Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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Publication:650766
DOI10.1007/s00780-010-0129-5zbMath1226.91075OpenAlexW2070020179MaRDI QIDQ650766
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
Filtering in stochastic control theory (93E11) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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Uses Software
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