Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

DOI10.1007/s00780-011-0153-0zbMath1259.91055OpenAlexW2165463982MaRDI QIDQ1761434

Rüdiger Frey, Thorsten Schmidt

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-011-0153-0

zbMATH Keywords

hedgingnonlinear filteringincomplete informationcredit derivatives

Mathematics Subject Classification ID

Related Items (34)

General dynamic term structures under default risk ⋮ Nonlinear Filtering for Jump Diffusion Observations ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ Nonlinear filtering with correlated Lévy noise characterized by copulas ⋮ Evaluation of credit derivatives with imperfect information ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS ⋮ CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION ⋮ Dynamic credit investment in partially observed markets ⋮ An efficient Monte Carlo scheme for Zakai equations ⋮ BSDEs under partial information and financial applications ⋮ EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies ⋮ Shot-noise driven multivariate default models ⋮ RATING TRANSITIONS FORECASTING: A FILTERING APPROACH ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Credit risk and contagion via self-exciting default intensity ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH ⋮ Optimal liquidation under partial information with price impact ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Partial information about contagion risk, self-exciting processes and portfolio optimization ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ GKW representation theorem under restricted information: An application to risk-minimization ⋮ Parameter Estimation in Credit Models Under Incomplete Information ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Corporate security prices in structural credit risk models with incomplete information ⋮ Linearized filtering of affine processes using stochastic Riccati equations ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk

Uses Software

• QRM

Cites Work

• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Valuation of default-sensitive claims under imperfect information
• Fundamentals of stochastic filtering
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Evaluation of credit derivatives with imperfect information
• Dynamic Hedging of Portfolio Credit Derivatives
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
• On the unnormalized solution of the filtering problem with counting process observations
• Bond pricing in a hidden Markov model of the short rate
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