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Wolfgang J. Runggaldier
Researcher at University of Padua
Publications - 157
Citations - 3204
Wolfgang J. Runggaldier is an academic researcher from University of Padua. The author has contributed to research in topics: Stochastic control & Filter (signal processing). The author has an hindex of 28, co-authored 154 publications receiving 3110 citations. Previous affiliations of Wolfgang J. Runggaldier include Paris Diderot University.
Papers
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Journal ArticleDOI
Bond Market Structure in the Presence of Marked Point Processes
TL;DR: In this paper, the authors investigated the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process and proved the existence of a time-independent set of basic bonds.
Journal ArticleDOI
Towards a general theory of bond markets
TL;DR: It is shown that a market is approximately complete iff an equivalent martingale measure is unique and two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions are suggested.
Journal ArticleDOI
Mean-variance hedging of options on stocks with Markov volatilities
TL;DR: In this paper, the authors consider the problem of hedging an European call option for a diffusion model where drift and volatility are functions of a Markov jump process and derive a hedging strategy based on the idea of hedge under a mean-variance criterion as suggested by Follmer, Sondermann, and Schweizer.
Journal ArticleDOI
Connections between stochastic control and dynamic games
TL;DR: This work considers duality relations between risk-sensitive stochastic control problems and dynamic games derived from two basic duality results, the first involving free energy and relative entropy and resulting from a Legendre-type transformation, the second involving power functions.
Book ChapterDOI
Jump-Diffusion Models
TL;DR: In this article, the authors discuss jump-diffusion type models for financial market as well as methods for pricing and hedging of contingent claims in such markets, and deal also with situations when there is a stochastic volatility correlated with the jumps and when one has very small time scales, i.e., high frequency data.