Concepedia

Wolfgang J. Runggaldier

WJ

34

Publications

1.2K

Citations

18

H-Index

1981

Active since

Affiliations

University of Padua(Current)

University of Technology Sydney

University of Zurich

Centro di Ricerca in Matematica Pura ed Applicata

UNSW Sydney

Wolfgang J. Runggaldier is an author at University of Padua specializing in engineering, business, and asset pricing.

Top concepts

BusinessEngineeringAsset PricingFinanceEconomicsFinancial EconomicsStatisticsProbabilityOption PricingFinancial Engineering

Publications per year

1981–2018

34

Publications

34

Mean-Variance Hedging of Options on Stocks with Markov Volatilities

Giovanni B. Di Masi, Yu. M. Kabanov, Wolfgang J. Runggaldier · Theory of Probability and Its Applications · 1995 · 198 citations

Volatility Modeling, Option Pricing, Multivariate Stochastic Volatility +15

Connections between stochastic control and dynamic games

Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier · Mathematics of Control Signals and Systems · 1996 · 169 citations

Differential Game, Stochastic Game, Game Theory +6

A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA

Rüdiger Frey, Wolfgang J. Runggaldier · International Journal of Theoretical and Applied Finance · 2001 · 101 citations

State Estimation, Volatility Modeling, Nonlinear Filtering +14

Large portfolio losses: A dynamic contagion model

Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori et al. · The Annals of Applied Probability · 2009 · 76 citations · Full text

Financial Risk Management, Portfolio Management, Financial Network Analysis +20

Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process

Boris Miller, Wolfgang J. Runggaldier · Systems & Control Letters · 1997 · 55 citations

State Estimation, Stochastic Hybrid System, Linear Systems +8

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