35 (1-2): 51–72. doi.org/10.1515/strm-2017-0021

Herbertsson, Alexander, Frey, Rüdiger. 2014. Parameter Estimation in Credit Models Under Incomplete Information. Communications in Statistics. Theory and Methods 43 (7): 1409-1436.

Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2014. Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach. Communications in Stochastic Analysis 8 (1): 49-79.

Frey, Rüdiger, Rösler, Lars. 2014. Contagion Effects And Collateralized Credit Value Adjustments For Credit Default Swaps. International Journal of Theoretical and Applied Finance 17 (7).

Frey, Rüdiger, Schmidt, Thorsten, Xu, Ling. 2013. On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations. SIAM Journal on Numerical Analysis (Society for Industrial and Applied Mathematics) 51 (4): 2036-2062.

Frey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf. 2012. Portfolio optimization under partial information with expert opinions. International Journal of Theoretical and Applied Finance 15 (1): 1250009-1-18.

Frey, Rüdiger, Schmidt, Thorsten. 2012. Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering. Finance and Stochastics 16 (1): 105-133.

Frey, Rüdiger, Polte, Ulrike. 2011. Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions. SIAM Journal on Control and Optimization (Society for Industrial and Applied Mathematics) 49 (1): 185-204.

Frey, Rüdiger, Backhaus, Jochen. 2010. Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion. Journal of Economic Dynamics and Control 34: 710-724.

Frey, Rüdiger, Runggaldier, Wolfgang. 2010. Pricing Credit Derivatives under Incomplete Information: a Nonlinear-Filtering Approach. Finance and Stochastics 14 (4): 495-526.

Frey, Rüdiger, Seydel, Roland. 2010. Optimal Securitization of Credit Portfolios via Impulse Control. Mathematics and Financial Economics 4 (1): 1-28.

Frey, Rüdiger, Schmidt, Thorsten. 2009. Pricing corporate securities with noisy asset information. Mathematical Finance 19: 403-421.

Frey, Rüdiger, Popp, Monika, Weber, Stefan. 2008. An Approximation for credit portfolio losses. The Journal of Credit Risk 4 (1): 3-20.

Frey, Rüdiger, Backhaus, Jochen. 2008. Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities. International Journal of Theoretical and Applied Finance 11 (6): 611-634.

Frey, Rüdiger, Eberlein, E, Kalkbrener, M, Overbeck, L. 2007. Mathematics in Financial Risk Management. Jahresbericht der DMV 109: 156-161.

Frey, Rüdiger, McNeil, Alexander. 2003. Dependent defaults in models of portfolio credit risk. Journal of Risk 6 (1): 59-92.

Frey, Rüdiger, McNeil, Alexander. 2002. VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights. Journal of Banking and Finance 26: 1317-1334.

Frey, Rüdiger, McNeil, Alexander, Nyfeler, M. 2001. Copulas and Credit Risk. Risk ---.

Frey, Rüdiger, Runggaldier, W. 2001. A nonlinear filtering approach to volatility estimation with a view towards high frequency data. International Journal of Theoretical and Applied Finance 4: 1-12.

Frey, Rüdiger, McNeil, Alexander. 2000. Estimation of Tail-Related Risk Measures for Hetteroscedastic Financial Time Series: an Extreme Value Approach. Journal of Empirical Finance 7: 271-300.

Frey, Rüdiger. 2000. Risk-Minimization with incomplete information in a model for high frequency data. Mathematical Finance (10): 215-226.

Frey, Rüdiger. 2000. Superreplication in Stochastic Volatility Models and Optimal Stopping. Finance and Stochastics (4): 161-188.

Frey, Rüdiger, Runggaldier, W. 1999. Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observed only at discrete random times. Mathematical Methods of Operations Reserarch (formerly: Zeitschrift für Operations Research (ZOR)) (50): 339-350.

Frey, Rüdiger, Sin, Carlos. 1999. Bound on European Option Prices under Stochastic Volatility. Mathematical Finance 9: 97-116.

Frey, Rüdiger, Sommer, Daniel. 1998. The generalization of the Geske-formula for compound options to stochastic interest rate is not trivial - a note. Journal of Applied Probability 35: 501-509.

Frey, Rüdiger. 1998. Perfect Option Hedging for a Large Trader. Finance and Stochastics (2): 115-148.

Frey, Rüdiger, Stremme, Alexander. 1997. Market Volatility and Feedback Effects from Dynamic Hedging. Mathematical Finance 7 (4): 351-374.

Frey, Rüdiger. 1997. Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility. CWI Quarterly 10: 1-34.

Frey, Rüdiger, Sommer, Daniel. 1996. A Systematic Approach to Pricing and Hedging of International Derivatives with Interest Rate Risk. Applied Mathematical Finance 3: 295-317.

Frey, Rüdiger, Runggaldier, W. 2011. Nonlinear Filtering in Models for Interest-Rate and Credit Risk. In: Handbook of Nonlinear Filtering, Hrsg. D.Crisan, B. Rozovski, 923-959. New York: Oxford Univ. Press.

Frey, Rüdiger, Schmidt, T. 2011. Filtering and Incomplete Information in Credit Risk. In: Recent Advancements in the Theory and Practice of Credit Derivatives, Hrsg. D. Brigo, T. Bielecki, F. Patras, ---. New Jersey: Wiley.

Frey, Rüdiger, Bordag, Ljudmila. 2009. Pricing options in illiquid markets: symmetry reductions and exact solutions. In: Nonlinear Models in Mathematical Finance New Research Trends in Option Pricing, Hrsg. Matthias Ehrhardt, 103-129. New York: Nova Science Publishers.

Frey, Rüdiger, Patie, Pierre. 2002. Risk Management for Derivatives in Illiquid Markets: A Simulation Study. In: Advances in Finance and Stochastics, Hrsg. Sandmann, Klaus; Schönbucher, Philip J. (Eds.), 137-160. Berlin: Springer.

Frey, Rüdiger, Embrechts, P, Furrer, H. 2001. Stochastic Processes in Insurance and Finance. In: Handbook of Statistics. Vol 19, Hrsg. D. Shanbag, C.R. Rao,, 365-412. North Holland: Elsevier.

Frey, Rüdiger. 2000. Market Illiquidities as a Source of Model Risk in Dynamic Hedging. In: Model Risk, Hrsg. Rajna Gibson, 125-138. London: Risk Publications.

Frey, R. and Backhaus, J. 2004. Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach. Preprint, Department of Mathematics, Universität Leipzig.

Frey, R. and McNeil, A. 2001. Modelling Dependent Defaults. Preprint, Universität and ETH Zürich.

Frey, R. and Michaud, P. 1997. The Effect of GARCH-type Volatilities on Prices and Payoff-Distributions of Derivative Assets - a Simulation Study. Preprint, ETH Zürich.

Frey, Rüdiger. 2017. EM Algorithm for Diffusion and Point Process Information: Theory, Numerical Experiments and Applications to Credit Risk. Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL Lausanne, Switzerland, 29.05.-02.06.

Frey, Rüdiger. 2017. Optimal Liquidation under partial information with price impact. 3rd Berlin-Princeton-Singapore workshop on Quantitative Finance. (Keynote lecture), Humboldt University, Berlin, Deutschland, 19.04.-22.04.

Frey, Rüdiger. 2014. Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps. Mathematics in Finance 2014, Skukuza, Kruger National Park, Südafrika, 24.08.-29.08.

Frey, Rüdiger. 2013. Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles. The Quantitative Methods in Finance 2013 Conference, Sydney, Australien, 17.12.-20.12.