Publications of Wolfgang Runggaldier

List of Publications over the last 10 years

  1. O.Hernández-Lerma, W.J.Runggaldier, Monotone approximations for convex stochastic control problems. Journal of Mathematical Systems, Estimation, and Control , 4 (1994), pp. 99 - 140.
  2. G.B. Di Masi, Yu. M. Kabanov, W.J. Runggaldier, Mean-variance hedging of options on stocks with Markov volatilities, Theory of Probability and Its Applications, 39 (1994), pp. 211-222
  3. R.Sh. Liptser, W.J. Runggaldier, Nonlinear Filters for Linear Models (A Robust Approach), IEEE Trans. Information Theory,41, (1995), pp. 1001-1009.
  4. G.B. Di Masi, E. Platen, W.J. Runggaldier, Hedging of Options Under Discrete Observation on Assets With Stochastic Volatility. in : Seminar on Stochastic Analysis, Random Fields and Applications (E.Bolthausen, M.Dozzi, F.Russo, eds.). Progress in Probability, Vol.36, Birkhäuser Verlag, 1995, pp. 359-364.
  5. W.J.Runggaldier, M.Schweizer, Convergence of option values under incompleteness, in : Seminar on Stochastic Analysis, Random Fields and Applications (E.Bolthausen, M.Dozzi, F.Russo, eds.). Progress in Probability, Vol.36, Birkhäuser Verlag, 1995, pp. 365-384.
  6. O.Hernández-Lerma, C.Piovesan, W.J.Runggaldier, Numerical aspects of monotone approximations in convex stochastic control problems, Annals of Operations Reasearch 56 (1995), Special Volume on Stochastic Programming (G.B. Andreatta, G.Salinetti, R.J.-B.Wets, eds.), pp. 135-156.
  7. W. Runggaldier, Aspetti matematico-probabilistici di nuove problematiche in Finanza. Bollettino U.M.I., 10-A (1996), pp.19-36.
  8. R.Sh. Liptser, W.J. Runggaldier, M.Taksar, Deterministic approximation for stochastic control problems, SIAM J. Control & Optimiz. , 34 (1996), pp. 161-178.
  9. Yu.M.Kabanov, W.J.Runggaldier, On control of two-scale stochastic systems with linear dynamics in the fast variables, Math. Control Signals Systems, 9 (1996), pp. 107-122.
  10. P. Dai Pra, L.Meneghini, W.J. Runggaldier, Connections between stochastic control and dynamic games, Math. Control Signals Systems, 9 (1996), pp. 303-326.
  11. P. Dai Pra, C. Rudari, W.J. Runggaldier, On Dynamic Programming for Sequential Decision Problems under a General Form of Uncertainty, ZOR - Mathematical Methods of Operations Research 45 (1997), pp. 81-107.
  12. T. Björk, Yu. Kabanov, W. Runggaldier, Bond Market Structure in the Presence of Marked Point Processes, Mathematical Finance 7 (1997), pp. 211-239.
  13. T. Björk, G. Di Masi, Yu. Kabanov, W. Runggaldier, Towards a general theory of bond markets, Finance and Stochastics 1 (1997), pp.141-174.
  14. B.M.Miller, W.J. Runggaldier, Optimization of Observations : a Stochastic Control Approach, SIAM J. Control & Optimiz., 35 (1997), pp. 1030-1052.
  15. B.M.Miller, W.J. Runggaldier, Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process, Systems and Control Letters, 31 (1997), pp. 93-102.
  16. S. Frasson, W.J. Runggaldier, A stochastic control model for hedging in incomplete markets, in : Statistics and Control of Stochastic Processes , The Liptser Festschrift (Yu.M.Kabanov, B.L.Rozovski, A.N.Shiryaev, eds.), World Scientific 1997, pp.103-121.
  17. W.J. Runggaldier, Concepts and methods for discrete and continuous time control under uncertainty, Insurance : Mathematics and Economics , 22 (1998), pp. 25-39.
  18. P. Dai Pra, L.Meneghini, W.J. Runggaldier, Explicit solutions for multivariate, discrete-time control problems under uncertainty, Systems and Control Letters, 34 (1998), pp. 169-176.
  19. E. D'Ambrosio, W.J. Runggaldier, F. Spizzichino Construction of discrete time models admitting a finite dimensional filter : an approach based on the inverse Laplace transform. Report 32/98, Dipartimento di Matematica 'Guido Castelnuovo'. Università di Roma 'La Sapienza', September 1998 (file.ps).
  20. P. Fischer, E. Platen, W. J. Runggaldier, Risk minimizing hedging strategies under partial observation, in : Seminar on Stochastic Analysis, Random Fields and Applications (R.C.Dalang, M.Dozzi, F.Russo, eds.). Progress in Probability, Vol.45, Birkhäuser Verlag, 1999, pp.175-188.
  21. E. Nicolato, W.J. Runggaldier, A Bayesian Dynamic Programming approach to optimal maintenance combined with Burn-in. Annals of Operations Research 91 (1999), pp. 105-122.
  22. R. Frey, W.J. Runggaldier, Risk-minimizing hedging strategies under restricted information : The case of stochastic volatility models observable only at discrete random times. Mathematical Methods of Operations Reasearch 50 (1999), pp. 339-350.
  23. S. Florio, W.J. Runggaldier, On hedging in finite security markets. Applied Mathematical Finance 6 (1999), pp. 159-176.
  24. R.Sh. Liptser, W.J. Runggaldier, M.Taksar, Asymptotic Optimality for Stochastic Control Problems via Diffusion Approximation. Theory of Probability and Its Applications. 44 (1999), pp. 705-737.
  25. W.J. Runggaldier, Sugli sviluppi della matematica applicata in un settore interdisciplinare: la finanza matematica. Bollettino U.M.I. , 3-A (1999), pp. 297-316.
  26. W.J. Runggaldier, A. Zaccaria, A stochastic control approach to risk management under restricted information. Mathematical Finance 10 (2000), pp. 277-288.
  27. W.J. Runggaldier, Adaptive and robust control procedures for risk minimization under uncertainty. In : Optimal Control and Partial Differential Equations (J.L.Menaldi, E.Rofman, A.Sulem, eds.). Volume in Honour of Prof.Alain Bensoussan's 60th Birthday, IOS Press, 2001, pp.549-557.
  28. W.J. Runggaldier, F. Spizzichino, Sufficient conditions for finite-dimensionality of filters in discrete time : a Laplace transform-based approach. Bernoulli 7 (2001), pp. 211-221.
  29. R. Frey, W.J. Runggaldier, A Nonlinear Filtering Approach to Volatility Estimation with a View Towards High Frequency Data. International Journal of Theoretical and Applied Finance 4 (2001), pp.199-210.
  30. A.Gombani, W.J. Runggaldier, A filtering approach to pricing in multifactor term structure models. International Journal of Theoretical and Applied Finance 4 (2001), pp.303-320.
  31. C.Chiarella, S.Pasquali, W.J. Runggaldier, On Filtering in Markovian Term Structure Models (an approximation approach). Advances in Applied Probability 33 (2001), pp.794-809.
  32. W.J. Runggaldier, The choice of the loss function for a decision problem under uncertainty as a compromise between representativity and tractability. ESReDA International Seminar on Decision Analysis, Rome, June 18-19, 2001 , pp. 141-148.
  33. S. Pasquali, W.J. Runggaldier, Approximations of a controlled diffusion model for renewable resource exploitation. In : Markov Processes and Controlled Markov Chains (Z.Hou, J.A.Filar, A.Chen eds.). Kluwer Academic Publishers, 2002, pp. 287-302.
  34. W.J. Runggaldier, B. Trivellato,T. Vargiolu, A Bayesian adaptive control approach to risk management in a binomial model. In : Seminar on Stochastic Analysis, Random Fields and Applications (R.C.Dalang, M.Dozzi, F.Russo, eds.). Progress in Probability, Vol.52, Birkhäuser Verlag, 2002, pp.243-258. (file.pdf)
  35. G.Favero, W.J. Runggaldier, A robustness result for stochastic control. Systems and Control Letters 46 (2002), pp. 91-97.
  36. C.Chiarella, S.Pasquali, W.J. Runggaldier, On Filtering in Markovian Term Structure Models. In : Recent Developments in Mathematical Finance (J. Yong, ed.) World Scientific Publishing Co.Pte.Ltd., 2002, pp. 139-150 .
  37. R.Bhar, C.Chiarella, W.J. Runggaldier, Estimation in Models of the Instantaneous Short Term Interest Rate by use of a Dynamic Bayesian Algorithm. In : Advances in Finance and Stochastics - Essays in Honour of Dieter Sondermann (K.Sandmann and P.Schoenbucher, eds.), Springer Verlag 2002, pp. 177-195.
  38. W.J. Runggaldier, Jump Diffusion Models. In : Handbook of Heavy Tailed Distributions in Finance (S.T. Rachev, ed.), Handbooks in Finance, Book 1 (W.Ziemba Series Ed.), Elesevier/North-Holland 2003, pp.169-209 (file.ps)
  39. W.J. Runggaldier, On stochastic control in finance. In: Mathematical Systems Theory in Biology, Communication, Computation and Finance (J.Rosenthal and D.S. Gilliam, eds.). IMA Volumes in Mathematics and its Applications, Vol. 134, pp.317-344. Springer Verlag, New York, 2003. (file.ps)
  40. R.Bhar, C.Chiarella, W.J. Runggaldier, Inferring the Forward Looking Equity Risk Premium from Derivative Prices. Studies in Nonlinear Dynamics & Econometrics Vol. 8: No. 1 (2004), Article 3. http://www.bepress.com/snde/vol8/iss1/art3.
  41. P.Dai Pra, W.J. Runggaldier, M.Tolotti, Pathwise optimality for benchmark tracking. IEEE Transactions on AC, 49 (2004) (Special Issue on Stochastic Control Methods in Financial Engineering), pp. 386-395. (file.pdf)
  42. M.Kirch, W.J. Runggaldier, Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities. SIAM J. on Control and Optimization , 43 (2004), pp. 1174-1195. (file.pdf)
  43. W.J. Runggaldier, Estimation via stochastic filtering in financial market models. In : Mathematics of Finance (G.Yin and Q.Zhang eds.). Contemporary Mathematics, Vol. 351, pp.309-318. American Mathematical Society, Providence R.I., 2004. (file.ps)
  44. E.Platen, W.J. Runggaldier, A Benchmark Approach to Filtering in Finance. Asia Pacific Financial Markets , 11/1 (2005), pp. 79-105. (file.pdf)
  45. A.Gombani, S.R.Jaschke,W.J. Runggaldier, A filtered no arbitrage model for term structures from noisy data. Stochastic Processes and their Applications , 115/3 (2005), pp. 381-400. (file.pdf)
  46. H. Pham, W.Runggaldier, A.Sellami, Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods and Applications , 11/1 (2005), pp. 57-81. (file.pdf)
  47. R.Bhar, C.Chiarella, H.Hung, W.J.Runggaldier, The volatility of the instantaneous spot interest rate implied by arbitrage pricing - a dynamic Bayesian approach. Automatica , 42/8 (2006), pp. 1381-1393. (file.pdf)
  48. W.J.Runggaldier, S. Di Emidio, Computing efficient hedging strategies in discontinuous market models. In : Stochastic Finance (M. do Rosario Grossinho, A.N. Shiryaev, M.L. Esquivel, P.E. Oliveira eds.), pp. 197-212. Springer Science + Business Media, 2006. (file.pdf)
  49. G. Callegaro, G.B. Di Masi, W.J. Runggaldier, Portfolio Optimization in Discontinuous Markets under Incomplete Information. Asia Pacific Financial Markets , 13/4 (2006), pp. 373--394. (file.pdf)
  50. H. Nagai, W.J. Runggaldier, PDE approach to utility maximization with partial information. In : The 7th Workshop on Stochastic Numerics (Shigeyoshi Ogawa ed.) RIMS Kokyuroku 1462, pp. 197-212. Kyoto University, Kyoto, Japan 2006.
  51. A.Gombani, S.Jaschke, W.Runggaldier, Consistent Price Systems for Subfiltrations. ESAIM : Probability and Statistics , 11 (2007), pp. 35--39. (file.pdf)
  52. R. Frey, C. Prosdocimi, W.J.Runggaldier, Affine credit risk models under incomplete information. In : Stochastic Processes and Applications to Mathematical Finance - Proceedings of the 6th Ritsumeikan International Symposium. (J. Akahori, S. Ogawa, S. Watanabe, eds.). World Scientific, 2007, pp. 97-113. (file.pdf)
  53. H. Nagai, W.J. Runggaldier, PDE approach to utility maximization for market models with hidden Markov factors. In : Seminar on Stochastic Analysis, Random Fields and Applications V (R.C.Dalang, M.Dozzi, F.Russo, eds.). Progress in Probability, Vol.59, Birkhäuser Verlag, 2008, pp.493-506. (file.pdf)
  54. E.Platen,W.J.Runggaldier, A benchmark Approach to Portfolio Optimization under Partial Information. Asia Pacific Financial Markets, 14 (2007), pp. 25--43. (file.pdf)
  55. M. Corsi, H. Pham, W.J.Runggaldier, Numerical Approximation by Quantization of Control Problems in Finance under Partial Observations. In: Mathematical modelling and numerical methods in finance (A. Bensoussan and Q. Zhang eds.), Handbook of Numerical Analysis Vol XV. North Holland, 2008, pp. 325-360. (file.pdf)
  56. P. Dai Pra, W.J.Runggaldier, E. Sartori, M. Tolotti, Large portfolio losses; A dynamic contagion model. Annals of Applied Probability, 19 (2009) No. 1, pp. 347--394. (file.pdf)
  57. W. Runggaldier, Filtering. In: Encyclopedia of Quantitative Finance (R.Cont, ed.), John Wiley & Sons Ltd. Chichester, UK, 2010, pp. 674-683. (file.pdf)
  58. R. Frey,W.J.Runggaldier, Credit Risk and Incomplete Information : a Nonlinear-Filtering Approach. Finance and Stochastics, 14 (2010), pp. 495-526. (file.pdf)
  59. G.Galesso, W.J.Runggaldier, Pricing without equivalent martingale measures under complete and incomplete observation. In: Contemporary Quantitative Finance; Essays in Honour of Eckhard Platen (C.Chiarella and A.Novikov, eds.) Springer Verlag, Berlin,Heidelberg, 2010, pp. 99-121. (file.pdf)
  60. C.Fontana, W.J.Runggaldier, Credit risk and incomplete information: filtering and EM parameter estimation. International Journal of Theoretical and Applied Finance, 13 (2010) No. 1, pp. 683--715. (file.pdf)
  61. E. Edoli, W.J.Runggaldier, On optimal investment in a reinsurance context with a point ptocess market model. Insurance: Mathematics and Economics, 47 (2010) pp. 315-326. (file.pdf)
  62. R. Frey, W.J.Runggaldier, Nonlinear Filtering in Models for Interest-Rate and Credit Risk. In: The Oxford Handbook on Nonlinear Filtering (D.Crisan, B.Rozovski, eds.), Oxford University Press, 2011, pp. 923-959. (file.pdf)

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