| The Scenario Approach for Stochastic Model Predictive Control with Bounds on Closed-Loop Constraint Violations G Schildbach, L Fagiano, C Frei, M Morari Automatica 50 (12), 3009–3018, 2014 | 292 | 2014 |
| A Financial Market with Interacting Investors: Does an Equilibrium Exist? C Frei, G Dos Reis Mathematics and Financial Economics 4 (3), 161–182, 2011 | 90 | 2011 |
| Optimal Execution of a VWAP Order: A Stochastic Control Approach C Frei, N Westray Mathematical Finance 25 (3), 612–639, 2015 | 77 | 2015 |
| Splitting Multidimensional BSDEs and Finding Local Equilibria C Frei Stochastic Processes and their Applications 124 (8), 2654–2671, 2014 | 40 | 2014 |
| Exponential Utility Indifference Valuation in Two Brownian Settings with Stochastic Correlation C Frei, M Schweizer Advances in Applied Probability 40 (2), 401–423, 2008 | 35 | 2008 |
| Moment Estimators for Autocorrelated Time Series and their Application to Default Correlations C Frei, M Wunsch Journal of Credit Risk 14 (1), 1–29, 2018 | 24 | 2018 |
| Dynamic Contracting: Accidents Lead to Nonlinear Contracts A Capponi, C Frei SIAM Journal on Financial Mathematics 6 (1), 959–983, 2015 | 24 | 2015 |
| Exponential Utility Indifference Valuation in a General Semimartingale Model C Frei, M Schweizer Optimality and Risk-Modern Trends in Mathematical Finance, 49–86, 2009 | 20 | 2009 |
| Convergence Results for the Indifference Value based on the Stability of BSDEs C Frei Stochastics 85 (3), 464–488, 2013 | 17* | 2013 |
| Systemic Influences on Optimal Equity-Credit Investment A Capponi, C Frei Management Science 63 (8), 2756–2771, 2017 | 15 | 2017 |
| Principal Trading Arrangements: When Are Common Contracts Optimal? M Baldauf, C Frei, J Mollner Management Science 68 (4), 2377–3174, 2022 | 14* | 2022 |
| The Folk Theorem with Imperfect Public Information in Continuous Time B Bernard, C Frei Theoretical Economics 11 (2), 411–453, 2016 | 14 | 2016 |
| Quadratic FBSDE with Generalized Burger's Type Nonlinearities, PDE Perturbation and Large Deviations C Frei, G Dos Reis Stochastics and Dynamics 13 (02), 1250015, 2013 | 13 | 2013 |
| Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation C Frei, S Malamud, M Schweizer Probability Theory and Related Fields 150 (1–2), 219–255, 2011 | 13 | 2011 |
| Recent Regulation in Credit Risk Management: A Statistical Framework L Ewanchuk, C Frei Risks 7 (2), 40, 2019 | 12 | 2019 |
| A Stochastic Model for Cancer Metastasis: Branching Stochastic Process with Settlement C Frei, T Hillen, A Rhodes Mathematical Medicine and Biology: A Journal of the IMA 37 (2), 153–182, 2020 | 10 | 2020 |
| BSDEs in Utility Maximization with BMO Market Price of Risk C Frei, M Mocha, N Westray Stochastic Processes and their Applications 122 (6), 2486–2519, 2012 | 10 | 2012 |
| Counterparty Risk in Over-the-Counter Markets C Frei, A Capponi, C Brunetti Journal of Financial and Quantitative Analysis 57 (3), 1058–1082, 2022 | 7* | 2022 |
| Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact M Baldauf, C Frei, J Mollner Available at SSRN 3778956, 2023 | 6 | 2023 |
| A New Approach to Risk Attribution and its Application in Credit Risk Analysis C Frei Risks 8 (2), 65, 2020 | 6 | 2020 |
Agostino CapponiColumbia UniversityVerified email at columbia.edu
