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Wolfgang J. Runggaldier · Study
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Author
Wolfgang J. Runggaldier
18 works
· latest 2015
· 1 institutions
cluster: provisional
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18
i10
18
Citations
1,850
Works here
18
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Most cited in this library
Bond Market Structure in the Presence of Marked Point Processes
1997 · 385 citations
Towards a general theory of bond markets
1997 · 334 citations
Mean-Variance Hedging of Options on Stocks with Markov Volatilities
1995 · 196 citations
Connections between stochastic control and dynamic games
1996 · 170 citations
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
2001 · 100 citations
Works
18 shown
Interest Rate Modeling: Post-Crisis Challenges and Approaches
SpringerBriefs in quantitative finance
·
2015
·
2 authors
·
book
61
citations
On Multicurve Models for the Term Structure
Springer eBooks
·
2014
·
2 authors
·
chapter
·
Open access
29
citations
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Finance and Stochastics
·
2010
·
2 authors
58
citations
Large portfolio losses: A dynamic contagion model
The Annals of Applied Probability
·
2009
·
4 authors
·
Open access
72
citations
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors
Progress in probability
·
2007
·
2 authors
·
chapter
37
citations
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
Monte Carlo Methods and Applications
·
2005
·
3 authors
·
Open access
37
citations
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
SIAM Journal on Control and Optimization
·
2004
·
2 authors
·
Open access
33
citations
Jump-Diffusion Models
Elsevier eBooks
·
2003
·
1 author
·
chapter
91
citations
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
International Journal of Theoretical and Applied Finance
·
2001
·
2 authors
100
citations
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Mathematical Methods of Operations Research
·
1999
·
2 authors
42
citations
Optimization of Observations: a Stochastic Control Approach
SIAM Journal on Control and Optimization
·
1997
·
2 authors
43
citations
Bond Market Structure in the Presence of Marked Point Processes
Mathematical Finance
·
1997
·
3 authors
385
citations
Towards a general theory of bond markets
Finance and Stochastics
·
1997
·
4 authors
·
Open access
334
citations
Connections between stochastic control and dynamic games
Mathematics of Control Signals and Systems
·
1996
·
3 authors
170
citations
Mean-Variance Hedging of Options on Stocks with Markov Volatilities
Theory of Probability and Its Applications
·
1995
·
3 authors
196
citations
Approximations of discrete time partially observed control problems
·
1994
·
2 authors
·
book
47
citations
Monotone approximations for convex stochastic control problems
Reporte interno - CINVESTAV
·
1992
·
2 authors
38
citations
Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances
SIAM Journal on Control and Optimization
·
1987
·
2 authors
77
citations