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51

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

Pham, Huyên, Runggaldier, Wolfgang, Sellami, Afef

Journal:

Monte Carlo Methods and Applications

Year:

2005

Language:

english

File:

PDF, 304 KB

english, 2005

52

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

53

Optimization of Observations: a Stochastic Control Approach

Miller, Boris M., Runggaldier, Wolfgang J.

Journal:

SIAM Journal on Control and Optimization

Year:

1997

Language:

english

File:

PDF, 329 KB

english, 1997

54

[Unitext] Financial Mathematics ||

Pascucci, Andrea, Runggaldier, Wolfgang J.

Year:

2012

Language:

english

File:

PDF, 2.17 MB

english, 2012

55

[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

56

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

57

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

58

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

59

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

Grbac, Zorana, Runggaldier, Wolfgang J.

Year:

2015

Language:

english

File:

PDF, 550 KB

english, 2015

60

[Radon Series on Computational and Applied Mathematics] Advanced Financial Modelling || A review of some recent results on Malliavin Calculus and its applications

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

Year:

2009

Language:

english

File:

PDF, 448 KB

english, 2009

61

[SpringerBriefs in Quantitative Finance] Interest Rate Modeling: Post-Crisis Challenges and Approaches || Multiple Curve Extensions of Libor Market Models (LMM)

Grbac, Zorana, Runggaldier, Wolfgang J.

Year:

2015

Language:

english

File:

PDF, 247 KB

english, 2015

62

[Lecture Notes in Mathematics] Financial Mathematics Volume 1656 || Optimal trading under constraints

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

Year:

1997

Language:

english

File:

PDF, 2.81 MB

english, 1997

63

Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme

Korezlioglu, Hayri, Runggaldier, Wolfgang

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1993

Language:

english

File:

PDF, 2.09 MB

english, 1993

64

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

65

[Radon Series on Computational and Applied Mathematics] Advanced Financial Modelling || Optimal investment and hedging under partial and inside information

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

Year:

2009

Language:

english

File:

PDF, 503 KB

english, 2009

66

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

67

On filtering in Markovian term structure models: an approximation approach

Chiarella, Carl, Pasquali, Sara, Runggaldier, Wolfgang J.

Journal:

Advances in Applied Probability

Year:

2001

Language:

english

File:

PDF, 217 KB

english, 2001

68

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

69

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

70

[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

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