Pages that link to "Item:Q1761434"
From MaRDI portal
The following pages link to Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434):
Displaying 28 items.
- BSDEs under partial information and financial applications (Q402719) (← links)
- On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- General dynamic term structures under default risk (Q1615894) (← links)
- Nonlinear filtering with correlated Lévy noise characterized by copulas (Q1654334) (← links)
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- Optimal liquidation under partial information with price impact (Q1986008) (← links)
- Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
- Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252) (← links)
- Bond prices under information asymmetry and a short rate with instantaneous feedback (Q2152233) (← links)
- Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives (Q2198168) (← links)
- Optimal reduction of public debt under partial observation of the economic growth (Q2211350) (← links)
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness (Q2249409) (← links)
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization (Q2260945) (← links)
- Linearized filtering of affine processes using stochastic Riccati equations (Q2289789) (← links)
- Unit-linked life insurance policies: optimal hedging in partially observable market models (Q2404551) (← links)
- Evaluation of credit derivatives with imperfect information (Q2655601) (← links)
- Optimal investment and consumption strategies for pooled annuity with partial information (Q2681454) (← links)
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS (Q2941060) (← links)
- CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION (Q2941063) (← links)
- Nonlinear Filtering for Jump Diffusion Observations (Q3167334) (← links)
- Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences (Q5162017) (← links)
- Corporate security prices in structural credit risk models with incomplete information (Q5743118) (← links)
- An efficient Monte Carlo scheme for Zakai equations (Q6058696) (← links)
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH (Q6095479) (← links)
