IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v16y2012i1p105-133.html
   My bibliography  Save this item

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "Local risk-minimization under restricted information to asset prices," Papers 1312.4385, arXiv.org, revised Nov 2014.
  2. Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin, 2023. "Optimal investment and consumption strategies for pooled annuity with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 129-155.
  3. Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015. "Dynamic credit investment in partially observed markets," Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
  4. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
  5. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
  6. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  7. Prakash Chakraborty & Kiseop Lee, 2022. "Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 613-634, June.
  8. Damian Camilla & Eksi Zehra & Frey Rüdiger, 2018. "EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 51-72, January.
  9. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
  10. Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
  11. Ceci, Claudia & Cretarola, Alessandra & Russo, Francesco, 2014. "BSDEs under partial information and financial applications," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2628-2653.
  12. Luca Galimberti & Anastasis Kratsios & Giulia Livieri, 2022. "Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis," Papers 2210.13300, arXiv.org, revised May 2023.
  13. Wen-Qiong Liu & Wen-Li Huang, 2019. "Hedging Of Synthetic Cdo Tranches With Spread And Default Risk Based On A Combined Forecasting Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-17, March.
  14. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2017. "Unit-linked life insurance policies: Optimal hedging in partially observable market models," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 149-163.
  15. Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
  16. Areski Cousin & Jérôme Lelong & Tom Picard, 2022. "Rating transitions forecasting: a filtering approach," Working Papers hal-03347521, HAL.
  17. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Papers 1901.08356, arXiv.org, revised Jan 2019.
  18. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
  19. Colaneri, Katia & Eksi, Zehra & Frey, Rüdiger & Szölgyenyi, Michaela, 2020. "Optimal liquidation under partial information with price impact," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1913-1946.
  20. Herbertsson, Alexander & Frey, Rüdiger, 2016. "Cds Index Options Under Incomplete Information," Working Papers in Economics 685, University of Gothenburg, Department of Economics.
  21. Areski Cousin & J'er^ome Lelong & Tom Picard, 2021. "Rating transitions forecasting: a filtering approach," Papers 2109.10567, arXiv.org, revised Jun 2023.
  22. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
  23. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2015. "Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 47-60.
  24. Lijun Bo & Agostino Capponi & Claudia Ceci, 2017. "Risk-Minimizing Hedging of Counterparty Risk," Papers 1709.01115, arXiv.org.
  25. Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
  26. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
  27. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2016. "Unit-linked life insurance policies: optimal hedging in partially observable market models," Papers 1608.07226, arXiv.org, revised Dec 2016.
  28. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2020. "Optimal reduction of public debt under partial observation of the economic growth," Finance and Stochastics, Springer, vol. 24(4), pages 1083-1132, October.
  29. Callegaro, Giorgia & Ceci, Claudia & Ferrari, Giorgio, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Center for Mathematical Economics Working Papers 608, Center for Mathematical Economics, Bielefeld University.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.