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A nonlinear filtering approach to volatility estimation with a view towards high frequency
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001578681
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Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
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Pricing without equivalent martingale measures under complete and incomplete observation
Galesso, Giorgia; Runggaldier, Wolfgang J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 99-121). 2010
Persistent link: https://www.econbiz.de/10008749298
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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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A filtering approach to pricing in multifactor term structure models
Gombani, Andrea; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 303-320
Persistent link: https://www.econbiz.de/10001578740