Concepedia
Statistics
Publications
12
Citations
575
H-Index
11
Active since
1993
Affiliations
University of Alberta(Current)
Technische Universität Berlin
ETH Zurich
Christoph Frei is an author at University of Alberta specializing in finance, financial economics, and economics.
Publications per year
1993–2021
The scenario approach for Stochastic Model Predictive Control with bounds on closed-loop constraint violations
Georg Schildbach, Lorenzo Fagiano, Christoph Frei et al. · Automatica · 2014 · 274 citations · Full text
Engineering, Industrial Engineering, Optimization +15
A financial market with interacting investors: does an equilibrium exist?
Christoph Frei, Gonçalo dos Reis · Mathematics and Financial Economics · 2011 · 82 citations
Business, Economics, Finance +13
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
Christoph Frei, Nicholas Westray · Mathematical Finance · 2013 · 71 citations
Business, Economics, Finance +16
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Christoph Frei, Martin Schweizer · Advances in Applied Probability · 2008 · 31 citations
Business, Economics, Finance +14
Splitting multidimensional BSDEs and finding local equilibria
Christoph Frei · Stochastic Processes and their Applications · 2014 · 29 citations
Social Sciences, Economics, Finance +17
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