Application of nonlinear filtering to credit risk

[1]  H. Leland.,et al.  Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads , 1996, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[2]  Eduardo S. Schwartz,et al.  A Simple Approach to Valuing Risky Fixed and Floating Rate Debt , 1995, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[3]  R. C. Merton,et al.  On the Pricing of Corporate Debt: The Risk Structure of Interest Rates , 1974, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[4]  T. Hurd,et al.  Randomized structural models of credit spreads , 2011 .

[5]  Jules H. van Binsbergen,et al.  Optimal Capital Structure , 2011 .

[6]  Gerhard J. Woeginger,et al.  Operations Research Letters , 2011 .

[7]  V. Borkar,et al.  McKean–Vlasov Limit in Portfolio Optimization , 2010 .

[8]  T. Mexia,et al.  Author ' s personal copy , 2009 .

[9]  Bo Yang,et al.  A Unified Framework for Pricing Credit and Equity Derivatives , 2007, ArXiv.

[10]  竹安 数博,et al.  Time series analysis and its applications , 2007 .

[11]  J. Hull,et al.  Merton's model, credit risk and volatility skews , 2005 .

[12]  Robert H. Shumway,et al.  Time Series Analysis and Its Applications (Springer Texts in Statistics) , 2005 .

[13]  Imre Csiszár,et al.  Information Theory and Statistics: A Tutorial , 2004, Found. Trends Commun. Inf. Theory.

[14]  K. Giesecke Credit Risk Modeling and Valuation: An Introduction , 2004 .

[15]  T. Bielecki,et al.  Credit Risk: Modeling, Valuation And Hedging , 2004 .

[16]  C. Bluhm,et al.  An Introduction to Credit Risk Modeling , 2002 .

[17]  Y. Kwok Merton's model , 2002 .

[18]  D. Duffie,et al.  Term Structures of Credit Spreads with Incomplete Accounting Information , 2001, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

[19]  Kazufumi Ito,et al.  Approximation of the Kushner Equation for Nonlinear Filtering , 2000, SIAM J. Control. Optim..

[20]  M. Eriksson,et al.  Optimal capital structure , 2000 .

[21]  H. Kushner Numerical Methods for Stochastic Control Problems in Continuous Time , 2000 .

[22]  B. Rozovskii,et al.  Fourier--Hermite Expansions for Nonlinear Filtering , 2000 .

[23]  D. Shimko Credit risk : models and management , 1999 .

[24]  P. Moral Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems , 1998 .

[25]  B. Rozovskii,et al.  Nonlinear Filtering Revisited: A Spectral Approach , 1997 .

[26]  M. Rubinstein.,et al.  Recovering Probability Distributions from Option Prices , 1996 .

[27]  Vivek S. Borkar,et al.  Optimal Control of Diffusion Processes , 1989 .

[28]  S. Haykin,et al.  Adaptive Filter Theory , 1986 .

[29]  R. Geske The Valuation of Corporate Liabilities as Compound Options , 1977, Journal of Financial and Quantitative Analysis.

[30]  T. Hida Stochastic systems: The mathematics of filtering and identification and applications , 1983 .

[31]  Michiel Hazewinkel,et al.  Preface : Stochastic systems : the mathematics of filtering and identification and applications , 1981 .

[32]  F. Black,et al.  VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS , 1976 .

[33]  N. Portenko Diffusion Processes with Unbounded Drift Coefficient , 1975 .

[34]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.