Non-linear Gaussian sovereign CDS pricing models

DOI10.1080/14697688.2018.1459808zbMath1420.91476OpenAlexW2806401543MaRDI QIDQ5234285

Marco Realdon

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa39362

zbMATH Keywords

extended Kalman filtermethod of linesBlack-Karasinski modelBlack modeldiscrete time quadratic modelsovereign CDS pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Enhancing credit default swap valuation with meshfree methods
• Recovering default risk from CDS spreads with a nonlinear filter

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