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~subject:"Stochastischer Prozess"
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Expected Log-Utility Maximizat...
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Stochastischer Prozess
Theorie
32
Theory
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Portfolio selection
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16
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10
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growth optimal portfolio
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term structure of interest rates
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English
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Runggaldier, Wolfgang J.
16
Bhar, Ramaprasad
2
Chiarella, Carl
2
Fontana, Claudio
2
Platen, Eckhard
2
Callegaro, Giorgia
1
Corsi, Marco
1
Di Masi, Giovanni B.
1
Frey, Rüdiger
1
Fujimoto, Kazufumi
1
Galesso, Giorgia
1
Gombani, Andrea
1
Lleo, Sébastien
1
Nagai, Hideo
1
Pavarana, Simone
1
Pham, Huyên
1
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Asia-Pacific financial markets
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Research paper / Quantitative Finance Research Group, University of Technology Sydney
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
European journal of operational research : EJOR
1
Finance and stochastics
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Handbook of heavy tailed distributions in finance
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International journal of theoretical and applied finance
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Journal of economic dynamics & control
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Mathematical methods of operations research
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ECONIS (ZBW)
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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi
;
Nagai, Hideo
;
Runggaldier, Wolfgang J.
- In:
Asia-Pacific financial markets
21
(
2014
)
1
,
pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
Saved in:
2
Classical and restricted impulse control for the exchange rate under a stochastic trend model
Runggaldier, Wolfgang J.
;
Yasuda, Kazuhiro
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 369-390
Persistent link: https://www.econbiz.de/10011974210
Saved in:
3
Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm
Bhar, Ramaprasad
;
Chiarella, Carl
;
Runggaldier, Wolfgang J.
-
2001
Persistent link: https://www.econbiz.de/10001732756
Saved in:
4
A benchmark approach to filtering in finance
Platen, Eckhard
;
Runggaldier, Wolfgang J.
-
2002
Persistent link: https://www.econbiz.de/10001732830
Saved in:
5
Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm
Bhar, Ramaprasad
;
Chiarella, Carl
;
Runggaldier, Wolfgang J.
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 177-195)
.
2002
Persistent link: https://www.econbiz.de/10001672233
Saved in:
6
Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
Saved in:
7
Jump-diffusion models
Runggaldier, Wolfgang J.
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 169-209)
.
2003
Persistent link: https://www.econbiz.de/10001882067
Saved in:
8
A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.
;
Zaccaria Ruggiu, Annapaola
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
Saved in:
9
Numerical approximation by quantization of control problems in finance under partial observations
Pham, Huyên
;
Corsi, Marco
;
Runggaldier, Wolfgang J.
-
2009
Persistent link: https://www.econbiz.de/10003827001
Saved in:
10
Pricing without equivalent martingale measures under complete and incomplete observation
Galesso, Giorgia
;
Runggaldier, Wolfgang J.
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 99-121)
.
2010
Persistent link: https://www.econbiz.de/10008749298
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