{"id":"https://openalex.org/W2165463982","doi":"https://doi.org/10.1007/s00780-011-0153-0","title":"Pricing and hedging of credit derivatives via\u00a0the\u00a0innovations approach to nonlinear filtering","display_name":"Pricing and hedging of credit derivatives via\u00a0the\u00a0innovations approach to nonlinear filtering","publication_year":2011,"publication_date":"2011-02-08","ids":{"openalex":"https://openalex.org/W2165463982","doi":"https://doi.org/10.1007/s00780-011-0153-0","mag":"2165463982"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-011-0153-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0153-0","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072728783","display_name":"R\u00fcdiger Frey","orcid":"https://orcid.org/0000-0002-8402-4653"},"institutions":[{"id":"https://openalex.org/I926574661","display_name":"Leipzig University","ror":"https://ror.org/03s7gtk40","country_code":"DE","type":"education","lineage":["https://openalex.org/I926574661"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"R\u00fcdiger Frey","raw_affiliation_strings":["Department of Mathematics, University of Leipzig, 04009, Leipzig, Germany"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Leipzig, 04009, Leipzig, Germany","institution_ids":["https://openalex.org/I926574661"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079269395","display_name":"Thorsten Schmidt","orcid":"https://orcid.org/0000-0001-9254-4010"},"institutions":[{"id":"https://openalex.org/I2610724","display_name":"Chemnitz University of Technology","ror":"https://ror.org/00a208s56","country_code":"DE","type":"education","lineage":["https://openalex.org/I2610724"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Thorsten Schmidt","raw_affiliation_strings":["Department of Mathematics, Chemnitz University of Technology, Reichenhainer Str. 41, 09126, Chemnitz, Germany"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Chemnitz University of Technology, Reichenhainer Str. 41, 09126, Chemnitz, Germany","institution_ids":["https://openalex.org/I2610724"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5079269395"],"corresponding_institution_ids":["https://openalex.org/I2610724"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":9.4163,"has_fulltext":false,"cited_by_count":69,"citation_normalized_percentile":{"value":0.97927607,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"16","issue":"1","first_page":"105","last_page":"133"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9930999875068665,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.8163018822669983},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.6972965598106384},{"id":"https://openalex.org/keywords/credit-derivative","display_name":"Credit derivative","score":0.6401869058609009},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.620065450668335},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.5370902419090271},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.5037526488304138},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4751605689525604},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4706401526927948},{"id":"https://openalex.org/keywords/credit-default-swap-index","display_name":"Credit default swap index","score":0.4499713182449341},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.42403554916381836},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4207167625427246},{"id":"https://openalex.org/keywords/calibration","display_name":"Calibration","score":0.4121624827384949},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.3830314874649048},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3764269948005676},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.30824005603790283},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2683848738670349},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.1346263885498047}],"concepts":[{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.8163018822669983},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.6972965598106384},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.6401869058609009},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.620065450668335},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.5370902419090271},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.5037526488304138},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4751605689525604},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4706401526927948},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.4499713182449341},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42403554916381836},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4207167625427246},{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.4121624827384949},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.3830314874649048},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3764269948005676},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.30824005603790283},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2683848738670349},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.1346263885498047},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s00780-011-0153-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-011-0153-0","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/277fcca0-e725-4bd3-8a71-afbd3f9e37fe","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/277fcca0-e725-4bd3-8a71-afbd3f9e37fe","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frey, R & Schmidt, T 2012, 'Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering', Finance and Stochastics, vol. 16, no. 1, pp. 105 - 133.","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.216.8530","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.216.8530","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.uni-leipzig.de/~frey/frey-schmidt-20_wp.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:16:y:2012:i:1:p:105-133","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-011-0153-0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W206086817","https://openalex.org/W568080693","https://openalex.org/W1493238038","https://openalex.org/W1507616993","https://openalex.org/W1520417352","https://openalex.org/W1542184596","https://openalex.org/W1573874356","https://openalex.org/W1580561995","https://openalex.org/W1593621785","https://openalex.org/W1598534740","https://openalex.org/W1761990930","https://openalex.org/W1898228068","https://openalex.org/W1942746312","https://openalex.org/W1944767111","https://openalex.org/W1963921091","https://openalex.org/W1969248194","https://openalex.org/W1970273488","https://openalex.org/W1973459395","https://openalex.org/W1974390533","https://openalex.org/W1995522593","https://openalex.org/W2007773798","https://openalex.org/W2014421072","https://openalex.org/W2032942524","https://openalex.org/W2046170732","https://openalex.org/W2070020179","https://openalex.org/W2081877251","https://openalex.org/W2096306954","https://openalex.org/W2099264463","https://openalex.org/W2115102690","https://openalex.org/W2118891973","https://openalex.org/W2122132597","https://openalex.org/W2126794261","https://openalex.org/W2150500999","https://openalex.org/W2165053060","https://openalex.org/W2240616420","https://openalex.org/W2326120674","https://openalex.org/W2419886098","https://openalex.org/W2569158125","https://openalex.org/W3121666763","https://openalex.org/W4213329537","https://openalex.org/W4229911014","https://openalex.org/W4293092461"],"related_works":["https://openalex.org/W70462951","https://openalex.org/W2283837480","https://openalex.org/W2618665466","https://openalex.org/W2900439828","https://openalex.org/W1593621785","https://openalex.org/W3123016673","https://openalex.org/W4316095752","https://openalex.org/W1864548409","https://openalex.org/W2487046438","https://openalex.org/W562270862"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":5},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":7}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}