EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
نویسندگان
چکیده
منابع مشابه
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the realization of its intensity. We assume that the intensity follows the Cox-Ingersoll-Ross model. This model allows one to calculate survival probabilities and prices o...
متن کاملa new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولA Branching Particle Approximation to the Filtering Problem with Counting Process Observations∗
Recently, the filtering model with counting process observations has been demonstrated as a sensible framework for modeling the micromovement of asset price (or ultra-high frequency data). In this paper, we first construct a branching particle system for such a nonlinear filtering model. Then, we show the weighted empirical measures in the constructed branching system converges to the optimal f...
متن کاملA descent method for explicit computations on curves
It is shown that the knowledge of a surjective morphism $Xto Y$ of complex curves can be effectively used to make explicit calculations. The method is demonstrated by the calculation of $j(ntau)$ (for some small $n$) in terms of $j(tau)$ for the elliptic curve with period lattice $(1,tau)$, the period matrix for the Jacobian of a family of genus-$2$ curves complementing the classi...
متن کاملA Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk
We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Probability in the Engineering and Informational Sciences
سال: 2011
ISSN: 0269-9648,1469-8951
DOI: 10.1017/s0269964811000076