EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK

DOI10.1017/S0269964811000076zbMath1226.62087arXiv0802.1407OpenAlexW1496952021MaRDI QIDQ3100886

Vincent Leijdekker, Peter Spreij

Publication date: 22 November 2011

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.1407

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (1)

RATING TRANSITIONS FORECASTING: A FILTERING APPROACH

Cites Work

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• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Fundamentals of stochastic filtering
• A Theory of the Term Structure of Interest Rates
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Nonlinear filtering with counting observations
• Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Credit risk: Modelling, valuation and hedging

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