Quotation Frey, Rüdiger, Runggaldier, W. 2011. Nonlinear Filtering in Models for Interest-Rate and Credit Risk. In: Handbook of Nonlinear Filtering, Hrsg. D.Crisan, B. Rozovski, 923-959. New York: Oxford Univ. Press.




We consider filtering problems that arise in Markovian factor models for the term structure of interest rates and for credit risk. Investors are supposed to have only incomplete information about the factors and so their current state has to be inferred/filtered from observable financial quantities. Our main goal is the pricing of derivative instruments in the interest rate and credit risk contexts, but also other applications are discussed.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Nonlinear Filtering in Models for Interest-Rate and Credit Risk
Title of whole publication Handbook of Nonlinear Filtering
Editor D.Crisan, B. Rozovski
Page from 923
Page to 959
Location New York
Publisher Oxford University Press
Year 2011
ISBN 0199532907


Frey, Rüdiger (Details)
Runggaldier, W
Institute for Statistics and Mathematics IN (Details)
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