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FS
2010
95views more  FS 2010»
13 years 7 months ago
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
Rüdiger Frey, Wolfgang Runggaldier
ICC
2009
IEEE
127views Communications» more  ICC 2009»
14 years 3 months ago
Security Games with Incomplete Information
—We study two-player security games which can be viewed as sequences of nonzero-sum matrix games where at each stage of the iterations the players make imperfect observations of ...
Kien C. Nguyen, Tansu Alpcan, Tamer Basar

Presentation
438views
15 years 7 months ago
Games with Incomplete Information
A talk on Nobel Talk by Nobel laureate John C Harsayni, in Topics in Game Theory Course, IISc, November 2008
ICDE
2007
IEEE
133views Database» more  ICDE 2007»
14 years 10 months ago
MayBMS: Managing Incomplete Information with Probabilistic World-Set Decompositions
Lyublena Antova, Christoph Koch, Dan Olteanu
OR
2007
Springer
14 years 2 months ago
Coping with Incomplete Information in Scheduling - Stochastic and Online Models
version of this extended abstract is published as [6].
Nicole Megow