[Updated on July 12] Integration of CiNii Articles into CiNii Research from April 1, 2022

Evaluation of Cumulative Random Shocks Generated from a Semi-Markov Modulated Poisson Process and Its Application to CDO Pricing

Bibliographic Information

Title
Evaluation of Cumulative Random Shocks Generated from a Semi-Markov Modulated Poisson Process and Its Application to CDO Pricing
Author
Huang and Sumita

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Details

  • CRID
    1010000782114135556
  • Article Type
    journal article
  • Data Source
    • KAKEN
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