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zbMath1211.91244MaRDI QIDQ3504637

Cecilia Prosdocimi, Rüdiger Frey, Wolfgang J. Runggaldier

Publication date: 11 June 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

nonlinear filtering credit risk incomplete information affine models finite dimensional filters pricing of credit derivatives

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (3)

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations

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