Peter Ruckdeschel

University of Oldenburg - School of Mathematics and Science

PO box 2503

Oldenburg, 26111

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

364

CITATIONS

0

Scholarly Papers (5)

1.

Autokorrelationen bei der Messung von Marktpreisrisiken (Autocorrelations in Market Price Risk Assessment)

Number of pages: 12 Posted: 30 Sep 2013
Bernhard Kuebler and Peter Ruckdeschel
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) and University of Oldenburg - School of Mathematics and Science
Downloads 90 (153,495)

Abstract:

market price risk, Value at Risk, Autocorrelation, Historical Simulation, Square-root-of-time rule

2.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Karlsruhe Institute of Technology - Department of Mathematics, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 86 (226,324)

Abstract:

worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach

3.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Karlsruhe Institute of Technology - Department of Mathematics, Libfin, Liberty Life, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 0 (316,112)

Abstract:

ARGP process, GPD, liquidity risk, data features

4.

Portfolio Strategies and Estimation in a Hidden Markov Model Using State Dependent, State Independent or No Correlation

Number of pages: 39 Posted: 02 Dec 2016
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 0 (307,934)

Abstract:

Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

5.

Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 30 Mar 2011 Last Revised: 20 Jun 2014
Peter Ruckdeschel, Tilman Sayer and Alexander Szimayer
University of Oldenburg - School of Mathematics and Science, Advanced Logic Analytics and University of Hamburg - Faculty of Economics and Business Administration

Abstract:

Heston Model, American Options, Moment Matching, Correlation, Tree Method