http://www.macs.hw.ac.uk/~mcneil/

Alexander McNeil      image
Alexander J. McNeil
Department of Actuarial Mathematics and Statistics
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS
Scotland, UK


Tel.: +44 131 451 3230
Fax: +44 131 451 3249
email: A.J.McNeil at hw.ac.uk

Resources
Quantitative Risk Management: the book zone
Publications
PhD Students
Scottish Financial Risk Academy (SFRA)
Teaching
MSc in Quantitative Risk Management
Software
Data for downloading
Short biography
We are part of the Financial Services KTN
www.mathrisk.com
Find a job at Luchsinger Mathematics
QFINANCE, where you can read why "we need more quants in finance, not fewer".


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<<<< back <<<< zurück Publications Books             2005 McNeil A., Frey, R. and  Embrechts, P. "Quantitative Risk Management" Princeton University Press,  Princeton Series in Finance. Visit the official book  homepage at PUP or downloadtable of  contents and a free sample chapter             Current projects 2011 Frey, R., Schmidt, T. and Xu, L. "On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations" PDF                    Contributions to refereed journals 1996 Frey, R. and Sommer, D. "A  Systematic Approach to Pricing and Hedging of International Derivatives with  Interest Rate Risk", Applied Mathematical Finance 3, 295-317 (1996). PDF 1996 Frey, R. "Derivative Asset Analysis in Models with Level  Dependent and Stochastic Volatility", CWI Quaterly 10, no 1 (special issue on  the Mathematics of Finance) p 1-34. PS (372k) 1997 Frey, R. and  Stremme, A. "Market Volatility and Feedback Effects from Dynamic Hedging",  Mathematical Finance 7 (1997), p 351-374. PS (273k) PDF (297k) 1998 Frey, R. and  Sommer, D. "The Generalization of the Geske-Formula for Compound Options to  Stochastic Interest Rates is Not Trivial - a Note", Journal of Applied  Probability, June 1998. PS (203k) 1998 Frey, R.        "Perfect Option Replication for a Large Trader", Finance and Stochastics 2,  (1998), p 115-142. PS (465k) 1999 Frey, R. and  Sin, C.A. "Bounds on European Option Prices under Stochastic Volatility",  Mathematical Finance 9, (1999) p 97-116. PS (285k) 1999 Frey, R. and  Runggaldier, W. "Risk-minimizing hedging strategies under restricted  information: the case of stochastic volatility models observable only at  discrete random times", Mathematical Methods of Operations Research vol 50, No 3 (1999) 2000 McNeil, A. and Frey, R. "Estimation of Tail-Related  Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value  Approach", Journal of Empirical Finance 7, p 271-300, (2000). PS (564k) PDF (547k) 2000 Frey, R.  "Superreplication in Stochastic Volatility Models and Optimal Stopping",  Finance and Stochastics, vol 4 Nr 2, p 161-188 (2000). PS (394k) 2000 Frey, R.  "Risk-Minimization with Incomplete Information in a Model for High Frequency  Data", Mathematical Finance, vol 10, no 2 (2000). PS 2001 Frey, R. and  Runggaldier, W. "Nonlinear Filtering Techniques for Volatility Estimation with  a View towards High Frequency Data", International Journal of Theoretical and  Applied Finance 4, p 271-300 (2001). PS (520k) 2001 Frey, R. and  McNeil, A., Nyfeler, M. "Copulas and credit models", RISK, p 111-114,  (October 2001). PDF (360k) 2002 Frey, R. and  McNeil, A,. "VaR and expected shortfall in portfolios of dependent credit  risks: Conceptual and practical insights", Journal of Banking & Finance,  vol 26, p 1317-1334 (2002). PDF (326k) 2003 Frey, R. and  McNeil, A,. "Dependent Defaults in Models of Portfolio Credit Risk",  Journal of Risk 6(1) 59--92 (2003). An earlier working paper version is  available online. PDF (320k) 2007 Eberlein, E. and Frey, R. and Kalkbrener, M. and Overbeck, L.        "Mathematics in Financial Risk Management" (in Jahresbericht der  DMV) working-paper version as PDF(350k) 2008 Frey, R. and Popp, M. and Weber, S. "An  approximation for credit portfolio losses", The Journal of Credit Risk, vol  4, no1, p 3-20 (2008) PDF (250k) 2008 Frey, R. and Backhaus, J. "Pricing and Hedging of Portfolio Credit Derivatives  with Interacting Default Intensities" International Journal of Theoretical and Applied Finance, vol 11 (6), 611-634 (2008); PDF             2009 Frey, R. and Schmidt, T. "Pricing Corporate Securities under  Noisy Asset Information", Mathematical Finance 19, pp.~403 - 421.PDF (490k) 2010 Frey, R. and  Backhaus, J. "Dynamic hedging of synthetic CDO-tranches with spread- and  contagion risk", in Journal of Economic Dynamics and Control 34, 710--724 PDF (340k) 2010 Frey, R. and Runggaldier, W.J. "Pricing Credit Derivatives under  Incomplete Information: a Nonlinear-Filtering Approach", Finance  and Stochastics, 14 (4) pp. 495 - 526 PDF 2010 Frey, R. and Seydel, R.  "Optimal Securitization of Credit Portfolios via Impulse  Control", Mathematics and Financial Economics, 4 (1), pp. 1-28 PDF 2011 Frey, R. and Schmidt, T. "Pricing and Hedging of Credit  Derivatives via the Innovations Approach to Nonlinear Filtering" PDF (309k), Finance and Stochastics (online first Feb 2011 DOI 10.1007/sd00780 - 011 - 0153 - 0) 2011 Frey, R. and Polte, U.  "Nonlinear Black-Scholes Equations in Finance: Associated Control  Problems and Properties of Solutions" SIAM Journal of Control and Optimization, 49 (1) pp. 185 - 204 PDF 2011 Frey, R., Gabih, Abdelali and Wunderlich, Ralf  "Portfolio Optimization under Partial Information with Expert Opinions", preprint, department of mathematics, Universität Leipzig, to appear in International Journal of Theoretical and Applied Finance PDF 2012 Frey, R. and Lu, D. "Dynamics of Corporate Security Prices in Firm Value Models with Incomplete Information" PDF top Contributions to books 2000 Frey, R. "Market Iiquidity as a Source of Model Risk in  Dynamic Hedging in Model Risk", ed. by R. Gibson, RISK Publications, London  (2000) PS (230K) 2001 Embrechts, P.  and Frey, R. and Furrer, H.J. "Stochastic Processes in Finance and  Insurance", Handbook of Statistics, Volume 19 , p 365-412 (2001). Stochastic Processes: Theory and Methods, Edited by D.N. Shanbhag and C.R. Rao (North Holland). PS (750k) 2002 Frey, R. and  Patie, P. "Risk Management for Derivatives in Illiquid Markets: A Simulation  Study", ed. by Sandmann, K. and Schönbucher in Advances in Finance and  Stochastics, Berlin (2002). PDF 2011 Frey, R. and Schmidt, T. "Filtering and Incomplete  Information in Credit Risk", Chapter 7 in Recent Advancements in the Theory and Practice of Credit Derivativesk, Damiano Brigo, Tom Bielecki and Frederic Patras, ed., Wiley, New Jersey PDF 2011 Frey, R. and  Runggaldier, W.J. "Nonlinear Filtering in Models for Interest-Rate and Credit  Risk"  Chapter 32 in "Handbook of Nonlinear Filtering", D. Crisan, B. Rozovski, eds.,Oxford University Press        PDF Older working papers        1997 Frey, R. and Michaud, P.  "The Effect of GARCH-type Volatilities on Prices and Payoff-Distributions of  Derivative Assets - a Simulation Study" , preprint, ETH Zürich. PDF 2001 Frey, R. and McNeil,  A. "Modelling Dependent Defaults", preprint, Universität and ETH Zürich.        PS , PDF 2004 Frey, R. and  Backhaus, J. "Portfolio Credit Risk Models with Interacting Default  Intensities: a Markovian Approach", preprint, department of mathematics,  Universität Leipzig. PDF <<<< back <<<< zurück

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