Chris Frei

Area of Study / Keywords

Mathematical Finance Mathematical Economics FinTech Risk Management

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About

Christoph is a professor of mathematical finance at the University of Alberta and currently serves as the Chair 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. In addition to his research, he contributed substantially to the undergraduate and graduate student experience: he developed a calculus stream for business and economics, established links to the finance and risk industry, served as the Associate Chair Graduate of the Department in 2021/22, and was the Department's Interim Chair in 2022/23. 

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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).

Markus Baldauf, Christoph Frei, and Joshua Mollner

Journal of Financial Economics. 2024 October; 10.1016/j.jfineco.2024.103901

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Christoph Frei, Qianhong Huang

Mathematics and Financial Economics. 2023 September; 10.1007/s11579-023-00341-z

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Bohdan Horak, Christoph Frei

Applied Economics Letters. 2023 February; 10.1080/13504851.2023.2176434

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Christoph Frei, Liam Welsh

Journal of Risk and Financial Management. 2022 May; 10.3390/jrfm15050209

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Christoph Frei, Agostino Capponi, Celso Brunetti

Journal of Financial and Quantitative Analysis. 2022 May; 10.1017/S0022109021000491

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Markus Baldauf, Christoph Frei, Joshua Mollner

Management Science. 2022 April; 10.1287/mnsc.2021.4022

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