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Application of nonlinear filtering to credit risk

  • Published:2010-11 Issue:6 Volume:38 Page:527-532
  • ISSN:0167-6377
  • Container-title:Operations Research Letters
  • language:en
  • Short-container-title:Operations Research Letters

Author:

Borkar Vivek S.,Ghosh Mrinal K.,Rangarajan G.

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference31 articles.

1. E. Bayraktar, B. Yang, A unified framework for pricing credit and equity derivatives, September, 2008 arXiv:0712.3617v2.

2. Credit Risk: Modelling, Valuation and Hedging;Bielecki,2004

3. Valuing corporate securities: some effects of bond indenture provisions;Black;Journal of Finance,1976

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. An Introduction to Credit Risk Modelling;Bluhm,2003

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