Recent Research Papers of Wolfgang Runggaldier
List of preprints (file.pdf)
- A. Gombani, W.J.Runggaldier,
Arbitrage-free multifactor term structure models: a theory based on stochastic control.
Preprint 2011. To appear in: Mathematical Finance.
(file.pdf)
- R.Romera, W.Runggaldier,
Ruin probabilities in a finite-horizon risk model with
investment and reinsurance. Preprint 2011. (file.pdf)
- V.Prezioso, W.Runggaldier,
Interest rate derivatives pricing when the short rate is a
continuous time finite state Markov process. Preprint 2010. (file.pdf)
- G. Callegaro, M. Jeanblanc, W.J. Runggaldier,
Portfolio optimization in a defaultable market under incomplete
information. To appear in: Decisions in Economics and Finance. (file.pdf)
- C. Fontana, W.J. Runggaldier,
Diffusion-based models for financial markets without martingale measures.
Preprint 2011. (file.pdf)
- R. Cogo, A. Gombani, W.J.Runggaldier,
Stochastic control and pricing under Swap measures.
Preprint 2011.
(file.pdf)
- K. Fujimoto, H. Nagai, W.J.Runggaldier,
Expected log-utility maximization under incomplete information
and with Cox-process observations. Preprint 2012.
(file.pdf)
- K. Fujimoto, H. Nagai, W.J.Runggaldier,
Expected power-utility maximization under incomplete information
and with Cox-process observations. Preprint 2012.
(file.pdf)
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