Rüdiger Frey, Thorsten Schmidt. Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. Finance and Stochastics, 16(1):105-133, 2012. [doi]
@article{FreyS12,
title = {Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering},
author = {Rüdiger Frey and Thorsten Schmidt},
year = {2012},
doi = {10.1007/s00780-011-0153-0},
url = {http://dx.doi.org/10.1007/s00780-011-0153-0},
researchr = {https://researchr.org/publication/FreyS12},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {16},
number = {1},
pages = {105-133},
}