Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
| Year of publication: |
2012
|
|---|---|
| Authors: | Frey, Rüdiger ; Schmidt, Thorsten |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 1, p. 105-133
|
| Publisher: |
Springer |
| Subject: | Credit derivatives | Incomplete information | Nonlinear filtering | Hedging |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009400211