Application of nonlinear filtering to credit risk

DOI10.1016/j.orl.2010.08.013zbMath1202.91335OpenAlexW2129169950MaRDI QIDQ614031

Vivek S. Borkar, Govindan Rangarajan, Mrinal K. Ghosh

Publication date: 23 December 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.08.013

zbMATH Keywords

EM algorithmequitynonlinear filterassetMerton's model

Mathematics Subject Classification ID

Uses Software

• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• The Pricing of Options and Corporate Liabilities
• Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
• Stochastic processes and filtering theory
• Fourier--Hermite Expansions for Nonlinear Filtering
• Randomized structural models of credit spreads
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
• Diffusion Processes with Unbounded Drift Coefficient
• Nonlinear Filtering Revisited: A Spectral Approach
• Term Structures of Credit Spreads with Incomplete Accounting Information
• An Introduction to Credit Risk Modeling
• McKean–Vlasov Limit in Portfolio Optimization
• Approximation of the Kushner Equation for Nonlinear Filtering
• Information Theory and Statistics: A Tutorial
• Credit risk: Modelling, valuation and hedging
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Application of nonlinear filtering to credit risk