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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526

Persistent link: https://www.econbiz.de/10008823701

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133

Persistent link: https://www.econbiz.de/10009423247

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

Colaneri, Katia; Frey, Rüdiger - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 498-507

Persistent link: https://www.econbiz.de/10012793939

EM Algorithm for Markov Chains Observed Via Gaussian Noise and Point Process Information : Theory and Case Studies

Damian, Camilla - 2017

In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous-time hidden Markov model with diffusion and point process observation. Inference problems of this type arise for instance in credit risk modelling. A key step in the application of the EM...

Persistent link: https://www.econbiz.de/10012952828