scientific article; zbMATH DE number 1867097

zbMATH Open1028.91019MaRDI QIDQ4792531FDOQ4792531

Authors: Carl Chiarella, Sara Pasquali, Wolfgang J. Runggaldier 

Publication date: 11 February 2003

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

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zbMATH Keywords

market price of riskMarkovian modelestimation problemfiltering framework

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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• A benchmark approach to filtering in finance
• A criterion for filtering in semimartingale models
• Nonlinear filtering in models for interest-rate and credit risk
• On filtering in Markovian term structure models: an approximation approach

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