Search Results for author: Wolfgang J. Runggaldier

Found 2 papers, 0 papers with code

A stochastic control perspective on term structure models with roll-over risk

no code implementations10 Apr 2023 Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates.

Arbitrage concepts under trading restrictions in discrete-time financial markets

no code implementations28 Jun 2020 Claudio Fontana, Wolfgang J. Runggaldier

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints.

Portfolio Optimization

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