Pricing collateralized debt obligations with Markov-modulated Poisson processes

DOI10.1080/14697688.2010.548398zbMath1277.91188OpenAlexW2040562620MaRDI QIDQ2866389

Kazuki Takahashi, Hideyuki Takada, Ushio Sumita

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2241/119310

zbMATH Keywords

Markov processescredit riskcredit derivativesdynamic models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Credit risk (91G40)

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