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1

Bond Market Structure in the Presence of Marked Point Processes

Tomas Björk, Yuri Kabanov, Wolfgang Runggaldier

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 198 KB

english, 1997

2

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Non-linear pricing theory and backward stochastic differential equations

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.64 MB

english, 1997

3

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio, Runggaldier, Wolfgang J.

Journal:

Journal of Mathematical Economics

Year:

2020

File:

PDF, 722 KB

2020

4

On diffusion approximations for filtering

Robert Sh. Liptser, Wolfgang J. Runggaldier

Journal:

Stochastic Processes and their Applications

Year:

1991

Language:

english

File:

PDF, 1.59 MB

english, 1991

5

A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA

FREY, RÜDIGER, RUNGGALDIER, WOLFGANG J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 254 KB

english, 2001

6

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Interest rate theory

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 2.78 MB

english, 1997

7

Option Pricing For Jump Diffusions: Approximations and Their Interpretation

Fabio Mercurio, Wolfgang J. Runggaldier

Journal:

Mathematical Finance

Year:

1993

Language:

english

File:

PDF, 437 KB

english, 1993

8

On the construction of ε-optimal strategies in partially observed MDPs

Wolfgang J. Runggaldier

Journal:

Annals of Operations Research

Year:

1991

Language:

english

File:

PDF, 705 KB

english, 1991

9

[SpringerBriefs in Quantitative Finance] Interest Rate Modeling: Post-Crisis Challenges and Approaches ||

Grbac, Zorana, Runggaldier, Wolfgang J.

Year:

2015

Language:

english

File:

PDF, 2.01 MB

english, 2015

10

Connections between stochastic control and dynamic games

Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier

Journal:

Mathematics of Control, Signals, and Systems (MCSS)

Year:

1996

Language:

english

File:

PDF, 1.16 MB

english, 1996

11

A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS

GOMBANI, ANDREA, RUNGGALDIER, WOLFGANG J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 286 KB

english, 2001

12

CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

FONTANA, CLAUDIO, RUNGGALDIER, WOLFGANG J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 401 KB

english, 2010

13

On hedging in finite security markets

Florio, Silvia, Runggaldier, Wolfgang J.

Journal:

Applied Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 269 KB

english, 1999

14

Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times

Rüdiger Frey, Wolfgang J. Runggaldier

Journal:

Mathematical Methods of Operations Research

Year:

1999

Language:

english

File:

PDF, 121 KB

english, 1999

15

Towards a general theory of bond markets

Tomas Björk, Giovanni Di Masi, Yuri Kabanov, Wolfgang Runggaldier

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 289 KB

english, 1997

16

[Radon Series on Computational and Applied Mathematics] Advanced Financial Modelling || Multilevel quasi-Monte Carlo path simulation

Albrecher, Hansjörg, Runggaldier, Wolfgang J., Schachermayer, Walter

Year:

2009

Language:

english

File:

PDF, 385 KB

english, 2009

17

A Stochastic Control Approach to Risk Management Under Restricted Information

Wolfgang J. Runggaldier, Anna Zaccaria

Journal:

Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 294 KB

english, 2000

18

On Classical and Restricted Impulse Stochastic Control for the Exchange Rate

Bertola, Giulio, Runggaldier, Wolfgang J., Yasuda, Kazuhiro

Journal:

Applied Mathematics & Optimization

Year:

2016

Language:

english

File:

PDF, 1.02 MB

english, 2016

19

Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process

Montes, Juan Miguel, Prezioso, Valentina, Runggaldier, Wolfgang J.

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 411 KB

english, 2014

20

A Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath

Runggaldier, Wolfgang

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 130 KB

english, 2011

21

Arbitrage and utility maximization in market models with an insider

Chau, Huy N., Runggaldier, Wolfgang J., Tankov, Peter

Journal:

Mathematics and Financial Economics

Year:

2018

Language:

english

File:

PDF, 544 KB

english, 2018

22

On control of two-scale stochastic systems with linear dynamics in the fast variables

Yuri M Kabanov, Wolfgang J. Runggaldier

Journal:

Mathematics of Control, Signals, and Systems (MCSS)

Year:

1996

Language:

english

File:

PDF, 692 KB

english, 1996

23

On necessary conditions for the existence of finite-dimensional filters in discrete time

Marco Ferrante, Wolfgang J. Runggaldier

Journal:

Systems & Control Letters

Year:

1990

Language:

english

File:

PDF, 373 KB

english, 1990

24

Handbook of Heavy Tailed Distributions in Finance || Jump-Diffusion Models

Runggaldier, Wolfgang J.

Year:

2003

Language:

english

File:

PDF, 378 KB

english, 2003

25

Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities

Kirch, Michael, Runggaldier, Wolfgang J.

Journal:

SIAM Journal on Control and Optimization

Year:

2004

Language:

english

File:

PDF, 245 KB

english, 2004

26

Concepts and methods for discrete and continuous time control under uncertainty

Wolfgang J. Runggaldier

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 845 KB

english, 1998

27

Expected Power-Utility Maximization Under Incomplete Information and with Cox-Process Observations

Fujimoto, Kazufumi, Nagai, Hideo, Runggaldier, Wolfgang J.

Journal:

Applied Mathematics & Optimization

Year:

2013

Language:

english

File:

PDF, 1.07 MB

english, 2013

28

On dynamic programming for sequential decision problems under a general form of uncertainty

Paolo Dai Pra, Wolfgang J. Runggaldier, Cristina Rudari

Journal:

Mathematical Methods of Operations Research

Year:

1997

Language:

english

File:

PDF, 990 KB

english, 1997

29

Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

Francesca Albertini, Wolfgang J. Runggaldier

Journal:

Applied Mathematics & Optimization

Year:

1988

Language:

english

File:

PDF, 848 KB

english, 1988

30

Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation

Runggaldier, Wolfgang J., Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

1993

Language:

english

File:

PDF, 3.43 MB

english, 1993

31

Consistent price systems for subfiltrations

Gombani, Andrea, Jaschke, Stefan, Runggaldier, Wolfgang

Journal:

ESAIM Probability and Statistics

Year:

2007

Language:

english

File:

PDF, 116 KB

english, 2007

32

A robustness result for stochastic control

Gino Favero, Wolfgang J. Runggaldier

Journal:

Systems & Control Letters

Year:

2002

Language:

english

File:

PDF, 123 KB

english, 2002

33

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model

Antonello, Michele, Cipani, Luca, Runggaldier, Wolfgang J.

Journal:

Scandinavian Actuarial Journal

Year:

2018

Language:

english

File:

PDF, 2.30 MB

english, 2018

34

[Radon Series on Computational and Applied Mathematics] Advanced Financial Modelling || Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs

Albrecher, HansjÃ¶rg, Runggaldier, Wolfgang J., Schachermayer, Walter

Year:

2009

File:

PDF, 441 KB

2009

35

Diffusion Approximation in Past Dependent Models and Applications to Option Pricing

Paolo Kind, Robert Sh. Liptser and Wolfgang J. Runggaldier

Journal:

The Annals of Applied Probability

Year:

1991

Language:

english

File:

PDF, 2.21 MB

english, 1991

36

Large Portfolio Losses: A Dynamic Contagion Model

Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori and Marco Tolotti

Journal:

The Annals of Applied Probability

Year:

2009

Language:

english

File:

PDF, 3.02 MB

english, 2009

37

On optimal investment in a reinsurance context with a point process market model

Enrico Edoli, Wolfgang J. Runggaldier

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 753 KB

english, 2010

38

On Filtering in Markovian Term Structure Models: An Approximation Approach

Carl Chiarella, Sara Pasquali and Wolfgang J. Runggaldier

Journal:

Advances in Applied Probability

Year:

2001

Language:

english

File:

PDF, 1.54 MB

english, 2001

39

Sufficient Conditions for Finite Dimensionality of Filters in Discrete Time: A Laplace Transform-Based Approach

Wolfgang J. Runggaldier and Fabio Spizzichino

Journal:

Year:

2001

Language:

english

File:

PDF, 1.03 MB

english, 2001

40

A filtered no arbitrage model for term structures from noisy data

Andrea Gombani, Stefan R. Jaschke, Wolfgang J. Runggaldier

Journal:

Stochastic Processes and their Applications

Year:

2005

Language:

english

File:

PDF, 279 KB

english, 2005

41

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach

Rüdiger Frey, Wolfgang Runggaldier

Journal:

Finance and Stochastics

Year:

2010

Language:

english

File:

PDF, 934 KB

english, 2010

42

Portfolio optimization in a defaultable market under incomplete information

Giorgia Callegaro, Monique Jeanblanc, Wolfgang J. Runggaldier

Journal:

Decisions in Economics and Finance

Year:

2012

Language:

english

File:

PDF, 389 KB

english, 2012

43

[Unitext] Financial Mathematics ||

Pascucci, Andrea, Runggaldier, Wolfgang J.

Year:

2012

Language:

english

File:

PDF, 2.17 MB

english, 2012

44

Classical and Restricted Impulse Control for the Exchange Rate under a Stochastic Trend Model

Runggaldier, Wolfgang J., Yasuda, Kazuhiro

Journal:

Journal of Economic Dynamics and Control

Year:

2018

Language:

english

File:

PDF, 4.95 MB

english, 2018

45

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Risk sharing, adverse selection and market structure

Biais, Bruno, Björk, Thomas, Cvitanić, Jakša, El Karoui, Nicole, Jouini, Elyés, Rochet, Jean Charles, Runggaldier, Wolfgang J.

Year:

1997

Language:

english

File:

PDF, 1.80 MB

english, 1997

46

Large portfolio losses: A dynamic contagion model

Dai Pra, Paolo, Runggaldier, Wolfgang J., Sartori, Elena, Tolotti, Marco

Journal:

The Annals of Applied Probability

Year:

2009

Language:

english

File:

PDF, 2.96 MB

english, 2009

47

Inferring the Forward Looking Equity Risk Premium from Derivative Prices

Bhar, Ramaprasad, Chiarella, Carl, Runggaldier, Wolfgang J.

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2004

Language:

english

File:

PDF, 518 KB

english, 2004

48

Sul ruolo delle distribuzioni di classe esponenziale nel filtraggio

Marco Ferrante, Wolfgang J. Runggaldier

Journal:

Milan Journal of Mathematics

Year:

1989

Language:

italian

File:

PDF, 508 KB

italian, 1989

49

A Benchmark Approach to Filtering in Finance

Eckhard Platen, Wolfgang J. Runggaldier

Journal:

Asia-Pacific Financial Markets

Year:

2004

Language:

english

File:

PDF, 308 KB

english, 2004

50

Non-linear filtering with discontinuous observations and applications to life sciences

Giovanni B. Di Masi, Wolfgang J. Runggaldier

Journal:

Bulletin of Mathematical Biology

Year:

1983

Language:

english

File:

PDF, 343 KB

english, 1983

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