Concepedia
Statistics
Publications
12
Citations
568
H-Index
10
Active since
1993
Affiliations
University of Alberta(Current)
Technische Universität Berlin
ETH Zurich
Christoph Frei is an author at University of Alberta specializing in business, engineering, and finance.
Top concepts
FinanceBusinessEngineeringEconomicsAsset PricingProbabilityFinancial EconomicsStochastic ProcessesManagementProcess Control
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 · 270 citations · Full text
Scenario Approach, Engineering, Closed-loop Constraint Violations +8
A financial market with interacting investors: does an equilibrium exist?
Christoph Frei, Gonçalo dos Reis · Mathematics and Financial Economics · 2011 · 80 citations
Market Microstructure, Financial Market, Economics +8
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
Christoph Frei, Nicholas Westray · Mathematical Finance · 2013 · 71 citations
Mathematical Programming, Engineering, Optimal Liquidation +20
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Christoph Frei, Martin Schweizer · Advances in Applied Probability · 2008 · 31 citations
Economics, Option Pricing, Brownian Settings +15
Splitting multidimensional BSDEs and finding local equilibria
Christoph Frei · Stochastic Processes and their Applications · 2014 · 29 citations
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