Evaluation of credit derivatives with imperfect information

DOI10.1007/s11857-009-0089-zzbMath1182.91180OpenAlexW2150500999MaRDI QIDQ2655601

Richard A. Wendler

Publication date: 25 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0089-z

zbMATH Keywords

Markov chainfilteringCDOcollateralized debt obligationprice process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

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

Cites Work

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