Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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References listed on IDEAS
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More about this item
KeywordsCredit derivatives; Incomplete information; Nonlinear filtering; Hedging; 91B28; 93E11; 60G55; G13; C11;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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