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

Rüdiger Frey Thorsten Schmidt

Published in: Finance Stochastics (2012)

Keyphrases

nonlinear filtering
convertible bonds
financial markets
option pricing
pricing model
compressed sensing
anisotropic diffusion
higher order
denoising
stock price
nonlinear filters
image reconstruction
multiresolution
real option
impulse noise
partial differential equations
face recognition