Browsing 01 Mathematical Sciences by Author "Runggaldier Wolfgang"

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Browsing 01 Mathematical Sciences by Author "Runggaldier Wolfgang"

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  • Inferring the forward looking equity risk premium from derivative prices 
    Bhar Ramaprasad; Chiarella Carl; Runggaldier Wolfgang (Berkeley Electronic Press, 2004)
    This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as ...
  • On filtering in Markovian term structure models: an approximation approach 
    Pasquali Sara; Chiarella Carl; Runggaldier Wolfgang (Australasian Medical Publishing Company, 2003)
    We consider a parametrization of the Heath-Jarrow-Morton (HJM) family of term structure of interest rate models that allows a finite-dimensional Markovian representation of the stochastic dynamics. This parametrization ...