Sciweavers

FS
2010
95views more  FS 2010»
14 years 7 months ago
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
Rüdiger Frey, Wolfgang Runggaldier
67
Voted
FS
2006
91views more  FS 2006»
14 years 8 months ago
A jump to default extended CEV model: an application of Bessel processes
We develop a
Peter Carr, Vadim Linetsky