Narrow search
Showing 1 - 10 of 33
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A benchmark approach to filtering in finance
Platen, Eckhard; Runggaldier, Wolfgang J. - 2002
Persistent link: https://www.econbiz.de/10001732830
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Credit risk and incomplete information : filtering and EM parameter estimation
Fontana, Claudio; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 683-715
Persistent link: https://www.econbiz.de/10008904347