78 citations · 79 across the 2 of their papers we have counts for
2 papers
q-fin.PM2012★ 1 cited
Diffusion-based models for financial markets without martingale measures
Claudio Fontana, Wolfgang J. Runggaldier
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the…
q-fin.RM2007★ 78 cited
Large portfolio losses: A dynamic contagion model
Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori +1
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and qu…