Bond market structure in the presence of marked point processes T Björk, Y Kabanov, W Runggaldier Mathematical Finance 7 (2), 211-239, 1997 | 461 | 1997 |
Nonlinear filtering RS Bucy, GB DI MASI, WJ RUNGGALDIER, B BORAZZI, ... Nonlinear Stochastic Problems 104, 256, 2012 | 287 | 2012 |
Towards a general theory of bond markets T Björk, G Di Masi, Y Kabanov, W Runggaldier Finance and Stochastics 1, 141-174, 1997 | 287 | 1997 |
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 | 281 | 1995 |
Connections between stochastic control and dynamic games P Dai Pra, L Meneghini, WJ Runggaldier Mathematics of Control, Signals and Systems 9, 303-326, 1996 | 197 | 1996 |
Jump-diffusion models WJ Runggaldier Handbook of heavy tailed distributions in finance, 169-209, 2003 | 182 | 2003 |
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 | 155 | 2001 |
Large portfolio losses: A dynamic contagion model P Dai Pra, WJ Runggaldier, E Sartori, M Tolotti | 90 | 2009 |
Interest rate modeling: post-crisis challenges and approaches Z Grbac, WJ Runggaldier Springer International Publishing, 2015 | 89 | 2015 |
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 | 89 | 1987 |
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 | 77 | 1997 |
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 | 72 | 1985 |
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach R Frey, W Runggaldier Finance and Stochastics 14 (4), 495-526, 2010 | 70 | 2010 |
Approximations of discrete time partially observed control problems WJ Runggaldier, L Stettner (No Title), 1994 | 66 | 1994 |
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, 339-350, 1999 | 64 | 1999 |
Optimization of observations: A stochastic control approach BM Miller, WJ Runggaldier SIAM journal on control and optimization 35 (3), 1030-1052, 1997 | 55 | 1997 |
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 | 54 | 1982 |
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 & Applications 11 (1), 2005 | 53 | 2005 |
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 | 51 | 2004 |
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: Centro …, 2008 | 50 | 2008 |