Wolfgang Runggaldier
Wolfgang Runggaldier
Professor emeritus at the University of Padova
Verified email at math.unipd.it - Homepage
Title
Cited by
Cited by
Year
Bond market structure in the presence of marked point processes
T Björk, Y Kabanov, W Runggaldier
Mathematical Finance 7 (2), 211-239, 1997
4371997
Towards a general theory of bond markets
T Björk, G Di Masi, Y Kabanov, W Runggaldier
Finance and Stochastics 1 (2), 141-174, 1997
2681997
Mean-variance hedging of options on stocks with Markov volatilities
GB Di Masi, YM Kabanov, WJ Runggaldier
Theory of Probability & Its Applications 39 (1), 172-182, 1995
2491995
Connections between stochastic control and dynamic games
P Dai Pra, L Meneghini, WJ Runggaldier
Mathematics of Control, Signals and Systems 9 (4), 303-326, 1996
1731996
Jump-diffusion models
WJ Runggaldier
Handbook of heavy tailed distributions in finance, 169-209, 2003
1552003
A nonlinear filtering approach to volatility estimation with a view towards high frequency data
R Frey, WJ Runggaldier
International Journal of Theoretical and Applied Finance 4 (02), 199-210, 2001
1462001
Nearly optimal state feedback controls for stochastic systems with wideband noise disturbances
HJ Kushner, W Runggaldier
SIAM Journal on Control and Optimization 25 (2), 298-315, 1987
801987
Large portfolio losses: A dynamic contagion model
P Dai Pra, WJ Runggaldier, E Sartori, M Tolotti
The Annals of Applied Probability 19 (1), 347-394, 2009
772009
Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
BM Miller, WJ Runggaldier
Systems & control letters 31 (2), 93-102, 1997
741997
Interest rate modeling: post-crisis challenges and approaches
Z Grbac, WJ Runggaldier
Springer, 2015
642015
An approximation for the nonlinear filtering problem, with error bound
GB Dl Masi, M Pratelli, WJ Runggaldier
Stochastics: An International Journal of Probability and Stochastic …, 1985
641985
Risk-minimizing hedging strategies under restricted information: the case of stochastic volatility models observable only at discrete random times
R Frey, WJ Runggaldier
Mathematical Methods of Operations Research 50 (2), 339-350, 1999
631999
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
R Frey, W Runggaldier
Finance and Stochastics 14 (4), 495-526, 2010
592010
On measure transformations for combined filtering and parameter estimation in discrete time
GB Di Masi, WJ Runggaldier
Systems & Control Letters 2 (1), 57-62, 1982
581982
Option pricing for jump diffusions: approximations and their interpretation
F Mercurio, WJ Runggaldier
Mathematical Finance 3 (2), 191-200, 1993
551993
Optimization of observations: A stochastic control approach
BM Miller, WJ Runggaldier
SIAM journal on control and optimization 35 (3), 1030-1052, 1997
521997
Approximations of discrete time partially observed control problems
WJ Runggaldier, L Stettner
Giardini, 1994
521994
Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities
M Kirch, WJ Runggaldier
SIAM Journal on Control and Optimization 43 (4), 1174-1195, 2004
492004
PDE approach to utility maximization for market models with hidden Markov factors
H Nagai, WJ Runggaldier
Seminar on Stochastic Analysis, Random Fields and Applications V, 493-506, 2007
472007
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
H Pham, W Runggaldier, A Sellami
Monte Carlo Methods and Applications 11 (1), 57-81, 2005
452005
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