Evaluation of cumulative random shocks generated from a semi-Markov modulated Poisson process and its application to CDO pricing

DOI10.15807/JORSJ.55.158MaRDI QIDQ2869485zbMATH OpenOpenAlexFDO

Authors Jia-Ping Huang, Ushio Sumita

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

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

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(1)

• Pricing collateralized debt obligations with Markov-modulated Poisson processes

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