导语

  

内容提要

  

    本书涉及金融工程方面的信用风险建模研究，主要探讨不完全市场信息下信用风险模型的构建，对于普及信用风险及信用衍生品知识、促进金融创新、加强金融风险管理、推动我国金融竞争力提供了重要的理论依据，有重大的参考作用和借鉴意义。

Chapter 1  Introduction
  1.1  Preliminary work
  1.2  Overview of the book
Chapter 2  Filtering model and the Zakai equation
  2.1  Stochastic filtering
    2.1.1  A general introduction
    2.1.2  The filtering equations
    2.1.3  Finite dimensional filters
    2.1.4  Filtering from point process observations
  2.2  The filtering model
    2.2.1  Unobserved state process
    2.2.2  Observations
    2.2.3  The objective
  2.3  The innovations processes
  2.4  The Zakai equations
    2.4.1  A new measure
    2.4.2  The unnormalized filtering equations
Chapter 3  Numerical methods
  3.1  A finite dimensional filter
    3.1.1  Two special cases
    3.1.2  A finite dimensional filter
  3.2  The finite-state Markov chain approximation
    3.2.1  Approximating Markov chain
    3.2.2  Filter
    3.2.3  Numerical solution
  3.3  Particle methods
Chapter 4  Linear stochastic PDEs
  4.1  Semigroup approach
    4.1.1  Semigroup
    4.1.2  Linear SPDEs
  4.2  The variational approach to linear parabolic SPDEs
    4.2.1  General setting
    4.2.2  Basic results for linear parabolic SPDEs with Gaussiau noise .
Chapter 5  Unnormalized conditional density
  5.1  Assumptions
  5.2  Main results
  5.3  Finding the unnormalized conditional density
  5.4  Proof of Theorem 5.3
    5.4.1  Some existence and uniqueness results on stochastic PDEs
    5.4.2  The backward SPDEs
    5.4.3  The unnormalized conditional density
Chapter 6  Convergence results
  6.1  Introduction
  6.2  The mild form of the Zakal equation
  6.3  The stochastic integral
  6.4  Continuity theorem
    6.4.1  Continuity theorem
    6.4.2  Proofs
  6.5  Galerkin approximation
Chapter 7  Galerkin approximation
  7.1  SDEs
    7.1.1  Analytical solution
    7.1.2  Numerical methods for SDEs
  7.2  Basis functions
    7.2.1  Gaussiau series
    7.2.2  Hermite expansion
  7.3  The adaptive Galerkin approximation
    7.3.1  Introduction
    7.3.2  The adaptive Galerkin approximation
    7.3.3  The adaptive Galerkin approximation with Hermite polynomials
  7.4  Proofs
  7.5  Simulation studies
    7.5.1  Tables
    7.5.2  Figures
    7.5.3  Summary
Appendix A  Auxiliary calculations
  A.1  Preliminaries
    A.1.1  Sobolev spaces
    A.1.2  Some spaces of processes
  A.2  Some Hilbert spaces
Appendix B  List of frequently used notations and symbols
Bibliography