Recovering default risk from CDS spreads with a nonlinear filter (Q1994302): Difference between revisions

@@ Property / cites work @@
+Continuous-discrete path integral filtering
@@ Property / cites work: Continuous-discrete path integral filtering / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
+Normal rank
@@ Property / cites work @@
+Local accuracy for radial basis function interpolation on finite uniform grids
+Normal rank
@@ Property / cites work @@
+Q2753040
@@ Property / cites work: Q2753040 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Radial Basis Functions
@@ Property / cites work: Radial Basis Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate dynamics, derivatives pricing, and risk management
+Normal rank
@@ Property / cites work @@
+Estimation and evaluation of the term structure of credit default swaps: An empirical study
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the structural credit risk model when equity prices are contaminated by trading noises
+Normal rank
@@ Property / cites work @@
+Q3433874
@@ Property / cites work: Q3433874 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3446085
@@ Property / cites work: Q3446085 / rank @@
+Normal rank
@@ Property / cites work @@
+Proof of convergence of an iterative technique for thin plate spline interpolation in two dimensions
+Normal rank
@@ Property / cites work @@
+A flexible matrix Libor model with smiles
@@ Property / cites work: A flexible matrix Libor model with smiles / rank @@
+Normal rank
@@ Property / cites work @@
+Accuracy of radial basis function interpolation and derivative approximations on 1 D infinite grids
+Normal rank
@@ Property / cites work @@
+Convergence order estimates of meshless collocation methods using radial basis functions
+Normal rank
@@ Property / cites work @@
+Q3015768
@@ Property / cites work: Q3015768 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
+Normal rank
@@ Property / cites work @@
+Enhancing credit default swap valuation with meshfree methods
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of structural credit risk models with microstructure noises
+Normal rank
@@ Property / cites work @@
+Q2753032
@@ Property / cites work: Q2753032 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+Meshfree Particle Methods
@@ Property / cites work: Meshfree Particle Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Q5488705
@@ Property / cites work: Q5488705 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4406360
@@ Property / cites work: Q4406360 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2753033
@@ Property / cites work: Q2753033 / rank @@
+Normal rank
@@ Property / cites work @@
+SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+The uniform convergence of thin plate spline interpolation in two dimensions
+Normal rank
@@ Property / cites work @@
+Q5450332
@@ Property / cites work: Q5450332 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4457489
@@ Property / cites work: Q4457489 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of affine asset pricing models using the empirical characteristic function
+Normal rank
@@ Property / cites work @@
+Q4714150
@@ Property / cites work: Q4714150 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3896398
@@ Property / cites work: Q3896398 / rank @@
+Normal rank
@@ Property / cites work @@
+An inverse finite element method for pricing American options
+Normal rank