Pricing Corporate Securities Under Noisy Asset Information
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DOI: 10.1111/j.1467-9965.2009.00374.x
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References listed on IDEAS
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Cited by:
- Tolulope Fadina & Thorsten Schmidt, 2024. "The Unfairness of $\varepsilon$-Fairness," Papers 2405.09360, arXiv.org, revised Jun 2024.
- 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.
- Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
- Lin, Yan-Ting & Nienhaus, Martin, 2015. "The non-diversifiable risk of financial reporting system: Evidence from the German market," Advances in accounting, Elsevier, vol. 31(2), pages 197-208.
- Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
- 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.
- Rüdiger Frey & Wolfgang Runggaldier, 2010. "Pricing credit derivatives under incomplete information: a nonlinear-filtering approach," Finance and Stochastics, Springer, vol. 14(4), pages 495-526, December.
- Delia Coculescu & Gabriele Visentin, 2017. "A default system with overspilling contagion," Papers 1709.09255, arXiv.org, revised May 2023.
- Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
- Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
- Rüdiger Frey & Thorsten Schmidt, 2012. "Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering," Finance and Stochastics, Springer, vol. 16(1), pages 105-133, January.
- Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
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