scientific article; zbMATH DE number 2150980

zbMATH Open1154.91406MaRDI QIDQ4660477FDOQ4660477

Authors: R. Zagst, Jeanette Roth 

Publication date: 4 April 2005

Title of this publication is not available (Why is that?)

Recommendations

• Pricing credit linked financial instruments. Theory and empirical evidence
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zbMATH Keywords

Kalman filterDefaultable term structure models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (6)

• Pricing credit linked financial instruments. Theory and empirical evidence
• Three-factor interest rate models
• The changing shape of sovereign default intensities
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• Title not available (Why is that?)
• Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

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