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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

Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model

Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662

Persistent link: https://www.econbiz.de/10003899505

Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Dynamic Discrete-Time Multi-Step Markov Loss Model

Walker, Michael B. - 2009

This article describes a dynamic discrete-time multi-step Markov model for the losses experienced by a given credit portfolio, and develops a method for the simultaneous calibration of the model to all available relevant market prices (for CDO's, forward-start CDO's, options on CDO's, leveraged...

Persistent link: https://www.econbiz.de/10013153488