78 citations · 85 across the 10 of their papers we have counts for
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q-fin.RM2016
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additi…
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…