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~subject:"Stochastic process"
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Stochastic process
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6
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
19
International journal of theoretical and applied finance
4
Asia-Pacific financial markets
3
Journal of economic dynamics & control
3
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3
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Contemporary quantitative finance : essays in honour of Eckhard Platen
2
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2
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2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Quantitative and empirical analysis of nonlinear dynamic macromodels
2
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2
The Oxford handbook of computational economics and finance
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Applied Mathematics and Computation, Forthcoming
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Energy economics
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Handbook of computational economics : volume 3
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Research Paper Number 287, Quantitative Finance Research Centre, University of Technology, Sydney
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Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
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Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
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Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm
Bhar, Ramaprasad
;
Chiarella, Carl
;
Runggaldier, Wolfgang J.
-
2001
Persistent link: https://www.econbiz.de/10001732756
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2
Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm
Bhar, Ramaprasad
;
Chiarella, Carl
;
Runggaldier, Wolfgang J.
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 177-195)
.
2002
Persistent link: https://www.econbiz.de/10001672233
Saved in:
3
Stochastic filtering with applications in finance
Bhar, Ramaprasad
-
2010
Persistent link: https://www.econbiz.de/10014277065
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4
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
Saved in:
5
A benchmark approach to filtering in finance
Platen, Eckhard
;
Runggaldier, Wolfgang J.
-
2002
Persistent link: https://www.econbiz.de/10001732830
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6
Jump-diffusion models
Runggaldier, Wolfgang J.
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 169-209)
.
2003
Persistent link: https://www.econbiz.de/10001882067
Saved in:
7
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
Saved in:
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
Saved in:
9
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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10
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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