Peter Ruckdeschel

University of Oldenburg - School of Mathematics and Science

PO box 2503

Oldenburg, 26111

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

609

SSRN CITATIONS

1

CROSSREF 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 269 (135,764)

Abstract:

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

2.

Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Number of pages: 31 Posted: 02 Dec 2016 Last Revised: 24 Nov 2017
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 148 (234,317)
Citation 2

Abstract:

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Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

3.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 109 (295,114)

Abstract:

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

4.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Johannes Kepler University Linz, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 83 (351,512)

Abstract:

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ARGP process, GPD, liquidity risk, data features

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:

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