Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Year of publication: |
2010
|
---|---|
Authors: | Frey, Rüdiger ; Runggaldier, Wolfgang J. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 14.2010, 4, p. 495-526
|
Subject: | Derivat | Derivative | Markov-Kette | Markov chain | Unvollkommene Information | Incomplete information | CAPM | Portfolio-Management | Portfolio selection | Theorie | Theory |
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