Chris Frei

Professor, Faculty of Science - Mathematics & Statistical Sciences
Associate Chair Graduate, Faculty of Science - Mathematics & Statistical Sciences

Pronouns: he/him

Contact

Professor, Faculty of Science - Mathematics & Statistical Sciences
Email
cfrei@ualberta.ca
Address
621 Central Academic Building
11324 - 89 Ave NW
Edmonton AB
T6G 2G1

Associate Chair Graduate, Faculty of Science - Mathematics & Statistical Sciences
Email
mssacg@ualberta.ca
Phone
(780) 492-8203
Address
632A-1 Central Academic Building
11324 - 89 Ave NW
Edmonton AB
T6G 2G1

Availability
By appointment via email

Overview

Area of Study / Keywords

Mathematical Finance Mathematical Economics FinTech Risk Management


About

Christoph is a professor of mathematical finance at the University of Alberta and currently serves as the Associate Chair Graduate of the Department of Mathematical and Statistical Sciences. He grew up in Switzerland and studied mathematics at ETH Zurich. During his PhD studies in mathematical finance at ETH Zurich, he worked in the financial industry. After receiving his PhD degree, Christoph was a researcher at École Polytechnique in Paris before joining the University of Alberta in 2010. In the first half of 2013, he was a visiting professor at ETH Zurich. In 2016, he was the main organizer of the PIMS Summer School in Mathematical Finance and the Sixth International IMS-FIPS Workshop. Christoph chaired the scholarships and fellowships selection committee for mathematical sciences of the Natural Sciences and Engineering Research Council of Canada. While on sabbatical from the University of Alberta in the academic year 2016/7, Christoph was working on research projects about the market of credit default swaps at the U.S. Federal Reserve Board and on an independent verification of risk models with UBS in the U.S. regulatory context. In 2020, Christoph was awarded a McCalla Professorship.


Research

My current research is in mathematical finance (algorithmic trading and credit risk management) and mathematical economics (over-the-counter markets and the economics of digital currencies).

Courses

MATH 408 - Computational Finance

Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471, or E E 387 and consent of the Department.

Fall Term 2021
MATH 508 - Computational Finance

Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471 or FIN 654 or ECON 598 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 408.

Fall Term 2021
MATH 601 - Graduate Colloquium

Credit for this course can be obtained twice.

Fall Term 2021 Winter Term 2022
MATH 900A - Directed Research Project

Open only to students taking the MSc non-thesis option in mathematics.

Fall Term 2021 Winter Term 2022
MATH 900B - Directed Research Project

Open only to students taking the MSc non-thesis option in mathematics.

Fall Term 2021 Winter Term 2022
STAT 900A - Directed Research Project

Open only to students taking the MSc non-thesis option in statistics.

Fall Term 2021 Winter Term 2022
STAT 900B - Directed Research Project

Open only to students taking the MSc non-thesis option in statistics.

Fall Term 2021 Winter Term 2022
STAT 901 - Practicum in Statistics I

Open only to students taking the MSc non-thesis option in Statistics.

Fall Term 2021 Winter Term 2022
STAT 902 - Practicum in Statistics II

Open only to students taking the MSc non-thesis option in Statistics.

Fall Term 2021

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