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Portfolio optimization in a defaultable market under incomplete information
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in economics and finance : DEF ; a journal of … 35 (2012) 2, pp. 91-111
Persistent link: https://www.econbiz.de/10009656936
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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
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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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Numerical approximation by quantization of control problems in finance under partial observations
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J. - 2009
Persistent link: https://www.econbiz.de/10003827001
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Portfolio optimization in discontinuous markets under incomplete information
Callegaro, Giorgia; Di Masi, Giovanni B.; Runggaldier, … - In: Asia-Pacific financial markets 13 (2006) 4, pp. 373-394
Persistent link: https://www.econbiz.de/10003609521