Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766): Difference between revisions

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-.1007/s00780-010-0129-5
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-Wolfgang J. Runggaldier
@@ Property / author: Wolfgang J. Runggaldier / rank @@
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+Wolfgang J. Runggaldier
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+BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
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@@ Property / cites work @@
+A survey of numerical methods for nonlinear filtering problems
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@@ Property / cites work @@
+A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
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+Valuation of default-sensitive claims under imperfect information
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+A filtering approach to tracking volatility from prices observed at random times
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+New finite-dimensional filters and smoothers for noisily observed Markov chains
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+On Models of Default Risk
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+Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
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+Q3504637
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+PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
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@@ Property / cites work @@
+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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+A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
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@@ Property / DOI @@
+.1007/S00780-010-0129-5
@@ Property / DOI: 10.1007/S00780-010-0129-5 / rank @@
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