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~subject:"Portfolio selection"
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Stochastic filtering with applications in finance
Bhar, Ramaprasad
-
2010
Persistent link: https://www.econbiz.de/10014277065
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2
Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
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3
Financial mathematics : held in Bressanone, Italy, July 8 - 13, 1996
Biais, Bruno
(
contributor
); …
-
1997
Persistent link: https://www.econbiz.de/10000954868
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4
A benchmark approach to filtering in finance
Platen, Eckhard
;
Runggaldier, Wolfgang J.
-
2002
Persistent link: https://www.econbiz.de/10001732830
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5
Stochastic processes: applications in mathematical economics-finance : proceedings of the 15th Course of the International School of Mathematics G. Stampacchia, Erice, Sicily, 14 - 22 May 1992
Runggaldier, Wolfgang J.
(
contributor
)
-
1992
Persistent link: https://www.econbiz.de/10000895003
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6
A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
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7
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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8
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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9
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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10
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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