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Pricing credit derivatives under incomplete information: a nonlinear-filtering approach · Study

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ArticlePricing credit derivatives under incomplete information: a nonlinear-filtering approach

Rüdiger Frey2010

Article2010

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach

Rüdiger Frey · Wolfgang J. Runggaldier

58 citations·0/0 files stored·Finance and Stochastics

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References

2003Limit Theorems for Stochastic Processes 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2001Term Structures of Credit Spreads with Incomplete Accounting Information 2001Risk and Valuation of Collateralized Debt Obligations 2009Frailty Correlated Default 2012Structural versus Reduced‐Form Models: A New Information‐Based Perspective 2000On Models of Default Risk

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2009PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION 2012Nonlinear Filtering for Jump Diffusion Observations 2016DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM

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Year2010

Typearticle

Published2010-07-07

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-010-0129-5

openalex_workW2070020179

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