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.
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Abstract
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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Status of publication | Published |
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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 |
Associations
- People
- Frey, Rüdiger (Details)
- External
- Runggaldier, W
- Organization
- Institute for Statistics and Mathematics IN (Details)