Nonlinear Filtering in Models for Interest-Rate and Credit Risk

We consider filtering problems that arise in Markovian factor models for the term structure
of interest rates and for credit risk. Investors are supposed to have only incomplete information
about the factors and so their current state has to be inferred/filtered from observable financial
quantities. Our main goal is the pricing of derivative instruments in the interest rate and credit
risk contexts, but also other applications are discussed.