PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
From MaRDI portal
Publication:3393978
DOI10.1111/j.1467-9965.2009.00374.xzbMath1168.91359OpenAlexW2007773798MaRDI QIDQ3393978
Thorsten Schmidt, Rüdiger Frey
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00374.x
Related Items (14)
General dynamic term structures under default risk ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION ⋮ Shot-noise driven multivariate default models ⋮ From the decompositions of a stopping time to risk premium decompositions ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering ⋮ Default times, no-arbitrage conditions and changes of probability measures ⋮ Corporate security prices in structural credit risk models with incomplete information ⋮ Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Valuation of default-sensitive claims under imperfect information
- Modeling credit risk with partial information.
- Credit Risk Modeling
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
This page was built for publication: PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
