Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
type: Item
instance of: scholarly article
title: Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
zbMATH Open document ID: 1259.91055
author: Rüdiger Frey
author: Thorsten Schmidt
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6106800
zbMATH Keywords: credit derivatives
zbMATH Keywords: incomplete information
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: hedging
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s00780-011-0153-0
OpenAlex ID: W2165463982
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DOI: 10.1007/S00780-011-0153-0
description: scientific article; zbMATH DE number 6106800