A linear filtering approach for incomplete accounting information models

MaRDI QIDQ4902817zbMATH OpenFDO

Authors Marco Tolotti

Publication date 18 January 2013

Full work available at URL http://www.pphmj.com/abstract/7131.htm

zbMATH Keywords

default riskdiscrete schemesfirm asset value processlinear filteringpartial informationstructural models

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Credit risk (91G40)

Recommendations

• scientific article; zbMATH DE number 2144814
• scientific article; zbMATH DE number 5919866
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Nonlinear filtering in models for interest-rate and credit risk

Cited in

(1)

• The sound of silence: equilibrium filtering and optimal censoring in financial markets

This page was built for publication: A linear filtering approach for incomplete accounting information models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902817)