Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
From MaRDI portal
(Redirected from Publication:650766)
Recommendations
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Nonlinear filtering in models for interest-rate and credit risk
- Affine credit risk models under incomplete information
- Credit risk and incomplete information: filtering and EM parameter estimation
- Credit risk and incomplete information: A filtering framework for pricing and risk management
Cites work
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- A filtered no arbitrage model for term structures from noisy data
- A filtering approach to tracking volatility from prices observed at random times
- A particle approximation of the solution of the Kushner-Stratonovitch equation
- A survey of numerical methods for nonlinear filtering problems
- Affine credit risk models under incomplete information
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- Convergence in distribution of conditional expectations
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- On models of default risk.
- On the unnormalized solution of the filtering problem with counting process observations
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Valuation of default-sensitive claims under imperfect information
Cited in
(37)- Partial information about contagion risk, self-exciting processes and portfolio optimization
- Affine credit risk models under incomplete information
- Credit risk and incomplete information: A filtering framework for pricing and risk management
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- 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
- Credit risk and contagion via self-exciting default intensity
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- 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
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- An efficient Monte Carlo scheme for Zakai equations
- Dynamic credit investment in partially observed markets
- Corporate security prices in structural credit risk models with incomplete information
- 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
This page was built for publication: Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650766)
