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On filtering in Markovian term structure models (an approximation approach)
Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J. - 2001
Persistent link: https://www.econbiz.de/10001732804
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Filtering equity risk premia from derivative prices
Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - 2001
Persistent link: https://www.econbiz.de/10001732811
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A benchmark approach to filtering in finance
Platen, Eckhard; Runggaldier, Wolfgang J. - 2002
Persistent link: https://www.econbiz.de/10001732830
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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
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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
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On hedging in finite security markets
Florio, Silvia; Runggaldier, Wolfgang J. - In: Applied mathematical finance 6 (1999) 3, pp. 159-176
Persistent link: https://www.econbiz.de/10001490688
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A nonlinear filtering approach to volatility estimation with a view towards high frequency
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001578681
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A filtering approach to pricing in multifactor term structure models
Gombani, Andrea; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
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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
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Inferring the forward looking equity risk premium from derivative price
Bhar, Ramaprasad (contributor); Chiarella, Carl (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 1
Persistent link: https://www.econbiz.de/10002651459