Publications of Wolfgang Runggaldier
List of Publications over the last 30 years
- 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.
- 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
- R.Sh. Liptser, W.J. Runggaldier,
Nonlinear Filters for Linear Models (A Robust Approach),
IEEE Trans. Information Theory,41, (1995), pp.
1001-1009.
- 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.
- 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.
- 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.
- W. Runggaldier, Aspetti
matematico-probabilistici di nuove problematiche in Finanza.
Bollettino U.M.I., 10-A (1996), pp.19-36.
- R.Sh. Liptser, W.J. Runggaldier,
M.Taksar, Deterministic approximation for stochastic
control problems, SIAM J. Control & Optimiz.
, 34 (1996), pp. 161-178.
- 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.
- P. Dai Pra, L.Meneghini,
W.J. Runggaldier, Connections between stochastic control
and dynamic games, Math. Control Signals Systems,
9 (1996), pp. 303-326.
- 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.
- T. Björk, Yu. Kabanov,
W. Runggaldier, Bond Market Structure in the Presence of
Marked Point Processes, Mathematical Finance
7 (1997), pp. 211-239.
- T. Björk, G. Di Masi,
Yu. Kabanov, W. Runggaldier, Towards a general theory
of bond markets, Finance and Stochastics 1 (1997),
pp.141-174.
- B.M.Miller, W.J. Runggaldier,
Optimization of Observations : a Stochastic Control Approach,
SIAM J. Control & Optimiz., 35 (1997), pp.
1030-1052.
- 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.
- 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.
- W.J. Runggaldier, Concepts
and methods for discrete and continuous time control
under uncertainty, Insurance : Mathematics and Economics
, 22 (1998), pp. 25-39.
- 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.
- 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.
- 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.
- 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.
- S. Florio, W.J. Runggaldier,
On hedging in finite security markets. Applied
Mathematical Finance 6 (1999), pp. 159-176.
- 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.
- 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.
- W.J. Runggaldier, A. Zaccaria,
A stochastic control approach to risk management under
restricted information. Mathematical Finance
10 (2000), pp. 277-288.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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)
- G.Favero, W.J. Runggaldier,
A robustness result for stochastic control. Systems
and Control Letters 46 (2002), pp. 91-97.
- 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 .
- 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.
- 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)
- 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)
- 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.
- 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)
- 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)
- 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)
- E.Platen, W.J. Runggaldier,
A Benchmark Approach to Filtering in Finance.
Asia Pacific Financial Markets , 11/1 (2005), pp. 79-105.
(file.pdf)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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.
- A.Gombani, S.Jaschke,
W.Runggaldier, Consistent Price Systems for Subfiltrations.
ESAIM : Probability and Statistics , 11 (2007), pp. 35--39. (file.pdf)
- 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)
- 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)
-
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)
- 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)
- 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)
- W. Runggaldier,
Filtering. In: Encyclopedia of Quantitative Finance (R.Cont, ed.),
John Wiley & Sons Ltd. Chichester, UK, 2010, pp. 674-683.
(file.pdf)
- R. Frey,W.J.Runggaldier,
Credit Risk and Incomplete Information : a Nonlinear-Filtering Approach.
Finance and Stochastics, 14 (2010), pp. 495-526.
(file.pdf)
- 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)
- 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)
- 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)
- 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)
- G. Callegaro, M. Jeanblanc, W.J. Runggaldier,
Portfolio optimization in a defaultable market under incomplete
information.
Decisions in Economics and Finance, 35 (2012) No.2, pp. 91-111. (file.pdf)
- R.Romera, W.Runggaldier,
Ruin probabilities in a finite-horizon risk model with
investment and reinsurance.
Journal of Applied Probability , 49 (2012) No.4, pp. 954-966. (file.pdf)
- A. Gombani, W.J.Runggaldier,
Arbitrage-free multifactor term structure models: a theory based on stochastic control.
Mathematical Finance, 23 (2013) No.4, pp. 659-686. (file.pdf)
- K. Fujimoto, H. Nagai, W.J.Runggaldier,
Expected power-utility maximization under incomplete information
and with Cox-process observations. Applied Mathematics and Optimization,
67 (2013) No.1, pp. 33-72. DOI: 10.1007/S00245-012-9180-2.
(file.pdf)
- C. Fontana, W.J. Runggaldier,
Diffusion-Based Models for Financial Markets Without Martingale Measures.
In: Risk Measures and Attitudes (F.Biagini, A.Richter, H. Schlesinger, eds.), EAA Series,
Springer Verlag London 2013, pp. 45-81. (Also ArXiv:1209.4449). (file.pdf)
- R. Cogo, A. Gombani, W.J.Runggaldier,
Stochastic control and pricing under Swap measures.
In : Seminar
on Stochastic Analysis, Random Fields and Applications VII
(R.C.Dalang, M.Dozzi, F.Russo, eds.). Progress in Probability,
Vol.67, Birkhäuser/Springer Basel, 2013, pp.363-379. (file.pdf)
- K. Fujimoto, H. Nagai, W.J.Runggaldier,
Expected log-utility maximization under incomplete information
and with Cox-process observations. Asia-Pacific Financial Markets, 21 (2014) No.1, pp. 35-66.
DOI: 10.1007/s10690-013-9176-1. JAFEE Best Paper Award 2018.
(file.pdf)
- J. Ruf, W. Runggaldier,
A Systematic Approach to Constructing Market Models With Arbitrage.
In: "Arbitrage, Credit and Informational Risks", (C. Hillairet, M. Jeanblanc, Y. Jiao, eds.).
Peking University Series in Mathematics, Vol.5, World Scientific Publishing Co. Pte. Ltd., 2014, pp.19-28.
(Also: ArXiv: 1309.1988).
(file.pdf)
- J. Mancin, W.J. Runggaldier,
On the Existence of Martingale Measures in Jump Diffusion Market Models.
In: "Arbitrage, Credit and Informational Risks", (C. Hillairet, M. Jeanblanc, Y. Jiao, eds.).
Peking University Series in Mathematics, Vol.5, World Scientific Publishing Co. Pte. Ltd., 2014, pp.29-51.
(Also ArXiv:1511.08349).
(file.pdf)
- L. Morino, W.J. Runggaldier,
On multicurve models for the term structure.
In: Nonlinear Economic Dynamics and Financial Modelling (Essays in Honour of Carl Chiarella).
(R. Dieci, X.Z. He, C. Hommes, eds.) Springer International, 2014, pp. 275-290.
(Also ArXiv: 1401.5431.)
- J.M. Montes, V.Prezioso, W. J. Runggaldier,
Monte Carlo variance reduction by conditioning for pricing
with underlying a continuous-time finite state Markov process.
SIAM J. Finan. Math., 5 (2014) No.1, pp. 557-580. (file.pdf)
- G.Bertola, W.J.Runggaldier, K.Yasuda,
On classical and restricted impulse stochastic control for the exchange rate.
Applied Mathematics and Optimization, 74 (2016) No.2, pp 423-454.
DOI:10.1007/S00245-015-9320-6. (file.pdf)
- Z. Grbac, L. Meneghello, W.J. Runggaldier,
Derivative pricing for a multicurve extension of the
Gaussian, exponentially quadratic short rate model. In:
Innovations in Derivative Markets (K.Glau, Z.Grbac, M.Scherer, R.Zagst, eds.)
Springer Proceedings in Mathematics and Statistics Vol.165, 2016, pp. 191-226.
DOI: 10.1007/978-3-319-33446-2_10. (Also ArXiv:1512.03259) (file.pdf)
- W.J. Runggaldier, K. Yasuda
Classical and Restricted Impulse Control for the Exchange Rate under a Stochastic
Trend Model.
Journal of Economic Dynamics & Control, 91 (2018), pp. 369-390.
https://doi.org/10.1016/j.jedc.2018.01.017 (file.pdf)
- N.H. Chau, W. Runggaldier, P. Tankov,
Arbitrage and utility maximization in market models with an insider.
Mathematics and Financial Economics. Vol 12 (2018), Issue 4, pp 589-614.
https://doi.org/10.1007/s11579-018-0217-4
(file.pdf)
- M. Antonello, L. Cipani, W.J. Runggaldier,
Minimizing capital injections by investment and reinsurance for a
piecewise deterministic reserve process model. Scandinavian Actuarial Journal, Vol.2018 (2018), Issue 10,
pp 907-932.
https://doi.org/10.1080/03461238.2018.1471001.
(file.pdf)
- C. Fontana, W.J. Runggaldier,
Arbitrage concepts under trading restrictions in discrete-time
financial markets. Journal of Mathematical Economics. Vol. 92 (2021), pp 66-80. (online: https://authors.elsevier.com/c/1c1R115DiyP2aV) (also:arXiv:2006.15563v2). (file.pdf)
- W.J.Runggaldier, An Italian perspective on the development of financial mathematics from 1992 to 2008.
Finance and Stochastics, Vol. 26 (2022), pp 5--31 . https://doi.org/10.1007/s00780-021-00452-9
(file.pdf)
- C. Fontana, S.Pavarana, W.J. Runggaldier,
A stochastic control perspective on term structure models with roll-over risk.
Finance and Stochastics, Vol. 27 (2023), pp 903--932 . (Also ArXiv:2304.04453 ).
(file.pdf)
- S. Lleo, W.J. Runggaldier,
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. European Journal of Operational Research. Online first https://doi.org/10.1016/j.ejor.2024.01.044 (file.pdf)
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