Estimating models based on Markov jump processes given fragmented observation series

Markov chain, Markov switching model, Hidden Markov model, Regime switching, Inference,

A jump to default extended CEV model: an application of Bessel processes

Default, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, Implied volatility skew, CEV model, Bessel processes, 60J35, 60J60, 60J65, 60G70, G12, G13,

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

Credit derivatives, Incomplete information, Nonlinear filtering, Hedging, 91B28, 93E11, 60G55, G13, C11,