Application of nonlinear filtering to credit risk
type: Item
instance of: scholarly article
title: Application of nonlinear filtering to credit risk
zbMATH Open document ID: 1202.91335
author: Vivek Borkar
author: Mrinal K. Ghosh
author: Govindan Rangarajan
published in: Operations Research Letters
publication date: 2010-12-23T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5829354
zbMATH Keywords: Merton's model
zbMATH Keywords: asset
zbMATH Keywords: equity
zbMATH Keywords: nonlinear filter
zbMATH Keywords: EM algorithm
describes a project that uses: astsa
MaRDI profile type: Publication
full work available at URL: j.orl.2010.08.013
OpenAlex ID: W2129169950
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DOI: 10.1016/J.ORL.2010.08.013
description: scientific article; zbMATH DE number 5829354