Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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Publication:650766
DOI10.1007/S00780-010-0129-5zbMATH Open1226.91075OpenAlexW2070020179MaRDI QIDQ650766FDOQ650766
Authors: Rüdiger Frey, Wolfgang J. Runggaldier 
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0129-5
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Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Filtering in stochastic control theory (93E11)
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Cited In (37)
- Affine credit risk models under incomplete information
- Credit risk and incomplete information: A filtering framework for pricing and risk management
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- A linear filtering approach for incomplete accounting information models
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- Credit risk and contagion via self-exciting default intensity
- Credit risk valuation with rating transitions and partial information
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Nonlinear filtering for jump diffusion observations
- Credit risk and incomplete information: filtering and EM parameter estimation
- An efficient Monte Carlo scheme for Zakai equations
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Corporate security prices in structural credit risk models with incomplete information
- Dynamic credit investment in partially observed markets
- INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
- Evaluation of credit derivatives with imperfect information
- Credit derivatives pricing model for fuzzy financial market
- Optimal investment in markets with over and under-reaction to information
- Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
- Nonlinear filtering in models for interest-rate and credit risk
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- Bond prices under information asymmetry and a short rate with instantaneous feedback
- Credit risk estimation with a particle filter
- An extension of Davis and Lo's contagion model
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Risk-sensitive credit portfolio optimization under partial information and contagion risk
- Portfolio Choice with Market--Credit-Risk Dependencies
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- The Föllmer–Schweizer decomposition under incomplete information
- Interacting default intensity with a hidden Markov process
- A default system with overspilling contagion
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Partial information about contagion risk, self-exciting processes and portfolio optimization
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