Christoph Frei
Finance · 2011–2015
A researcher in the Science corpus: 3 papers; trusts 6 researchers and is trusted by 4 researchers here, as inferred from the citation graph.
Subfields
- Finance — 10 citations into it; #8,053 of 10,518 by trust here, #7,575 by citations
- Control and Systems Engineering — 6 citations into it; #7,344 of 8,257 by trust here, #7,140 by citations
- Economics and Econometrics — 5 citations into it; #17,513 of 23,481 by trust here, #17,969 by citations
Whom Christoph Frei trusts overall
Their strongest outbound trust, strongest first, inferred from their citations.
- Jim Gatheral
- Revaz Tevzadze
- Ying Hu
- P. Briand
- Alexander Schied
- M. Kobylanski
- Jan M. Maciejowski
- Tomas Björk
- Dorje C. Brody
Who trusts Christoph Frei overall
Papers from Christoph Frei's perspective
Ordered by how strongly the researchers Christoph Frei trusts endorse each paper. Same corpus, a different order for every researcher.
- Backward stochastic differential equations and partial differential equations with quadratic growth
- Direct Estimation of Equity Market Impact
- No-dynamic-arbitrage and market impact
- Utility maximization in incomplete markets
- Solvability of backward stochastic differential equations with quadratic growth
- Optimal execution for portfolio transactions
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Dam rain and cumulative gain (Proceedings of the Royal Society A)
- Predictive control : with constraints
- A Probabilistic Particle-Control Approximation of Chance-Constrained Stochastic Predictive Control (IEEE Transactions on robotics)
Their papers
- A financial market with interacting investors: does an equilibrium exist? (2011) — 97 citations
- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2015) — 69 citations
- The scenario approach for Stochastic Model Predictive Control with bounds on closed-loop constraint violations (2013) — 311 citations