EVALUATION OF CUMULATIVE RANDOM SHOCKS GENERATED FROM A SEMI-MARKOV MODULATED POISSON PROCESS AND ITS APPLICATION TO CDO PRICING

DOI10.15807/JORSJ.55.158zbMath1278.91175OpenAlexW2395817699MaRDI QIDQ2869485

Ushio Sumita, Jia-Ping Huang

Publication date: 3 January 2014

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.55.158

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

This page was built for publication: EVALUATION OF CUMULATIVE RANDOM SHOCKS GENERATED FROM A SEMI-MARKOV MODULATED POISSON PROCESS AND ITS APPLICATION TO CDO PRICING