Pages that link to "Item:Q650766"

The following pages link to Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766):

Displaying 33 items.

• On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
• Dynamic credit investment in partially observed markets (Q889624) (← links)
• Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
• Nonlinear filtering with correlated Lévy noise characterized by copulas (Q1654334) (← links)
• Credit derivatives pricing model for fuzzy financial market (Q1666827) (← links)
• Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← 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)
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness (Q2249409) (← links)
• Unit-linked life insurance policies: optimal hedging in partially observable market models (Q2404551) (← links)
• Evaluation of credit derivatives with imperfect information (Q2655601) (← links)
• Credit risk and incomplete information: filtering and EM parameter estimation (Q2786032) (← links)
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment (Q2892981) (← links)
• CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION (Q2941063) (← links)
• INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES (Q3094325) (← links)
• EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK (Q3100886) (← links)
• Nonlinear Filtering for Jump Diffusion Observations (Q3167334) (← links)
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION (Q3393978) (← links)
• Interacting default intensity with a hidden Markov process (Q4555109) (← links)
• Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
• The Föllmer–Schweizer decomposition under incomplete information (Q4584693) (← links)
• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (Q4635039) (← links)
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS (Q4649503) (← links)
• Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method (Q5265777) (← links)
• Corporate security prices in structural credit risk models with incomplete information (Q5743118) (← links)
• An extension of Davis and Lo's contagion model (Q5746773) (← links)
• Credit risk estimation with a particle filter (Q5891335) (← links)
• An efficient Monte Carlo scheme for Zakai equations (Q6058696) (← links)
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach (Q6193111) (← links)
• A default system with overspilling contagion (Q6549692) (← links)