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

@@ Property / DOI @@
-.1007/s00780-010-0129-5
@@ Property / DOI: 10.1007/s00780-010-0129-5 / rank @@
-Normal rank
@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0129-5
+Normal rank
@@ Property / OpenAlex ID @@
+W2070020179
@@ Property / OpenAlex ID: W2070020179 / rank @@
+Normal rank
@@ Property / cites work @@
+BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
+Normal rank
@@ Property / cites work @@
+A survey of numerical methods for nonlinear filtering problems
+Normal rank
@@ Property / cites work @@
+A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
+Normal rank
@@ Property / cites work @@
+Valuation of default-sensitive claims under imperfect information
+Normal rank
@@ Property / cites work @@
+A particle approximation of the solution of the Kushner-Stratonovitch equation
+Normal rank
@@ Property / cites work @@
+A filtering approach to tracking volatility from prices observed at random times
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
+Normal rank
@@ Property / cites work @@
+On Models of Default Risk
@@ Property / cites work: On Models of Default Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
+Normal rank
@@ Property / cites work @@
+Q3504637
@@ Property / cites work: Q3504637 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Convergence in distribution of conditional expectations
+Normal rank
@@ Property / cites work @@
+A filtered no arbitrage model for term structures from noisy data
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
+Normal rank
@@ Property / cites work @@
+On the unnormalized solution of the filtering problem with counting process observations
+Normal rank
@@ Property / cites work @@
+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
+Normal rank
@@ Property / DOI @@
+.1007/S00780-010-0129-5
@@ Property / DOI: 10.1007/S00780-010-0129-5 / rank @@
+Normal rank