TY  - CHAP
TI  - Nonlinear Filtering in Models for Interest-Rate and Credit Risk
AB  - 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.
AF  - Handbook of Nonlinear Filtering
PP  - New York
SN  - 0199532907
PB  - Oxford University Press
SP  - 923
EP  - 959
PY  - 2011-05-01
AU  - Frey, Rüdiger 
AU  - Runggaldier, W 
ER -