Wolfgang J. Runggaldier

Publication Activity (10 Years)

Years Active: 1973-2024
Publications (10 Years): 2

Top Topics

Variance Reduction

Mathematical Methods

Top Venues

Ann. Oper. Res.

SIAM J. Financial Math.

Eur. J. Oper. Res.

Publications

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336 (1-2) (2024)
Sébastien Lleo, Wolfgang J. Runggaldier
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. Eur. J. Oper. Res. 316 (1) (2024)
Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. SIAM J. Financial Math. 5 (1) (2014)
Rosario Romera, Wolfgang J. Runggaldier
Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance. J. Appl. Probab. 49 (4) (2012)
Rüdiger Frey, Wolfgang J. Runggaldier
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. Finance Stochastics 14 (4) (2010)
Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach. Autom. 42 (8) (2006)
Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods Appl. 11 (1) (2005)
Paolo Dai Pra, Wolfgang J. Runggaldier, Marco Tolotti
Pathwise optimality for benchmark tracking. IEEE Trans. Autom. Control. 49 (3) (2004)
Michael Kirch, Wolfgang J. Runggaldier
Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities. SIAM J. Control. Optim. 43 (4) (2004)
Gino Favero, Wolfgang J. Runggaldier
A robustness result for stochastic control. Syst. Control. Lett. 46 (2) (2002)
Gino Favero, Wolfgang J. Runggaldier
A robustness result for stochastic control. CDC (2000)
Rüdiger Frey, Wolfgang J. Runggaldier
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. Math. Methods Oper. Res. 50 (2) (1999)
Elisa Nicolato, Wolfgang J. Runggaldier
A Bayesian Dynamic Programming approach tooptimal maintenance combined with burn-in. Ann. Oper. Res. 91 (1999)
Paolo Dai Pra, Wolfgang J. Runggaldier, Cristina Rudari
On dynamic programming for sequential decision problems under a general form of uncertainty. Math. Methods Oper. Res. 45 (1) (1997)
Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier
Towards a general theory of bond markets. Finance Stochastics 1 (2) (1997)
Yuri M. Kabanov, Wolfgang J. Runggaldier
On control of two-scale stochastic systems with linear dynamics in the fast variables. Math. Control. Signals Syst. 9 (2) (1996)
Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier
Connections between stochastic control and dynamic games. Math. Control. Signals Syst. 9 (4) (1996)
Onésimo Hernández-Lerma, C. Piovesan, Wolfgang J. Runggaldier
Numerical aspects of monotone approximations in convex stochastic control problems. Ann. Oper. Res. 56 (1) (1995)
Robert Sh. Liptser, Wolfgang J. Runggaldier
Nonlinear filters for linear models (a robust approach). IEEE Trans. Inf. Theory 41 (4) (1995)
Wolfgang J. Runggaldier, Omar Zane
Approximations for discrete-time adaptive control: Construction of ε-optimal controls. Math. Control. Signals Syst. 4 (3) (1991)
Wolfgang J. Runggaldier, C. Visentin
Combined filtering and parameter estimation: Approximations and robustness. Autom. 26 (2) (1990)
Wolfgang J. Runggaldier, Fabio Spizzichino
Approximations and bounds for a generalized optimal stopping problem. Z. Oper. Research 26 (1) (1982)
Wolfgang J. Runggaldier
A generalized certainty-equivalence result in stochastic control. Autom. 17 (2) (1981)
Wolfgang J. Runggaldier, Giorgio Romanin-Jacur
An Approach to Identification and Optimization in Quality Control. Optimization Techniques (1973)