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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

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

3

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

4

[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

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 || 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

7

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

8

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

9

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

10

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

11

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

12

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

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

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

15

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

16

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

17

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

Runggaldier, Wolfgang J.

Year:

2003

Language:

english

File:

PDF, 378 KB

english, 2003

18

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

19

[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

20

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

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

[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

23

The volatility of the instantaneous spot interest rate implied by arbitrage pricing—A dynamic Bayesian approach

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

Journal:

Year:

2006

Language:

english

File:

PDF, 408 KB

english, 2006

24

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

25

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

26

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

27

On measure transformations for combined filtering and parameter estimation in discrete time

Giovanni B. Di Masi, Wolfgang J. Runggaldier

Journal:

Systems & Control Letters

Year:

1982

Language:

english

File:

PDF, 307 KB

english, 1982

28

Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process

Boris M. Miller, Wolfgang J. Runggaldier

Journal:

Systems & Control Letters

Year:

1997

Language:

english

File:

PDF, 544 KB

english, 1997

29

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

30

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

31

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

32

Approximations for discrete-time adaptive control: Construction of ε-optimal controls

Wolfgang J. Runggaldier, Omar Zane

Journal:

Mathematics of Control, Signals, and Systems (MCSS)

Year:

1991

Language:

english

File:

PDF, 834 KB

english, 1991

33

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

34

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

35

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

36

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

37

A Benchmark Approach to Portfolio Optimization under Partial Information

Eckhard Platen, Wolfgang J. Runggaldier

Journal:

Asia-Pacific Financial Markets

Year:

2007

Language:

english

File:

PDF, 262 KB

english, 2007

38

Portfolio Optimization in Discontinuous Markets under Incomplete Information

Giorgia Callegaro, Giovanni B. Di Masi, Wolfgang J. Runggaldier

Journal:

Asia-Pacific Financial Markets

Year:

2006

Language:

english

File:

PDF, 302 KB

english, 2006

39

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

40

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, 353 KB

english, 1983

41

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

42

ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL

Andrea Gombani, Wolfgang J. Runggaldier

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 641 KB

english, 2012

43

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

44

An Approach to Discrete-Time Stochastic Control Problems under Partial Observation

Di Masi, Giovanni B., Runggaldier, Wolfgang J.

Journal:

SIAM Journal on Control and Optimization

Year:

1987

Language:

english

File:

PDF, 908 KB

english, 1987

45

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

46

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

47

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, 277 KB

english, 2005

48

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

49

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

50

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

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

Journal:

Asia-Pacific Financial Markets

Year:

2014

Language:

english

File:

PDF, 344 KB

english, 2014

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